Convergence of values in optimal stopping

Sandrine Toldo

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Convergence of values in optimal stopping

Sandrine Toldo

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Abstract

Under the hypothesis of convergence in probability of a sequence of càdlàg processes $(X^n)_n$ to a càdlàg process $X$, we are interested in the convergence of corresponding values in optimal stopping. We give results under hypothesis of inclusion of filtrations or convergence of filtrations.

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BibTeX RIS

Sandrine Toldo. 2004-05-26. Convergence of values in optimal stopping. https://arxiv.org/abs/math/0405494

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