On infinite horizon optimal stopping of general random walk

DOI10.1007/S00186-007-0160-2MaRDI QIDQ2483012zbMATH OpenOpenAlexFDO

Authors Jukka Lempa

Publication date 5 May 2008

Published in Mathematical Methods of Operations Research (Search for Journal in Brave)

Full work available at URL http://www.ace-economics.fi/kuvat/ACE3%20Lempa.pdf

zbMATH Keywords

continuous pastinggeneral random walkminimal functionsoptimal stopping

Mathematics Subject Classification ID

Existence of optimal solutions to problems involving randomness (49J55) Optimality conditions for solutions belonging to restricted classes (Lipschitz controls, bang-bang controls, etc.) (49K30) Stopping times; optimal stopping problems; gambling theory (60G40) Financial applications of other theories (91G80) Optimal stochastic control (93E20)

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Cites work

• American options in regime-switching models
• Applications of Martingale System Theorems
• Bounds for Stopped Partial Sums
• scientific article; zbMATH DE number 1817636 (Why is no real title available?)
• scientific article; zbMATH DE number 3858118 (Why is no real title available?)
• On the optimal stopping problem for one-dimensional diffusions.
• Optimal stopping and perpetual options for Lévy processes
• Optimal Stopping for Partial Sums
• Optimal Stopping When the Future is Discounted
• Perpetual American Options Under Lévy Processes
• Reward functionals, salvage values, and optimal stopping
• Russian and American put options under exponential phase-type Lévy models.
• Sequential testing problems for Poisson processes.
• Some remarks on first passage of Lévy processes, the American put and pasting principles
• The pricing of options and corporate liabilities
• The right time to sell a stock whose price is driven by Markovian noise

Cited in

(6)

• A general `bang-bang' principle for predicting the maximum of a random walk
• A model of finite-step random walk with absorbent boundaries
• An optimal stopping problem for random walks with non-zero drift
• Some extensions of optimal stopping with financial applications
• On an Effective Solution of the Optimal Stopping Problem for Random Walks
• Optimal stopping time for geometric random walks with power payoff function

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