On Infinite Horizon Optimal Stopping of General Random Walk
AbstractThe 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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Bibliographic InfoPaper provided by Aboa Centre for Economics in its series Discussion Papers with number 3.
Date of creation: Apr 2006
Date of revision:
General random walk; optimal stopping; minimal functions; continuous pasting;
Find related papers by JEL classification:
- G35 - Financial Economics - - Corporate Finance and Governance - - - Payout Policy
- G31 - Financial Economics - - Corporate Finance and Governance - - - Capital Budgeting; Fixed Investment and Inventory Studies
- C44 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Operations Research; Statistical Decision Theory
- Q23 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Renewable Resources and Conservation - - - Forestry
This paper has been announced in the following NEP Reports:
- NEP-ALL-2006-07-28 (All new papers)
- NEP-ETS-2006-07-28 (Econometric Time Series)
- NEP-FIN-2006-07-28 (Finance)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Svetlana Boyarchenko & Sergei Levendorskii, 2004.
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