On infinite horizon optimal stopping of general random walk

The objective of this study is to provide an alternative characterization of the optimal value function of a certain Black–Scholes-type optimal stopping problem where the underlying stochastic process is a general random walk, i.e. the process constituted by partial sums of an IID sequence of random variables. Furthermore, the pasting principle of this optimal stopping problem is studied. Copyright Springer-Verlag 2008

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Year of publication:	2008
Authors:	Lempa, Jukka
Published in:	Computational Statistics. - Springer. - Vol. 67.2008, 2, p. 257-268
Publisher:	Springer
Subject:	General random walk \| Optimal stopping \| Minimal functions \| Continuous pasting

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Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

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