A Variational Inequality Sufficient Condition for Optimal Stopping with Application to an Optimal Stock Selling Problem
A Variational Inequality Sufficient Condition for Optimal Stopping with Application to an Optimal Stock Selling Problem
复制标题
DOI：
10.1137/050622699
复制
发表时间：
2006-02
期刊：
影响因子：
--
通讯作者：
R. Rishel;K. Helmes
中科院分区：
文献类型：
--
作者：
R. Rishel;K. Helmes
给出了最优停止问题的一个变分不等式充分条件。这一结果说明了计算解决方案的最佳股票销售问题。股票出售问题有一个股票价格模型，它最初有一个“热”的增长率，然后“坦克”。“条件的解允许计算值函数和最佳停止时间。最优股票销售时间计算两个效用函数和各种现实的参数值。
We give a variational inequality sufficient condition for optimal stopping problems. This result is illustrated by computing solutions to an optimal stock selling problem. The stock selling problem has a model for the stock price, which initially has a "hot" growth rate and then "tanks." Solution of the conditions allows for computation of both the value function and the optimal stopping times. Optimal stock selling times are computed for two utility functions and a variety of realistic parameter values.