Optimal stopping of a Brownian bridge

Optimal stopping of a Brownian bridge

Erik Ekström and Henrik Wanntorp

Source: J. Appl. Probab. Volume 46, Number 1 (2009), 170-180.

Abstract

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.

First Page: Show

Primary Subjects: 60G40

Secondary Subjects: 60H30

Keywords: Optimal stopping; Brownian bridge

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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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Digital Object Identifier: doi:10.1214/aoms/1177697604

Project Euclid: euclid.aoms/1177697604

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