Optimal stopping for processes with independent increments , and applications

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...

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Autors principals:	Deligiannidis, G, Le, H, Utev, S
Format:	Journal article
Idioma:	English
Publicat:	2009

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