Discrete-type approximations for non-Markovian optimal stopping problems: Part I
2019 ◽
Vol 56
(4)
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pp. 981-1005
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Keyword(s):
AbstractWe present a discrete-type approximation scheme to solve continuous-time optimal stopping problems based on fully non-Markovian continuous processes adapted to the Brownian motion filtration. The approximations satisfy suitable variational inequalities which allow us to construct $\varepsilon$ -optimal stopping times and optimal values in full generality. Explicit rates of convergence are presented for optimal values based on reward functionals of path-dependent stochastic differential equations driven by fractional Brownian motion. In particular, the methodology allows us to design concrete Monte Carlo schemes for non-Markovian optimal stopping time problems as demonstrated in the companion paper by Bezerra et al.
1998 ◽
Vol 35
(04)
◽
pp. 856-872
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1998 ◽
Vol 35
(4)
◽
pp. 856-872
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2014 ◽
Vol 51
(03)
◽
pp. 799-817
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2014 ◽
Vol 51
(3)
◽
pp. 799-817
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