Convergence of values in optimal stopping

2004/05/26 by Sandrine Toldo, Toldo, Sandrine
Business, Management and Accounting · Computer Science · Economics, Econometrics and Finance · Mathematics · #Advanced Queuing Theory Analysis #Optimization and Search Problems #Stochastic processes and financial applications #math.PR

paper · pdf · doi:10.48550/arxiv.math/0405494

arxiv created 2004/05/26 · arxiv updated 2009/12/01

Abstract

Under the hypothesis of convergence in probability of a sequence of càdlàg processes (Xⁿ)_n to a càdlàg process X, we are interested in the convergence of corresponding values in optimal stopping. We give results under hypothesis of inclusion of filtrations or convergence of filtrations.

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