All Title Author
Keywords Abstract

Mathematics  2014 

Optimal stopping of an $α$-Brownian bridge

Full-Text   Cite this paper   Add to My Lib

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.

Full-Text

comments powered by Disqus