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

François Coquet, Sandrine Toldo

Published 2005-04-15, updated 2005-10-19Version 2

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