On Infinite Horizon Optimal Stopping of General Random Walk

Arbeitspapier

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.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: Discussion paper ; No. 3

Classification and Topics

• Classification: Wirtschaft ; Payout Policy ; Capital Budgeting; Fixed Investment and Inventory Studies; Capacity ; Operations Research; Statistical Decision Theory ; Renewable Resources and Conservation: Forestry
• Subject: General random walk ; optimal stopping ; minimal functions ; continuous pasting

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Lempa, Jukka
• Event: Veröffentlichung
• (who): Aboa Centre for Economics (ACE)
• (where): Turku
• (when): 2006

Further information

• Handle: http://hdl.handle.net/10419/233219
• Last update: 10.03.2025, 11:43 AM CET