Optimal double stopping of a Brownian bridge
Baurdoux, Erik J.
; Chen, Nan; Surya, Budhi; and Yamazak, Kazutoshi
(2015)
Optimal double stopping of a Brownian bridge
Advances in Applied Probability, 47 (4).
pp. 1212-1234.
ISSN 0001-8678
; Chen, Nan; Surya, Budhi; and Yamazak, Kazutoshi
(2015)
Optimal double stopping of a Brownian bridge
Advances in Applied Probability, 47 (4).
pp. 1212-1234.
ISSN 0001-8678
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.
-
picture_as_pdf -
subject - Accepted Version
Downloads