Published June 5, 2002
| Version v1
Journal article
Brownian Optimal Stopping and Random Walks
Creators
- 1. Equipe d'Analyse et de Mathematiques Appliquees, Universite de Marne-la-Vallee, 5 Boulevard Descartes, Cite Descartes, Champs-sur-Marne, 77 454 Marne-la-Vallee Cedex 2 (France)
Description
One way to compute the value function of an optimal stopping problem along Brownian paths consists of approximating Brownian motion by a random walk. We derive error estimates for this type of approximation under various assumptions on the distribution of the approximating random walk
Additional details
Identifiers
Publishing Information
- Journal Title
- Applied Mathematics and Optimization
- Journal Volume
- 45
- Journal Issue
- 3
- Journal Page Range
- p. 283-324
- ISSN
- 0095-4616
INIS
- Country of Publication
- United States
- Country of Input or Organization
- International Atomic Energy Agency (IAEA)
- INIS RN
- 39081560
- Subject category
- S71: CLASSICAL AND QUANTUM MECHANICS, GENERAL PHYSICS;
- Descriptors DEI
- APPROXIMATIONS; BROWNIAN MOVEMENT; DISTRIBUTION; ERRORS; FUNCTIONS; GRAPH THEORY; RANDOMNESS
- Descriptors DEC
- CALCULATION METHODS; MATHEMATICS
Optional Information
- Copyright
- Copyright (c) Inc. 2001 Springer-Verlag New York