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

[41] OPTIMAL STOPPING AND ALMOST SURE CONVERGENCE OF RANDOM SEQUENCES
ENGELBERT, A
ENGELBERT, HJ
[J]. ZEITSCHRIFT FUR WAHRSCHEINLICHKEITSTHEORIE UND VERWANDTE GEBIETE, 1979, 48 (03): : 309 - 325
[42] ADAPTIVE FEM WITH OPTIMAL CONVERGENCE RATES FOR A CERTAIN CLASS OF NONSYMMETRIC AND POSSIBLY NONLINEAR PROBLEMS
Feischl, M.
Fuehrer, T.
Praetorius, D.
[J]. SIAM JOURNAL ON NUMERICAL ANALYSIS, 2014, 52 (02) : 601 - 625
[43] IMPLICATION OF A CERTAIN RATE OF CONVERGENCE TO NORMALITY
HEYDE, CC
[J]. ZEITSCHRIFT FUR WAHRSCHEINLICHKEITSTHEORIE UND VERWANDTE GEBIETE, 1970, 16 (02): : 151 - &
[44] On the Monotonicity of the Stopping Boundary for Time-Inhomogeneous Optimal Stopping Problems
Milazzo, Alessandro
[J]. JOURNAL OF OPTIMIZATION THEORY AND APPLICATIONS, 2024,
[45] Asymptotic Duration for Optimal Multiple Stopping Problems
Entwistle, Hugh N.
Lustri, Christopher J.
Sofronov, Georgy Yu.
[J]. MATHEMATICS, 2024, 12 (05)
[46] SOME PROBLEMS IN THEORY OF OPTIMAL STOPPING RULES
SIEGMUND, DO
[J]. ANNALS OF MATHEMATICAL STATISTICS, 1967, 38 (06): : 1627 - &
[47] On optimal stopping problems in sequential hypothesis testing
Lai, TL
[J]. STATISTICA SINICA, 1997, 7 (01) : 33 - 51
[48] OPTIMAL STOPPING PROBLEMS WITH A RANDOM TIME HORIZON
Wu, Zhuoshu
[J]. BULLETIN OF THE AUSTRALIAN MATHEMATICAL SOCIETY, 2023, 108 (02) : 345 - 346
[49] A NOTE ON MONOTONICITY IN OPTIMAL MULTIPLE STOPPING PROBLEMS
PREATER, J
[J]. STATISTICS & PROBABILITY LETTERS, 1993, 16 (05) : 407 - 410
[50] BELLMAN EQUATION FOR OPTIMAL STOPPING TIME PROBLEMS
LENHART, S
[J]. INDIANA UNIVERSITY MATHEMATICS JOURNAL, 1983, 32 (03) : 363 - 375

← 1 2 3 4 5 →