Optimal stopping for processes with independent increments , and applications
In this paper we present an explicit solution to the infinite-horizon optimal stopping problem for processes with stationary independent increments , where reward functions admit a certain representation in terms of the process at a random time. It is shown that it is optimal to stop at the first ti...
| Автори: | , , |
|---|---|
| Формат: | Journal article |
| Мова: | English |
| Опубліковано: |
2009
|