A Variational Inequality Sufficient Condition for Optimal Stopping with Application to an Optimal Stock Selling Problem

  • Authors:

  • Raymond Rishel;Kurt Helmes

  • Affiliations:

  • -;-

  • Venue:
  • SIAM Journal on Control and Optimization
  • Year:
  • 2006

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Abstract

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.