Examples of optimal stopping via measure transformation for processes with one-sided jumps
Baurdoux, Erik J.
(2007)
Examples of optimal stopping via measure transformation for processes with one-sided jumps.
Stochastics: an International Journal of Probability and Stochastic Processes, 79 (3).
pp. 303-307.
ISSN 1744-2508
(2007)
Examples of optimal stopping via measure transformation for processes with one-sided jumps.
Stochastics: an International Journal of Probability and Stochastic Processes, 79 (3).
pp. 303-307.
ISSN 1744-2508
In this short note, we show that the method introduced by Beibel and Lerche (1997) for solving certain optimal stopping problems for Brownian motion can be applied as well to some optimal stopping problems involving processes with one-sided jumps.
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