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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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

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

First available in Project Euclid: 11 December 2015

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Zentralblatt MATH identifier

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

Brownian bridge optimal double stopping buying-selling strategy


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.

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