Strong diffusion approximation in averaging and value computation in Dynkin's games
From MaRDI portal
Publication:6126100
DOI10.1214/23-aap1959arXiv2011.07907MaRDI QIDQ6126100
Publication date: 9 April 2024
Published in: The Annals of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2011.07907
Strong limit theorems (60F15) Stopping times; optimal stopping problems; gambling theory (60G40) Averaging method for ordinary differential equations (34C29)
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Strong approximation of continuous time stochastic processes
- Nearby variables with nearby conditional laws and a strong approximation theorem for Hilbert space valued martingales
- Short proof of a discrete Gronwall inequality
- Almost sure invariance principles for partial sums of mixing B-valued random variables
- A stochastic theory of adiabatic invariance
- Approximation theorems for independent and weakly dependent random vectors
- Fast oscillating random perturbations of dynamical systems with conservation laws
- Applications of weak convergence for hedging of game options
- Deterministic homogenization under optimal moment assumptions for fast-slow systems. II
- Nonconventional limit theorems in discrete and continuous time via martingales
- The Problem of Embedding Vector-Valued Martingales in a Gaussian Process
- Optimal stopping and strong approximation theorems†
- A Limit Theorem for Solutions of Differential Equations with Random Right-Hand Side
- L2 Diffusion Approximation for Slow Motion in Averaging
- Recombining Tree Approximations for Optimal Stopping for Diffusions
- Nonconventional Limit Theorems and Random Dynamics
- Asymptotic theory of mixing stochastic ordinary differential equations
- Real Analysis and Probability
- Lectures on Mathematical Finance and Related Topics
- On the Factorization of Non-Negative Definite Matrices
This page was built for publication: Strong diffusion approximation in averaging and value computation in Dynkin's games
