Revisiting a theorem of L. A. Shepp on optimal stopping
File(s)
Author(s)
Ernst, Philip A
Shepp, Larry A
Type
Journal Article
Abstract
Using a bondholder who seeks to determine when to sell his bond
as our motivating example, we revisit one of Larry Shepp’s classical theorems
on optimal stopping. We offer a novel proof of Theorem 1 from from [7].
Our approach is that of guessing the optimal control function and proving its
optimality with martingales.
as our motivating example, we revisit one of Larry Shepp’s classical theorems
on optimal stopping. We offer a novel proof of Theorem 1 from from [7].
Our approach is that of guessing the optimal control function and proving its
optimality with martingales.
Date Issued
2015-09-01
Date Acceptance
2015-09-01
Citation
Communications on Stochastic Analysis, 2015, 9 (3), pp.419-423
ISSN
0973-9599
Publisher
Serials Publications
Start Page
419
End Page
423
Journal / Book Title
Communications on Stochastic Analysis
Volume
9
Issue
3
Copyright Statement
© 2015 The Author(s)
Identifier
https://digitalcommons.lsu.edu/cosa/vol9/iss3/8/
Publication Status
Published
Date Publish Online
2015-09-01