The convergence rate from discrete to continuous optimal investment stopping problem

DOI10.1007/s11401-021-0256-7zbMath1475.60079arXiv2004.14627OpenAlexW3148832554MaRDI QIDQ2044110

Dingqian Sun

Publication date: 4 August 2021

Published in: Chinese Annals of Mathematics. Series B (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2004.14627

zbMATH Keywords

convergence rateutility maximizationquadratic reflected BSDEdiscretely reflected BSDEoptimal investment stopping problem

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Portfolio theory (91G10)

Related Items (1)

Quantitative stability and numerical analysis of Markovian quadratic BSDEs with reflection

Cites Work

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