Optimal double stopping of a Brownian bridge

DOI10.1239/aap/1449859807zbMath1333.60080arXiv1409.2226OpenAlexW2962717797MaRDI QIDQ2786434

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

Publication date: 12 February 2016

Published in: Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1409.2226

zbMATH Keywords

Brownian bridgebuying-selling strategyoptimal double stopping

Mathematics Subject Classification ID

Brownian motion (60J65) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stopping times; optimal stopping problems; gambling theory (60G40)

Related Items (3)

Optimally stopping a Brownian bridge with an unknown pinning time: a Bayesian approach ⋮ With or without replacement? Sampling uncertainty in Shepp’s urn scheme ⋮ Optimal stopping for the exponential of a Brownian bridge

Cites Work

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• Explicit Solutions to Some Problems of Optimal Stopping

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