On infinite horizon optimal stopping of general random walk

Jukka Lempa

Mathematical Methods of Operations Research, 2008, vol. 67, issue 2, 257-268

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. Copyright Springer-Verlag 2008

Keywords: General random walk; Optimal stopping; Minimal functions; Continuous pasting; 93E20; 60G40; 60G50; 49J10; 49K10; G35; G31; C44; Q23 (search for similar items in EconPapers)
Date: 2008
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DOI: 10.1007/s00186-007-0160-2

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