Rate of convergence for certain optimal stopping problems

• Autores: Andry Klesov
• Localización: Publicationes Mathematicae Debrecen, ISSN 0033-3883, Tomus 76, Fasc. 3-4, 2010, págs. 317-328
• Idioma: inglés
• DOI: 10.5486/pmd.2010.4640
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• Resumen

  • We prove that the rate of convergence of a solution of the optimal stopping problem for a Levy process on an interval [0; T] to that on the interval [0;1) is exponential as T ! 1.