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Convergence of values in optimal stopping and convergence of optimal stopping times

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References

1981Les Aspects Probabilistes Du Controle Stochastique448 cited
1989Stopping Times and Tightness. II347 cited
1978Changes of filtrations and of probability measures207 cited
1994CONVERGENCE OF AMERICAN OPTION VALUES FROM DISCRETE‐ TO CONTINUOUS‐TIME FINANCIAL MODELS1118 cited
1977Compactness of stopping times97 cited
1997Introduction au calcul stochastique appliqué à la finance90 cited
2001On Weak Convergence of Filtrations45 cited
1998Functional convergence of Snell envelopes: Applications to American options approximations33 cited

Cited by

2022Estimating processes in adapted Wasserstein distance30 cited
2007Finite approximation schemes for Lévy processes, and their application to optimal stopping problems25 cited
2010The COGARCH: a review, with news on option pricing and statistical inference22 cited

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