Optimal stopping of an Ornstein–Uhlenbeck bridge-Reference-Cited by-同舟云学术

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Optimal stopping of an Ornstein–Uhlenbeck bridge

Published:2024-06 Issue: Volume:172 Page:104342
ISSN:0304-4149
Container-title:Stochastic Processes and their Applications
language:en
Short-container-title:Stochastic Processes and their Applications

Author:

Azze A.^ORCID,D’Auria B.,García-Portugués E.

Funder

Agencia Estatal de Investigación

Comunidad de Madrid

Ministerio de Ciencia, Innovación y Universidades

Ministerio de Ciencia e Innovación

Universidad Carlos III de Madrid

Publisher

Elsevier BV

Reference35 articles.

1. Optimal stopping of Gauss–Markov bridges;Azze;Adv. Appl. Probab.,2025

2. Sample path deviations of the Wiener and the Ornstein–Uhlenbeck process from its bridges;Barczy;Braz. J. Probab. Stat.,2013

3. Optimal double stopping of a Brownian bridge;Baurdoux;Adv. Appl. Probab.,2015

4. On a criterion for Gaussian random processes to be Markovian;Borisov;Theory Probab. Its Appl.,1983

5. Handbook of Brownian Motion: Facts and Formulae;Borodin,2002

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