On infinite horizon optimal stopping of general random walk |
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Authors: | Jukka Lempa |
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Institution: | (1) Department of Economics, Quantitative Methods in Management, Turku School of Economics and Business Administration, 20500 Turku, Finland |
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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.
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Keywords: | General random walk Optimal stopping Minimal functions Continuous pasting |
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