Convergence of values in optimal stopping and convergence of optimal stopping times

2005/04/15 by François Coquet, Coquet, François, Sandrine Toldo +1 · 1 citation
Mathematics · #FOS: Mathematics #Probability (math.PR) #math.PR

paper · pdf · doi:10.48550/arxiv.math/0504318

arxiv created 2005/10/19 · 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 and also in the convergence of optimal stopping times. We give results under hypothesis of inclusion of filtrations or convergence of filtrations.

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• Existence of Strong Randomized Equilibria in Mean-Field Games of Optimal Stopping with Common Noise

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