On a solution of the optimal stopping problem for processes with independent increments

Novikov, A; Shiryaev, A

On a solution of the optimal stopping problem for processes with independent increments

Novikov, A

Shiryaev, A

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Publication Type:: Journal Article
Citation:: Stochastics, 2007, 79 (3-4), pp. 393 - 406
Issue Date:: 2007-06-01

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Field	Value	Language
dc.contributor.author	Novikov, A https://orcid.org/0000-0001-8529-173X	en_US
dc.contributor.author	Shiryaev, A	en_US
dc.date.issued	2007-06-01	en_US
dc.identifier.citation	Stochastics, 2007, 79 (3-4), pp. 393 - 406	en_US
dc.identifier.issn	1744-2508	en_US
dc.identifier.uri	http://hdl.handle.net/10453/4381
dc.description.abstract	We discuss a solution of the optimal stopping problem for the case when a reward function is a power function of a process with independent stationary increments (random walks or Levy processes) on an infinite time interval. It is shown that an optimal stopping time is the first crossing time through a level defined as the largest root of the Appell function associated with the maximum of the underlying process.	en_US
dc.relation.ispartof	Stochastics	en_US
dc.relation.isbasedon	10.1080/17442500601090409	en_US
dc.subject.classification	Statistics & Probability	en_US
dc.title	On a solution of the optimal stopping problem for processes with independent increments	en_US
dc.type	Journal Article
utslib.citation.volume	3-4	en_US
utslib.citation.volume	79	en_US
utslib.for	010205 Financial Mathematics	en_US
utslib.for	010406 Stochastic Analysis and Modelling	en_US
utslib.for	01 Mathematical Sciences	en_US
utslib.for	15 Commerce, Management, Tourism and Services	en_US
pubs.embargo.period	Not known	en_US
pubs.organisational-group	/University of Technology Sydney
pubs.organisational-group	/University of Technology Sydney/Faculty of Science
pubs.organisational-group	/University of Technology Sydney/Faculty of Science/School of Mathematical and Physical Sciences
pubs.organisational-group	/University of Technology Sydney/Strength - QFRC - Quantitative Finance Research Centre
utslib.copyright.status	closed_access
pubs.issue	3-4	en_US
pubs.publication-status	Published	en_US
pubs.volume	79	en_US

Abstract:

We discuss a solution of the optimal stopping problem for the case when a reward function is a power function of a process with independent stationary increments (random walks or Levy processes) on an infinite time interval. It is shown that an optimal stopping time is the first crossing time through a level defined as the largest root of the Appell function associated with the maximum of the underlying process.

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http://hdl.handle.net/10453/4381