作者：Acciaio, Beatrice; Hou, Songyan
作者单位：Swiss Federal Institutes of Technology Domain; ETH Zurich
摘要：nite discrete-time. We show that the adapted empirical measure introduced in in compact spaces can be defined analogously on Rd, and that it converges almost surely to the underlying measure under the adapted Wasserstein distance. Moreover, we quantitatively analyze the convergence of the adapted Wasserstein distance between those two measures. We establish convergence rates of the expected error as well as the deviation error under different moment conditions. Under suitable integrability and...
作者：Talbi, Mehdi; Touzi, Nizar; Zhang, Jianfeng
作者单位：Universite Paris Cite; New York University; New York University Tandon School of Engineering; University of Southern California
摘要：This paper analyzes the convergence of the finite population optimal stopping problem towards the corresponding mean field limit. Building on the viscosity solution characterization of the mean field optimal stopping problem of our previous papers ( SIAM J. Control Optim. 61 (2023) 1712-1736, 2140-2164), we prove the convergence of the value functions by adapting the Barles-Souganidis ( Asymptot. Anal. 4 (1991) 271-283) monotone scheme method to our context. We next characterize the optimal st...
