Brownian optimal stopping and random walks

Damien Lamberton (1)

1 LAMA - Laboratoire d'Analyse et de Mathématiques Appliquées

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.

Domaines: Physique mathématique [math-ph]

Damien Lamberton. Brownian optimal stopping and random walks. Applied Mathematics and Optimization, 2002, 45 (3), pp.283--324. ⟨10.1007/s00245-001-0033-7⟩. ⟨hal-00693616⟩