Optimal double stopping of a Brownian bridge

Baurdoux, Erik J. ORCID: 0000-0002-5407-0683, 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

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Abstract

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.

Item Type:	Article
Official URL:	http://www.appliedprobability.org/content.aspx?Gro...
Additional Information:	© 2015 Applied Probability Trust
Divisions:	Statistics
Subjects:	H Social Sciences > HA Statistics
Date Deposited:	16 Apr 2015 16:23
Last Modified:	12 Dec 2024 00:52
URI:	http://eprints.lse.ac.uk/id/eprint/61618

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