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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Identification Number: 10.1239/aap/1449859807
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 |
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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: | 16 May 2024 02:01 |
URI: | http://eprints.lse.ac.uk/id/eprint/61618 |
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