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On a Solution of the Optimal Stopping Problem for Processes with Independent Increments

We discuss a solution of the optimal stopping problem for the case when a reward function is a power function of a process with independent stationary increments (random walks or Levy processes) on an infinite time interval. It is shown that an optimal stopping time is the first crossing time through a level defined as the largest root of the Appell function associated with the maximum of the underlying process.
Year of publication:
2006-06-01
Authors: Novikov, Alexander ; Shiryaev, Albert
Institutions: Finance Discipline Group, Business School
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application/pdf
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Type of publication: Book / Working Paper
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Number 178 1 pages long
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Persistent link: https://www.econbiz.de/10005102337
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