On the convergence from discrete to continuous time in an optimal stopping problem
| dc.creator | Dupuis, Paul | |
| dc.creator | Wang, Hui | |
| dc.date | 2005-05-12 | |
| dc.date.accessioned | 2026-07-07T05:19:49Z | |
| dc.date.available | 2026-07-07T05:19:49Z | |
| dc.description | We consider the problem of optimal stopping for a one-dimensional diffusion process. Two classes of admissible stopping times are considered. The first class consists of all nonanticipating stopping times that take values in [0,\infty], while the second class further restricts the set of allowed values to the discrete grid {nh:n=0,1,2,...,\infty} for some parameter h>0. The value functions for the two problems are denoted by V(x) and V^h(x), respectively. We identify the rate of convergence of V^h(x) to V(x) and the rate of convergence of the stopping regions, and provide simple formulas for the rate coefficients. | |
| dc.description | Published at http://dx.doi.org/10.1214/105051605000000034 in the Annals of Applied Probability (http://www.imstat.org/aap/) by the Institute of Mathematical Statistics (http://www.imstat.org) | |
| dc.identifier | https://arxiv.org/abs/math/0505241 | |
| dc.identifier | http://arxiv.org/abs/math/0505241 | |
| dc.identifier | Annals of Applied Probability 2005, Vol. 15, No. 2, 1339-1366 | |
| dc.identifier | doi:10.1214/105051605000000034 | |
| dc.identifier.uri | http://salesiana.dossiersoluciones.com/handle/123456789/75164 | |
| dc.subject | Probability | |
| dc.subject | 93E20, 93E35, 60J55, 90C59. (Primary) | |
| dc.title | On the convergence from discrete to continuous time in an optimal stopping problem | |
| dc.type | text |