Ju n 20 08 An explicit solution for an optimal stopping / optimal control problem which models an asset sale

@inproceedings{Henderson2007JuN2,
  title={Ju n 20 08 An explicit solution for an optimal stopping / optimal control problem which models an asset sale},
  author={Vicky Henderson and David Hobson},
  year={2007}
}
In this article we study an optimal stopping/optimal control problem which models the decision facing a risk averse agent over when to sell an asset. The market is incomplete so that the asset exposure cannot be hedged. In addition to the decision over when to sell, the agent has to choose a control strategy which corresponds to a feasible wealth process. We formulate this problem as one involving the choice of a stopping time and a martingale. We conjecture the form of the solution and verify… CONTINUE READING

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