Optimal double stopping of a Brownian bridge
Baurdoux, E. J.
, Chen, N., Surya, B. & Yamazak, K.
(2015).
Optimal double stopping of a Brownian bridge.
Advances in Applied Probability,
47(4), 1212-1234.
https://doi.org/10.1239/aap/1449859807
, Chen, N., Surya, B. & Yamazak, K.
(2015).
Optimal double stopping of a Brownian bridge.
Advances in Applied Probability,
47(4), 1212-1234.
https://doi.org/10.1239/aap/1449859807
We study optimal double stopping problems driven by a Brownian bridge. The objective is to maximize the expected spread between the payoffs achieved at the two stopping times. We study several cases where the solutions can be solved explicitly by strategies of threshold type.