48- https://doi.org/10.1007/s00245-001-0033-7
Brownian Optimal Stopping and Random Walks
- Jan 1, 2002
- Applied Mathematics and Optimization
- D Lamberton
Abstract
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.
- # Random Walk
- # Optimal Stopping
- # Brownian Walks
- # Optimal Problem
- # Stopping Problem
- # Value Function
- # Brownian Motion
- # Error Estimates
