On Infinite Horizon Optimal Stopping of General Random Walk

Jukka Lempa ()
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Jukka Lempa: Department of Economics, Quantitative Methods in Management, Turku School of Economics

No 3, Discussion Papers from Aboa Centre for Economics

Abstract: 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.

Keywords: General random walk; optimal stopping; minimal functions; continuous pasting (search for similar items in EconPapers)
JEL-codes: G35 G31 C44 Q23 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ets and nep-fin
Date: 2006-04
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