演講公告
清華大學、交通大學
統 計 學 研 究 所
專 題 演 講
題 目: Theory of Continuity Correction in Optimal Stopping with Applications
主講人: 姚怡慶博士 (中研院統計所)
時 間: 97年4月25日（星期五）10：40 - 11：30
（上午10：20-10：40茶會於統計所821室舉行）
地 點: 清大綜合三館837室
Abstract
Chernoff (1965) and Chernoff and Petkau (1976) introduced a second-order
correction for computing the optimal stopping boundary of Brownian motion via
a random walk approximation and the backward induction algorithm of
discrete-time dynamic programming. This talk will briefly review the recent
work of Lai, Yao and AitSahlia (2007) which provides further theoretical
justification for the continuity-correction theory. Several examples will
also be presented including the S_n/n problem, Gittins index and American put
option.
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