Arbeitspapier
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.
- Sprache
-
Englisch
- Erschienen in
-
Series: Discussion paper ; No. 3
- Klassifikation
-
Wirtschaft
Payout Policy
Capital Budgeting; Fixed Investment and Inventory Studies; Capacity
Operations Research; Statistical Decision Theory
Renewable Resources and Conservation: Forestry
- Thema
-
General random walk
optimal stopping
minimal functions
continuous pasting
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Lempa, Jukka
- Ereignis
-
Veröffentlichung
- (wer)
-
Aboa Centre for Economics (ACE)
- (wo)
-
Turku
- (wann)
-
2006
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:43 MEZ
Datenpartner
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Objekttyp
- Arbeitspapier
Beteiligte
- Lempa, Jukka
- Aboa Centre for Economics (ACE)
Entstanden
- 2006