Central Limit Theorem for the Estimator of the Value of an Optimal Stopping Problem

• Autores: Tomás Prieto Rumeau
• Localización: Test: An Official Journal of the Spanish Society of Statistics and Operations Research, ISSN-e 1863-8260, ISSN 1133-0686, Vol. 14, Nº. 1, 2005, págs. 215-237
• Idioma: inglés
• DOI: 10.1007/bf02595404
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• Resumen

  • We consider an optimal stopping problem defined on a finite Markov chain whose transition probabilities are unknown. We prove a central limit theorem for the maximum likelihood estimator and the stretch estimator of the optimal value of the optimal stopping problem. Also, we propose a perturbation technique to weaken the hypotheses of the central limit theorem.