Advances in Applied Probability

Optimal double stopping of a Brownian bridge

Erik J. Baurdoux, Nan Chen, Budhi A. Surya, and Kazutoshi Yamazaki

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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 a threshold type.

Article information

Source
Adv. in Appl. Probab., Volume 47, Number 4 (2015), 1212-1234.

Dates
First available in Project Euclid: 11 December 2015

Permanent link to this document
https://projecteuclid.org/euclid.aap/1449859807

Digital Object Identifier
doi:10.1239/aap/1449859807

Mathematical Reviews number (MathSciNet)
MR3433303

Zentralblatt MATH identifier
1333.60080

Subjects
Primary: 60G40: Stopping times; optimal stopping problems; gambling theory [See also 62L15, 91A60]
Secondary: 60H30: Applications of stochastic analysis (to PDE, etc.)

Keywords
Brownian bridge optimal double stopping buying-selling strategy

Citation

Baurdoux, Erik J.; Chen, Nan; Surya, Budhi A.; Yamazaki, Kazutoshi. Optimal double stopping of a Brownian bridge. Adv. in Appl. Probab. 47 (2015), no. 4, 1212--1234. doi:10.1239/aap/1449859807. https://projecteuclid.org/euclid.aap/1449859807


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