Optimal stopping of a Brownian bridge
Erik Ekström and Henrik Wanntorp
Source: J. Appl. Probab.
Volume 46, Number 1
We study several optimal stopping problems in which the gains process is a Brownian
bridge or a functional of a Brownian bridge. Our examples constitute natural
finite-horizon optimal stopping problems with explicit solutions.
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Links and Identifiers
Permanent link to this document: http://projecteuclid.org/euclid.jap/1238592123
Digital Object Identifier: doi:10.1239/jap/1238592123
Mathematical Reviews number (MathSciNet): MR2508512
Zentralblatt MATH identifier: 1160.60319
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Mathematical Reviews (MathSciNet): MR250415