Brownian optimal stopping and random walks

DOI10.1007/s00245-001-0033-7zbMath1040.60032OpenAlexW2051424746MaRDI QIDQ1601761

Damien Lamberton

Publication date: 27 June 2002

Published in: Applied Mathematics and Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00245-001-0033-7

zbMATH Keywords

optimal stoppingBrownian motionAmerican optionsrandom walk approximation

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40)

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