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.General random walk, optimal stopping, minimal functions, continuous pasting

Jukka Lempa

Research Papers in Economics

English

Appendix: A Free Boundary Problem for the Heat Equation Arising from a Problem of Mathematical Economics,

Application of boundary theory to sums of random variables,

Applications of Martingale System Theorems,

Bounds for Stopped Partial Sums,

Handbook of Brownian Motion - Facts and Formul,

On the Optimal Stopping Problem for One-Dimensional Di®usions,

Optimal Stopping and Perpetual Options for L¶ evy Processes,

Optimal Stopping for Partial Sums,

Optimal Stopping When the Future is Discounted,

Practical Guide to Real Options in Discrete Time,

Pricing American Options Under L¶ evy Processes,

Reward Functionals, Salvage Values, and Optimal Stopping,

Some Remarks on

Stochastic Di®erential Equations,

Stochastic Optimal Control: The Discrete-Time Case,

The Pricing of Options and Corporate Liabilities,

The Right Time to Sell a Stock Whose Price is Driven by Markovain Noise,

On Infinite Horizon Optimal Stopping of General Random Walk