Finite approximation schemes for Levy processes, and their application to optimal stopping problems
This paper proposes two related approximation schemes, based on a discrete grid on a finite time interval [0, T], and having a finite number of states, for a pure jump Lévy process Lt. The sequences of discrete processes converge to the original process,
|Collections||ANU Research Publications|
|Source:||Stochastic Processes and their Applications|
|01_Szimayer_Finite_approximation_schemes_2007.pdf||438.2 kB||Adobe PDF||Request a copy|
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