(1) Equipe d'Analyse et de Mathématiques Appliquées, Université de Marne-la-Vallée, 5 Boulevard Descartes, Cité Descartes, Champs-sur-Marne, 77 454 Marne-la-Vallée Cedex 2, France dlamb@math.univ-mlv.fr, FR
Abstract:
One way to compute the value function of an optimal stopping problem along Brownian paths consists of approximating Brownian motion by a random walk. We derive error estimates for this type of approximation under various assumptions on the distribution of the approximating random walk.