Optimal stopping of an $\alpha$-Brownian bridge

arXiv1409.5285MaRDI QIDQ6254762

Maik Görgens

Publication date: 18 September 2014

Abstract: We study the problem of stopping an $alpha$-Brownian bridge as close as possible to its global maximum. This extends earlier results found for the Brownian bridge (the case $alpha=1$). The exact behavior for $alpha$ close to $0$ is investigated.

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Confluent hypergeometric functions, Whittaker functions, ({}_1F_1) (33C15)

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