Mathematics for Economists

Optimal stopping

As(ξk)are independent

VT 1 = max



kmaxT 1 ξk,E(maxnTξnj FT^1 )

1 +r



=

= max



max

kT 1

ξk,E(max(maxnT^1 ξn,ξT)j FT^1 )

1 +r



=

= max



max

kT 1

ξk,h



max

kT 1

ξk



where

h(x)$E(max(x,ξT))

1 +r

.