There are many things to admire about the so-called Moore method, in which all the theorems and aspects of a course (e.g. real analysis) become problems for you to solve on your own.
But sometimes, for time management or out of frustration, you want to just give up on a problem.
With the pragmatic aim of maximising what I understand of the subject and honing techniques I have for problem-solving, when should I give up?
There is a similar question, but from the point of view of enjoyment of Olympiads, which is not the same:
When to give up on a hard math problem?
EDIT: To make things specific, could you name a moment when you yourself gave up on a problem deservedly? Or name a mathematical fact whose proof is not that complicated but is really really hard to find out on your own?
A real-life example from today: I tried to prove the Lebesgue Density Theorem today. I had gone through a brief course on the Lebesgue integral. During today's thoughts, I independently found the concept of a Vitali Cover (without knowing that that was the name of it) but didn't articulate the crucial main theorem on Vitali Covers. In around eight hours, I gave up and looked up the solution.
As mentioned in the comments, there will not be a single or straightforward answer, but I cannot resists making a few observations and comments. I always felt a strong urge to discover everything myself, but this approach is limited by available time, and not very efficient. While it is nice to try this yourself, I am sceptical whether the benefits (better understanding) are significant.
Addendum If you do Maths in your free time, it could be an enjoyable pastime to "re-discover" mathematical concepts, or prove known results. As a researcher who wants to learn about a new topic, the approach would usually be to read about it, and try some simple exercise problems, or simply to sanity checks like "Why does the author claim that X is true?". Especially in graduate topics, there is no time to re-discover a new field all by yourself. This is hard enough for undergraduate topics - how long would it take to discover all the proofs of a Linear Algebra lecture, or the like?