Rate of convergence for certain optimal stopping problems

被引：0

作者：

Klesov, Andriy ^{[1
]}

机构：

[1] Natl Tech Univ Ukraine KPI, UA-03037 Kiev, Ukraine

来源：

PUBLICATIONES MATHEMATICAE-DEBRECEN | 2010年 / 76卷 / 3-4期

关键词：

optimal stopping time; Levy processes; rate of convergence; appel polynomials;

D O I：

暂无

中图分类号：

O1 [数学];

学科分类号：

0701 ; 070101 ;

摘要：

We prove that the rate of convergence of a solution of the optimal stopping problem for a Levy process on an interval [0, 7] to that on the interval [0, infinity) is exponential as T -> infinity.

引用

页码：317 / 328

页数：12

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