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.

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Year of publication:	2006-06-01
Authors:	Novikov, Alexander ; Shiryaev, Albert
Institutions:	Finance Discipline Group, Business School

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Extent:	application/pdf
Series:	Research Paper Series.
Type of publication:	Book / Working Paper
Notes:	Number 178 1 pages long
Source:	RePEc - Research Papers in Economics

Persistent link: https://ebvufind01.dmz1.zbw.eu/10005102337