Approximation of optimal stopping problems
نویسندگان
چکیده
منابع مشابه
Approximation of optimal stopping problems
We consider optimal stopping of independent sequences. Assuming that the corresponding imbedded planar point processes converge to a Poisson process we introduce some additional conditions which allow to approximate the optimal stopping problem of the discrete time sequence by the optimal stopping of the limiting Poisson process. The optimal stopping of the involved Poisson processes is reduced...
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ژورنال
عنوان ژورنال: Stochastic Processes and their Applications
سال: 2000
ISSN: 0304-4149
DOI: 10.1016/s0304-4149(00)00048-x