On infinite horizon optimal stopping of general random walk | Zendy

Jukka Lempa | Zendy

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On infinite horizon optimal stopping of general random walk

Author(s) -

Jukka Lempa

Publication year - 2007

Publication title -

mathematical methods of operations research

Language(s) - English

Resource type - Journals

SCImago Journal Rank - 0.524

H-Index - 48

eISSN - 1432-5217

pISSN - 1432-2994

DOI - 10.1007/s00186-007-0160-2

Subject(s) - optimal stopping , stopping time , random walk , mathematics , sequence (biology) , random variable , optional stopping theorem , stochastic process , bellman equation , mathematical optimization , function (biology) , value (mathematics) , statistics , genetics , evolutionary biology , biology

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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