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

Date

Authors

Szimayer, Alexander

Maller, Ross

Publisher

Elsevier

Abstract

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,

Keywords

Keywords: Problem solving; Random processes; Discrete processes; Optimal stopping; Approximation algorithms Approximation; Lévy process; Optimal stopping

URI

http://hdl.handle.net/1885/35751

Collections

ANU Research Publications

Source

Stochastic Processes and their Applications

Type

Journal article

DOI

10.1016/j.spa.2007.01.012

Restricted until

2037-12-31

Downloads

File

Description

01_Szimayer_Finite_approximation_schemes_2007.pdf (438.2 KB)