On the convergence from discrete to continuous time in an optimal stopping problem. (Q558676): Difference between revisions

The optimal stopping problem with two classes of stopping times is considered for a one-dimensional diffusion process with time-independent and Lipschitz continuous coefficients. The first class consists of all stopping times with values in \([0,\infty]\), and the second one of all stopping times with values in the time grid \(\{0,h,2h,\dots,\infty\}\), \(h> 0\). The exact convergence rates, as \(h\to 0\), are presented both for the value functions and the boundaries of stopping regions.