Convergence of values in optimal stopping

Details Convergence of values in optimal stopping Convergence of values in optimal stopping

2004-05-26

arxiv.org/abs/math/0405494v1

Mathematics

Probability

Scientific paper

Under the hypothesis of convergence in probability of a sequence of
c\`adl\`ag processes $(X^n)_n$ to a c\`adl\`ag process $X$, we are interested
in the convergence of corresponding values in optimal stopping. We give results
under hypothesis of inclusion of filtrations or convergence of filtrations.

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