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...
| Main Authors: | , , |
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| Format: | Journal article |
| Language: | English |
| Published: |
2009
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