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

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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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en

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application/pdf

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http://eprints.lse.ac.uk/23918/1/Examples_of_optimal_stopping_via_measure_transformation_for_processes_with_one-sided_jumps_%28lsero%29.pdf

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