arXiv Analytics

Sign in

arXiv:1409.5285 [math.PR]AbstractReferencesReviewsResources

Optimal stopping of an $α$-Brownian bridge

Maik Görgens

Published 2014-09-18Version 1

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.

Comments: 11 pages, 3 figures
Categories: math.PR
Subjects: 60G40, 33C15
Related articles: Most relevant | Search more
arXiv:2009.01276 [math.PR] (Published 2020-09-02)
Stopping spikes, continuation bays and other features of optimal stopping with finite-time horizon
arXiv:1904.00075 [math.PR] (Published 2019-03-29)
Optimal stopping for the exponential of a Brownian bridge
arXiv:1705.00369 [math.PR] (Published 2017-04-30)
Optimal stopping of a Brownian bridge with an unknown pinning point