On the convergence from discrete to continuous time in an optimal stopping problem.
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Publication:558676
DOI10.1214/105051605000000034zbMATH Open1138.93066arXivmath/0505241OpenAlexW1963484817MaRDI QIDQ558676FDOQ558676
Authors: Paul Dupuis, Hui Wang 
Publication date: 13 July 2005
Published in: The Annals of Applied Probability (Search for Journal in Brave)
Abstract: We consider the problem of optimal stopping for a one-dimensional diffusion process. Two classes of admissible stopping times are considered. The first class consists of all nonanticipating stopping times that take values in [0,infty], while the second class further restricts the set of allowed values to the discrete grid {nh:n=0,1,2,...,infty} for some parameter h>0. The value functions for the two problems are denoted by V(x) and V^h(x), respectively. We identify the rate of convergence of V^h(x) to V(x) and the rate of convergence of the stopping regions, and provide simple formulas for the rate coefficients.
Full work available at URL: https://arxiv.org/abs/math/0505241
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