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Lévy process Approximation Optimal stopping 1
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Maller, Ross A. 1 Szimayer, Alex 1
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Stochastic Processes and their Applications 1
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Finite approximation schemes for Lévy processes, and their application to optimal stopping problems
Szimayer, Alex; Maller, Ross A. - In: Stochastic Processes and their Applications 117 (2007) 10, pp. 1422-1447
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, as the time interval becomes finer and...
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