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.

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Year of publication:	2006
Authors:	Lempa, Jukka
Publisher:	Turku : Aboa Centre for Economics (ACE)
Subject:	General random walk \| optimal stopping \| minimal functions \| continuous pasting

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Series:	Discussion paper ; 3
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	hdl:10419/233219 [Handle] RePEc:tkk:dpaper:dp3 [RePEc]
Classification:	G35 - Payout Policy ; G31 - Capital Budgeting; Investment Policy ; C44 - Statistical Decision Theory; Operations Research ; Q23 - Forestry
Source:	EconStor

Persistent link: https://www.econbiz.de/10012502957