Optimal stopping and strong approximation theorems†

DOI10.1080/17442500600987118MaRDI QIDQ3429344zbMATHOpenAlexWikidataFDO

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

Mathematics Subject Classification ID

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

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

Cites work

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• Approximation theorems for independent and weakly dependent random vectors
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• Functional convergence of Snell envelopes: Applications to American options approximations
• Game options
• Invariance principles for mixing sequences of random variables
• L² Diffusion Approximation for Slow Motion in Averaging
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• Moment bounds for stationary mixing sequences
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Cited in

(14)

• A verification theorem for optimal stopping problems with expectation constraints
• Binomial approximations of shortfall risk for game options
• Optimal Stopping in the L log L -Inequality of Hardy and Littlewood
• Optimal stopping and the sufficiency of randomized threshold strategies
• Dynkin's games and Israeli options
• Applications of weak convergence for hedging of game options
• Optimal stopping and embedding
• Randomized Optimal Stopping Algorithms and Their Convergence Analysis
• Strong diffusion approximation in averaging and value computation in Dynkin's games
• A nonconventional local limit theorem
• scientific article; zbMATH DE number 5848599 (Why is no real title available?)
• Nonconventional limit theorems
• Approximation of optimal stopping problems.
• scientific article; zbMATH DE number 4080679 (Why is no real title available?)

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