On a discretization procedure for the stopping time problem

DOI10.1080/17442508408833286zbMath0531.60050OpenAlexW2022524622MaRDI QIDQ3313042

Hiroaki Morimoto

Publication date: 1984

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442508408833286

zbMATH Keywords

discretizationoptimal stoppingSnell's envelope

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40)

Related Items (1)

Dynkin games and martingale methods

Cites Work

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• Optimal stopping and a martingale approach to the penalty method
• On the Convergence of the Discrete Time Dynamic Programming Equation for General Semigroups

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