Optimal stopping of an $\alpha$-Brownian bridge

Maik Görgens

Optimal stopping of an $\alpha$-Brownian bridge

Probability 2014-09-19 v1

Authors: Maik Görgens

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.

Keywords

optimal stopping α-Brownian bridge global maximum stochastic processes

Cite

@article{arxiv.1409.5285,
  title  = {Optimal stopping of an $\alpha$-Brownian bridge},
  author = {Maik Görgens},
  journal= {arXiv preprint arXiv:1409.5285},
  year   = {2014}
}

Comments

11 pages, 3 figures

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