相关论文: Optimal stopping of a Brownian bridge with an unkn…

We consider the problem of optimally stopping a Brownian bridge with an unknown pinning time so as to maximise the value of the process upon stopping. Adopting a Bayesian approach, we assume the stopper has a general continuous prior and is…

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…

Mathematically, the execution of an American-style financial derivative is commonly reduced to solving an optimal stopping problem. Breaking the general assumption that the knowledge of the holder is restricted to the price history of the…

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…

We consider the optimal stopping problem for a Gauss-Markov process conditioned to adopt a prescribed terminal distribution. By applying a time-space transformation, we show it is equivalent to stopping a Brownian bridge pinned at a random…

In this paper we study the problem of stopping a Brownian bridge $X$ in order to maximise the expected value of an exponential gain function. In particular, we solve the stopping problem $$\sup_{0\le \tau\le…

We investigate an optimal stopping problem for the expected value of a discounted payoff on a regime-switching geometric Brownian motion under two constraints on the possible stopping times: only at exogenous random times and only during a…

We make a rigorous analysis of the existence and characterization of the free boundary related to the optimal stopping problem that maximizes the mean of an Ornstein--Uhlenbeck bridge. The result includes the Brownian bridge problem as a…

In this paper, we introduce an extension of a Brownian bridge with a random length by including uncertainty also in the pinning level of the bridge. The main result of this work is that unlike for deterministic pinning point, the bridge…

We use probabilistic methods to characterise time dependent optimal stopping boundaries in a problem of multiple optimal stopping on a finite time horizon. Motivated by financial applications we consider a payoff of immediate stopping of…

We study the law of the minimum of a Brownian bridge, conditioned to take specific values at specific points, and the law of the location of the minimum. They are used to compare some non-adaptive optimisation algorithms for black-box…

We adapt ideas and concepts developed in optimal transport (and its martingale variant) to give a geometric description of optimal stopping times of Brownian motion subject to the constraint that the distribution of the stopping time is a…

We will investigate the value and inactive region of optimal stopping and one-sided singular control problems by focusing on two fundamental ratios. We shall see that these ratios unambiguously characterize the solution, although usually…

We investigate optimal stopping problems for systems driven by the Brownian sheet. Our analysis is divided into two parts. In the first part we derive explicit solutions to two optimal stopping problems for the exponentially discounted…

We solve an optimal stopping problem where the underlying diffusion is Brownian motion on $\bf R$ with a positive drift changing at zero. It is assumed that the drift $\mu_1$ on the negative side is smaller than the drift $\mu_2$ on the…

We consider optimal stopping problems for a Brownian motion and a geometric Brownian motion with a "disorder", assuming that the moment of a disorder is uniformly distributed on a finite interval. Optimal stopping rules are found as the…

This paper studies an optimal trading problem that incorporates the trader's market view on the terminal asset price distribution and uninformative noise embedded in the asset price dynamics. We model the underlying asset price evolution by…

The scope of this paper is to study the optimal stopping problems associated to a stochastic process, which may represent the gain of an investment, for which information on the final value is available a priori. This information may…

We study the optimal stopping of an $\alpha$-dimensional Bessel bridge for the payoff $\phi(x)=x^n$, where $\alpha,n>0$. As a special case we consider the Brownian excursion with the identity function as the payoff ($\alpha=3,n=1$). For the…

We investigate a class of optimal stopping problems arising in, for example, studies considering the timing of an irreversible investment when the underlying follows a skew Brownian motion. Our results indicate that the local directional…