Article contents
Optimal stopping and embedding
Published online by Cambridge University Press: 14 July 2016
Abstract
We use embedding techniques to analyse the error of approximation of an optimal stopping problem along Brownian paths when Brownian motion is approximated by a random walk.
MSC classification
- Type
- Short Communications
- Information
- Copyright
- Copyright © by the Applied Probability Trust 2000
References
- 6
- Cited by