Optimal double stopping of a Brownian bridge

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.

Saved in:
Bibliographic Details
Published in:Advances in applied probability 2015-12, Vol.47 (4), p.1212-1234
Main Authors: Baurdoux, Erik J., Chen, Nan, Surya, Budhi A., Yamazaki, Kazutoshi
Format: Article
Language:English
Citations: Items that this one cites
Items that cite this one
Online Access:Get full text
Tags: Add Tag
No Tags, Be the first to tag this record!
Description
Summary: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.
ISSN:0001-8678
1475-6064
DOI:10.1017/S0001867800049089