  Let X_t, 0<=t<=T be a one-dimensional stochastic process with independent and
stationary increments. This paper considers the problem of stopping the process
X_t "as close as possible" to its eventual supremum M_T:=sup{X_t: 0<=t<=T},
when the reward for stopping with a stopping time tau<=T is a nonincreasing
convex function of M_T-X_tau. Under fairly general conditions on the process
X_t, it is shown that the optimal stopping time tau is of "bang-bang" form: it
is either optimal to stop at time 0 or at time T. For the case of random walk,
the rule tau=T is optimal if the steps of the walk stochastically dominate
their opposites, and the rule tau=0 is optimal if the reverse relationship
holds. For Le'vy processes X_t with finite Le'vy measure, an analogous result
is proved assuming that the jumps of X_t satisfy the above condition, and the
drift of X_t has the same sign as the mean jump. Finally, conditions are given
under which the result can be extended to the case of nonfinite Le'vy measure.
