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Optimal Stopping of a Brownian Bridge

Part of: Stochastic analysis Stochastic processes

Published online by Cambridge University Press:  14 July 2016

Erik Ekström  and
Henrik Wanntorp
Erik Ekström*
Affiliation:
Uppsala University
Henrik Wanntorp*
Affiliation:
Uppsala University
*
∗ Postal address: Department of Mathematics, Uppsala University, Box 480, SE-751 06 Uppsala, Sweden.
∗ Postal address: Department of Mathematics, Uppsala University, Box 480, SE-751 06 Uppsala, Sweden.
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Abstract

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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.

Keywords

Optimal stoppingBrownian bridge

MSC classification

Secondary: 60G40: Stopping times; optimal stopping problems; gambling theory 60H30: Applications of stochastic analysis (to PDE, etc.)

Information

Type
Research Article
Information
Journal of Applied Probability , Volume 46 , Issue 1 , March 2009 , pp. 170 - 180
Copyright
Copyright © Applied Probability Trust 2009 

References

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