Revisiting a Theorem of L.A. Shepp on Optimal Stopping
Mathematical Finance
2016-05-04 v1
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 \cite{Shepp}. Our approach is that of guessing the optimal control function and proving its optimality with martingales. Without martingale theory one could hardly prove our guess to be correct.
Keywords
Cite
@article{arxiv.1605.00762,
title = {Revisiting a Theorem of L.A. Shepp on Optimal Stopping},
author = {Philip Ernst and Larry Shepp},
journal= {arXiv preprint arXiv:1605.00762},
year = {2016}
}
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5 pages