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Stochastics
An International Journal of Probability and Stochastic Processes
Volume 79, 2007 - Issue 3-4: Special issue on optimal stopping with applications
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Original Articles

Examples of optimal stopping via measure transformation for processes with one-sided jumps

Pages 303-307 | Received 02 May 2006, Accepted 13 Jun 2006, Published online: 05 Nov 2008
 

Abstract

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.

MSC classifications::

Acknowledgements

This note was written during a stay at Heriot-Watt University, Edinburgh and I would like to express my gratitude for their hospitality and support. I also thank the referee for his/her valuable comments.

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