Author(s)

Nguyen Khac Minh¹, Nguyen Thanh Trung², Pham Van Khanh¹

¹Thang Long Institute of Mathematics and Applied Science, Hanoi, Vietnam.
²Faculty of Fundamental Science, Military Academy of Logistics, Hanoi, Vietnam.

Assume that we want to shell an asset with unknown drift but known that the drift is a two value random variable, and the initial distribution can be estimated. As time goes by, this distribution is updated and base on the probability of the drift takes the small one gives us the stopping rule. Research results show that the optimal strategy to sell the asset is if the initial probability that the drift receives a small value greater than a certain threshold then liquidates the asset immediately, otherwise the asset holder will wait until the probability of the drift receives a small value passing a certain threshold, it is the optimal time to liquidate the asset.

Optimal Stopping Time, Incomplete Information, Probability Process

Minh, N. , Trung, N. and Khanh, P. (2018) The Optimal Stopping Time for Selling an Asset When It Is Uncertain Whether the Price Process Is Increasing or Decreasing When the Horizon Is Infinite. American Journal of Operations Research, 8, 82-91. doi: 10.4236/ajor.2018.82007.