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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,

dc.contributor.authorSzimayer, Alexander
dc.contributor.authorMaller, Ross
dc.date.accessioned2015-12-08T22:37:59Z
dc.identifier.issn0304-4149
dc.identifier.urihttp://hdl.handle.net/1885/35751
dc.description.abstractThis 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,
dc.publisherElsevier
dc.sourceStochastic Processes and their Applications
dc.subjectKeywords: Problem solving; Random processes; Discrete processes; Optimal stopping; Approximation algorithms Approximation; Lévy process; Optimal stopping
dc.titleFinite approximation schemes for Levy processes, and their application to optimal stopping problems
dc.typeJournal article
local.description.notesImported from ARIES
local.identifier.citationvolume117
dc.date.issued2007
local.identifier.absfor010406 - Stochastic Analysis and Modelling
local.identifier.ariespublicationu3169606xPUB128
local.type.statusPublished Version
local.contributor.affiliationSzimayer, Alexander, College of Business and Economics, ANU
local.contributor.affiliationMaller, Ross, College of Business and Economics, ANU
local.description.embargo2037-12-31
local.bibliographicCitation.startpage1422
local.bibliographicCitation.lastpage1447
local.identifier.doi10.1016/j.spa.2007.01.012
dc.date.updated2015-12-08T10:04:51Z
local.identifier.scopusID2-s2.0-34548206440
CollectionsANU Research Publications

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