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2007 Convergence of values in optimal stopping and convergence of optimal stopping times
François Coquet, Sandrine Toldo
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Electron. J. Probab. 12: 207-228 (2007). DOI: 10.1214/EJP.v12-288

Abstract

Under the hypothesis of convergence in probability of a sequence of càdlàg processes $(X^n)$ to a càdlàg process $X$, we are interested in the convergence of corresponding values in optimal stopping and also in the convergence of optimal stopping times. We give results under hypothesis of inclusion of filtrations or convergence of filtrations.

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François Coquet. Sandrine Toldo. "Convergence of values in optimal stopping and convergence of optimal stopping times." Electron. J. Probab. 12 207 - 228, 2007. https://doi.org/10.1214/EJP.v12-288

Information

Accepted: 27 February 2007; Published: 2007
First available in Project Euclid: 1 June 2016

zbMATH: 1144.62067
MathSciNet: MR2299917
Digital Object Identifier: 10.1214/EJP.v12-288

Subjects:
Primary: 60G40
Secondary: 60Fxx, 62L15, 62Lxx

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