Discrete-type approximations for non-Markovian optimal stopping problems. I
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Fractional processes, including fractional Brownian motion (60G22) Stopping times; optimal stopping problems; gambling theory (60G40) Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)
Abstract: In this paper, we present a discrete-type approximation scheme to solve continuous-time optimal stopping problems based on fully non-Markovian continuous processes adapted to the Brownian motion filtration. The approximations satisfy suitable variational inequalities which allow us to construct -optimal stopping times and optimal values in full generality. Explicit rates of convergence are presented for optimal values based on reward functionals of path-dependent SDEs driven by fractional Brownian motion. In particular, the methodology allows us to design concrete Monte-Carlo schemes for non-Markovian optimal stopping time problems as demonstrated in the companion paper by Bezerra, Ohashi and Russo.
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Cited in
(15)- Brownian optimal stopping and random walks
- Approximation schemes for mixed optimal stopping and control problems with nonlinear expectations and jumps
- Discrete-type approximations for non-Markovian optimal stopping problems. II
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