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On infinite horizon optimal stopping of general random walk

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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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Authors and Affiliations

  1. Department of Economics, Quantitative Methods in Management, Turku School of Economics and Business Administration, 20500, Turku, Finland

    Jukka Lempa

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  1. Jukka Lempa
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Lempa, J. On infinite horizon optimal stopping of general random walk. Math Meth Oper Res 67, 257–268 (2008). https://doi.org/10.1007/s00186-007-0160-2

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  • DOI: https://doi.org/10.1007/s00186-007-0160-2

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