Corrected random walk approximations to free boundary problems in optimal stopping

DOI10.1239/aap/1189518637zbMath1127.60038OpenAlexW2080985046MaRDI QIDQ5426468

Tze Leung Lai, Yi-Ching Yao, Farid AitSahlia

Publication date: 12 November 2007

Published in: Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1239/aap/1189518637

zbMATH Keywords

renewal theorysingular stochastic controlfree boundary partial differential equation

Mathematics Subject Classification ID

Dynamic programming (90C39) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stopping times; optimal stopping problems; gambling theory (60G40)

Related Items (7)

Exercise Regions And Efficient Valuation Of American Lookback Options ⋮ Asymptotic Equivalence Between Boundary Perturbations and Discrete Exit Times: Application to Simulation Schemes ⋮ On the S_n/n problem ⋮ Continuity correction: on the pricing of discrete double barrier options ⋮ RISK HORIZON AND REBALANCING HORIZON IN PORTFOLIO RISK MEASUREMENT ⋮ Optimal stopping for Brownian motion with applications to sequential analysis and option pricing ⋮ Optimal stopping for Shepp's urn with risk aversion

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