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:	2006-04
Authors:	Lempa, Jukka
Institutions:	Turun Kauppakorkeakoulu, Turun Yliopisto
Subject:	General random walk \| optimal stopping \| minimal functions \| continuous pasting

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Extent:	application/pdf
Series:	Discussion Papers. - ISSN 1796-3133.
Type of publication:	Book / Working Paper
Language:	English
Notes:	Number 3 1 pages long
Classification:	G35 - Payout Policy ; G31 - Capital Budgeting; Investment Policy ; C44 - Statistical Decision Theory; Operations Research ; Q23 - Forestry
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005170526