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

DOI10.1214/EJP.v12-288zbMath1144.62067arXivmath/0504318MaRDI QIDQ2461967

François Coquet, Sandrine Toldo

Publication date: 23 November 2007

Published in: Electronic Journal of Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/math/0504318

zbMATH Keywords

convergence of stochastic processesSkorokhod topologyoptimal stopping timesconvergence of filtrationsconvergence of stopping timesvalues of optimal stopping

Mathematics Subject Classification ID

Applications of game theory (91A80) Stopping times; optimal stopping problems; gambling theory (60G40) Optimal stopping in statistics (62L15) Probabilistic games; gambling (91A60) Limit theorems in probability theory (60Fxx)

Related Items (11)

Finite approximation schemes for Lévy processes, and their application to optimal stopping problems ⋮ Optimal Stopping and Reselling of European Options ⋮ Stability of backward stochastic differential equations: the general Lipschitz case ⋮ Exercisability Randomization of the American Option ⋮ All adapted topologies are equal ⋮ Applications of weak convergence for hedging of game options ⋮ Optimal learning with non-Gaussian rewards ⋮ The disorder problem for purely jump Lévy processes with completely monotone jumps ⋮ Causal optimal transport and its links to enlargement of filtrations and continuous-time stochastic optimization ⋮ Convergence of option rewards for multivariate price processes ⋮ Estimating processes in adapted Wasserstein distance

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