Optimal stopping
The left side is increasing the right side decrasing soS=fxag,where
ais the solution of the equation
( 1 +r)a=aF(a)+
Z∞
a
xdF(x).
One should sell atT 1 if
nmaxT 1 ξn^2 S
=
nmaxT 1 ξna
,
otherwise one should continue. We show that
τ=min
njmax
kn
ξk 2 S
^T=min
njmax
kn
ξka