Work

Convergence of values in optimal stopping and convergence of optimal stopping times

Year: 2007

Type: article

Abstract: Under the hypothesis of convergence in probability of a sequence of càdlàg processes $(X^n)$ to a càdlàg process $X$, we are interested in the convergence of corresponding values in optimal stopping and also in the convergence of optimal stopping times. We give results under hypothesis of inclusion of filtrations or convergence of filtrations.

Source: Electronic Journal of Probability

DOI: 10.1214/ejp.v12-288

Authors: François Coquet, Sandrine Toldo

Institutions: Laboratoire de Mathématiques Appliquées du Havre, École Normale Supérieure Paris-Saclay

Language: English

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: gold

Estimated APC paid: $675

OpenAlex ID: W2017334003

FWCI: 7.688

Cites: 24

Cited by: 32

Related to: 10