Sur l'approximation des réduites. (On the approximation of residues)

zbMath0704.60042MaRDI QIDQ917159

Damien Lamberton, Gilles Pagès

Publication date: 1990

Published in: Annales de l'Institut Henri Poincaré. Probabilités et Statistiques (Search for Journal in Brave)

Full work available at URL: http://www.numdam.org/item?id=AIHPB_1990__26_2_331_0

zbMATH Keywords

variational inequalitysemigroupsstopping timeMarkov processfunctional limit theoreminfinitesimal generatorsapproximation of Markov processes by Markov chains

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Groups and semigroups of linear operators (47D03) Stopping times; optimal stopping problems; gambling theory (60G40) Continuous-time Markov processes on discrete state spaces (60J27)

Related Items (13)

Stability of Doob-Meyer decomposition under extended convergence ⋮ Approximation of the Snell Envelope and American Options Prices in dimension one ⋮ All adapted topologies are equal ⋮ Applications of weak convergence for hedging of game options ⋮ The random-time binomial model ⋮ A dynamic look-ahead Monte Carlo algorithm for pricing Bermudan options ⋮ Properties of American option prices ⋮ The right time to sell a stock whose price is driven by Markovian noise ⋮ Optimal learning with non-Gaussian rewards ⋮ Causal optimal transport and its links to enlargement of filtrations and continuous-time stochastic optimization ⋮ Pricing the American put option: A detailed convergence analysis for binomial models ⋮ Error estimates for the binomial approximation of American put options ⋮ Estimating processes in adapted Wasserstein distance

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