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Finite approximation schemes for Levy processes, and their application to optimal stopping problems

Szimayer, Alexander; Maller, Ross

Description

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,

CollectionsANU Research Publications
Date published: 2007
Type: Journal article
URI: http://hdl.handle.net/1885/35751
Source: Stochastic Processes and their Applications
DOI: 10.1016/j.spa.2007.01.012

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