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.
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- Ernesto Mordecki, 2002. "Optimal stopping and perpetual options for Lévy processes," Finance and Stochastics, Springer, vol. 6(4), pages 473-493.
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