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

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dc.contributor.authorSzimayer, Alexander
dc.contributor.authorMaller, Ross
dc.date.accessioned2015-12-08T22:37:59Z
dc.date.issued2007
dc.date.updated2015-12-08T10:04:51Z
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.identifier.issn0304-4149
dc.identifier.urihttp://hdl.handle.net/1885/35751
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.bibliographicCitation.lastpage1447
local.bibliographicCitation.startpage1422
local.contributor.affiliationSzimayer, Alexander, College of Business and Economics, ANU
local.contributor.affiliationMaller, Ross, College of Business and Economics, ANU
local.contributor.authoruidSzimayer, Alexander, u4329835
local.contributor.authoruidMaller, Ross, u4061848
local.description.embargo2037-12-31
local.description.notesImported from ARIES
local.identifier.absfor010406 - Stochastic Analysis and Modelling
local.identifier.ariespublicationu3169606xPUB128
local.identifier.citationvolume117
local.identifier.doi10.1016/j.spa.2007.01.012
local.identifier.scopusID2-s2.0-34548206440
local.type.statusPublished Version

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