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Optimal stopping for the exponential of a Brownian bridge - MaRDI portal

Optimal stopping for the exponential of a Brownian bridge (Q5109507)

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scientific article; zbMATH DE number 7199539
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English
Optimal stopping for the exponential of a Brownian bridge
scientific article; zbMATH DE number 7199539

    Statements

    title
    Optimal stopping for the exponential of a Brownian bridge (English)
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    author
    Tiziano De Angelis
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    Alessandro Milazzo
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    publication date
    12 May 2020
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    zbMATH Keywords
    optimal stopping
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    Brownian bridge
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    free boundary problems
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    regularity of value function
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    continuous boundary
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    bond/stock selling
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    Identifiers

    Mathematics Subject Classification ID
    60G40
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    60J65
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    35R35
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    zbMATH DE Number
    7199539
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    OpenAlex ID
    W3106237268
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    arXiv ID
    1904.00075
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    Wikidata QID
    Q115563650
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    DOI
    10.1017/JPR.2019.98
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