Optimal stopping and strong approximation theorems†

DOI10.1080/17442500600987118zbMATH Open1172.91322OpenAlexW2086977229WikidataQ126268157 ScholiaQ126268157MaRDI QIDQ3429344FDOQ3429344

Authors: Yuri Kifer 

Publication date: 30 March 2007

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442500600987118

Recommendations

• Optimal stopping and embedding
• Applications of weak convergence for hedging of game options
• Error estimates for binomial approximations of game options
• Approximation of optimal stopping problems.
• scientific article; zbMATH DE number 5030138

Mathematics Subject Classification ID

Strong limit theorems (60F15) 2-person games (91A05)

Cites Work

• Moment bounds for stationary mixing sequences
• Almost sure invariance principles for partial sums of mixing B-valued random variables
• An approximation of partial sums of independent RV's, and the sample DF. II
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• Approximation theorems for independent and weakly dependent random vectors
• Probability methods for approximations in stochastic control and for elliptic equations
• Game options
• Invariance principles for mixing sequences of random variables
• Mixing Properties and Central Limit Theorem for a Class of Non-Identical Piecewise Monotonic C ² - Transformations
• L² Diffusion Approximation for Slow Motion in Averaging
• Error estimates for binomial approximations of game options
• Multidimensional Version of a Result of Sakhanenko in the Invariance Principle for Vectors with Finite Exponential Moments. I
• Optimal Stopping in Sequential Games With or Without a Constraint of Always Terminating
• Functional convergence of Snell envelopes: Applications to American options approximations

Cited In (14)

• Approximation of optimal stopping problems.
• A verification theorem for optimal stopping problems with expectation constraints
• Optimal Stopping in the L log L -Inequality of Hardy and Littlewood
• Optimal stopping and the sufficiency of randomized threshold strategies
• Title not available (Why is that?)
• Optimal stopping and embedding
• A nonconventional local limit theorem
• Nonconventional limit theorems
• Title not available (Why is that?)
• Dynkin's games and Israeli options
• Randomized Optimal Stopping Algorithms and Their Convergence Analysis
• Applications of weak convergence for hedging of game options
• Binomial approximations of shortfall risk for game options
• Strong diffusion approximation in averaging and value computation in Dynkin's games

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