On an Effective Solution of the Optimal Stopping Problem for Random Walks
Alexander A. Novikov, Albert Nikolaevich Shiryaev · Theory of Probability and Its Applications · 2005
We find a solution of the optimal stopping problem for the case when a reward function is an integer power function of a random walk on an infinite time interval. It is shown that an optimal stopping time is a first crossing time through a level defined as the largest root of Appell's polynomial associated with the maximum of the random walk. It is also shown that a value function of the optimal stopping problem on the finite interval $\{0,1,\ldots,T\}$ converges with an exponential rate as $T\to\infty$ to the limit under the assumption that jumps of the random walk are exponentially bounded.