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Optimal stopping of an Ornstein-Uhlenbeck bridge - MaRDI portal

Optimal stopping of an Ornstein-Uhlenbeck bridge

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Publication:6381224

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DOI10.1016/j.spa.2024.104342arXiv2110.13056OpenAlexW3210114456MaRDI QIDQ6381224

Bernardo D'auria, Eduardo García-Portugués, A. Azze

Publication date: 25 October 2021

Full work available at URL: https://doi.org/10.1016/j.spa.2024.104342

Mathematics Subject Classification ID

Gaussian processes (60G15) Stopping times; optimal stopping problems; gambling theory (60G40)

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