Optimal double stopping of a Brownian bridge-Reference-Cited by-同舟云学术

Optimal double stopping of a Brownian bridge

Published:2015-12 Issue:4 Volume:47 Page:1212-1234
ISSN:0001-8678
Container-title:Advances in Applied Probability
language:en
Short-container-title:Advances in Applied Probability

Author:

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

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.

Publisher

Cambridge University Press (CUP)

Subject

Applied Mathematics,Statistics and Probability

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