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

共 50 条

[31] Optimal stopping problems for asset management
[J]. Dayanik, S. (sdayanik@bilkent.edu.tr), 2012, Applied Probability Trust (44)
[32] OPTIMAL STOPPING PROBLEMS IN STOCHASTIC CONTROL
FRIEDMAN, A
[J]. SIAM REVIEW, 1978, 20 (03) : 624 - 624
[33] OPTIMAL STOPPING PROBLEMS IN STOCHASTIC CONTROL
FRIEDMAN, A
[J]. SIAM REVIEW, 1979, 21 (01) : 71 - 80
[34] OPTIMAL STOPPING PROBLEMS FOR ASSET MANAGEMENT
Dayanik, Savas
Egami, Masahiko
[J]. ADVANCES IN APPLIED PROBABILITY, 2012, 44 (03) : 655 - 677
[35] On optimal two-stopping problems
Kühne, R
Rüschendorf, L
[J]. LIMIT THEOREMS IN PROBABILITY AND STATISTICS, VOL II, 2002, : 261 - 271
[36] Optimal control problems with stopping constraints
Lin, Qun
Loxton, Ryan
Teo, Kok Lay
Wu, Yong Hong
[J]. JOURNAL OF GLOBAL OPTIMIZATION, 2015, 63 (04) : 835 - 861
[37] ON THE OPTIMAL STOPPING PROBLEMS WITH MONOTONE THRESHOLDS
Tamaki, Mitsushi
[J]. JOURNAL OF APPLIED PROBABILITY, 2015, 52 (04) : 926 - 940
[38] Approximate solutions to optimal stopping problems
Tsitsiklis, JN
VanRoy, B
[J]. ADVANCES IN NEURAL INFORMATION PROCESSING SYSTEMS 9: PROCEEDINGS OF THE 1996 CONFERENCE, 1997, 9 : 1082 - 1088
[39] A REMARK ON OPTIMAL VARIANCE STOPPING PROBLEMS
Buonaguidi, Bruno
[J]. JOURNAL OF APPLIED PROBABILITY, 2015, 52 (04) : 1187 - 1194
[40] Stochastic algorithm with optimal convergence rate for strongly convex optimization problems
[J]. Shao, Yan-Jian, 1600, Chinese Academy of Sciences (25):

← 1 2 3 4 5 →