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

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Szimayer, Alexander
Maller, Ross

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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,

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Stochastic Processes and their Applications

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Restricted until

2037-12-31