A1 Refereed original research article in a scientific journal
On infinite horizon optimal stopping of general random walk
Authors: Jukka Lempa
Publication year: 2008
Volume: 67
Issue: 2
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.