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Revisiting a Theorem of L.A. Shepp on Optimal Stopping | | Philip Ernst
; Larry Shepp
; | | Date: |
3 May 2016 | | 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. | | Source: | arXiv, 1605.0762 | | Services: | Forum | Review | PDF | Favorites | |
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