Optimal double stopping of a Brownian bridge

2014/09/08 by Erik J. Baurdoux, Baurdoux, Erik J., Nan Chen +6 · 1 citation
Business, Management and Accounting · Computer Science · Economics, Econometrics and Finance · Mathematics · #60G40 #60H30 #Advanced Queuing Theory Analysis #FOS: Economics and business #FOS: Mathematics #Mathematical Finance (q-fin.MF) #Optimization and Control (math.OC) #Optimization and Search Problems #Stochastic processes and financial applications #math.OC #msc:60G40 #msc:60H30 #q-fin.MF

paper · pdf · doi:10.48550/arxiv.1409.2226

openalex publication_date 2014/09/08 · arxiv created 2014/12/09 · arxiv updated 2014/12/10 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

Abstract

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 threshold type.

Citations

• Optimal Dynamic Pricing of Inventories with Stochastic Demand over Finite Horizons

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