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 Electronic Journal of Probability > Vol. 12 (2007) > Paper 8 open journal systems 


Convergence of values in optimal stopping and convergence of optimal stopping times

François COQUET, CREST-ENSAI and LMAH Université du Havre
Sandrine TOLDO, IRMAR, Antenne de Bretagne de l'ENS Cachan


Abstract
Abstract : Under the hypothesis of convergence in probability of a sequence of càdlàg processes (Xn) to a càdlàg process X, we are interested in the convergence of corresponding values in optimal stopping and also in the convergence of optimal stopping times. We give results under hypothesis of inclusion of filtrations or convergence of filtrations.


Full text: PDF

Pages: 207-228

Published on: February 27, 2007
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Electronic Journal of Probability. ISSN: 1083-6489