Brownian optimal stopping and random walks

Applied Mathematics and Optimization

Volumn 45, Issue 3, 2002, Pages 283-324

  Lamberton, D ^a  

^a UNIVERSITÉ GUSTAVE EIFFEL   (France)

Author keywords

American options; Brownian motion; Optimal stopping; Random walk approximation

Indexed keywords

APPROXIMATION THEORY; BROWNIAN MOVEMENT; COMPUTATIONAL COMPLEXITY; CONVERGENCE OF NUMERICAL METHODS; ERROR ANALYSIS; FINITE DIFFERENCE METHOD; INTEGRAL EQUATIONS; INTEGRATION; PROBABILITY DISTRIBUTIONS; THEOREM PROVING; VARIATIONAL TECHNIQUES;

AMERICAN OPTIONS; ERROR ESTIMATION; OPTIMAL STOPPING PROBLEM; RANDOM WALK APPROXIMATION;

DYNAMIC PROGRAMMING;

EID: 0037718695     PISSN: 00954616     EISSN: None     Source Type: Journal    
DOI: 10.1007/s00245-001-0033-7     Document Type: Article

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