On a Solution of the Optimal Stopping Problem for Processes with Independent Increments
AbstractWe discuss a solution of the optimal stopping problem for the case when a reward function is a power function of a process with independent stationary increments (random walks or Levy processes) on an infinite time interval. It is shown that an optimal stopping time is the first crossing time through a level defined as the largest root of the Appell function associated with the maximum of the underlying process.
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Bibliographic InfoPaper provided by Quantitative Finance Research Centre, University of Technology, Sydney in its series Research Paper Series with number 178.
Date of creation: 01 Jun 2006
Date of revision:
This paper has been announced in the following NEP Reports:
- NEP-ALL-2006-07-09 (All new papers)
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