2025/05/06 by Abel Azze, Azze, Abel, Bernardo D’Auria +1
Computer Science · Mathematics · #60G40 #60J60 #Algorithms and Data Compression #Applications (stat.AP) #FOS: Computer and information sciences #FOS: Mathematics #Markov Chains and Monte Carlo Methods #Optimization and Search Problems #Probability (math.PR)
paper · pdf · doi:10.48550/arxiv.2505.03636
openalex publication_date 2025/05/06 · openalex created_date 2025/10/16 · openalex updated_date 2026/07/28
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 endpoint with a time-dependent payoff. We prove that the optimal rule is the first entry into the stopping region, and establish that the value function is Lipschitz continuous on compacts via a coupling of terminal pinning points across different initial conditions. A comparison theorems then order value functions according to likelihood-ratio ordering of terminal densities, and when these densities have bounded support, we bound the optimal boundary by that of a Gauss-Markov bridge. Although the stopping boundary need not be the graph of a function in general, we provide sufficient conditions under which this property holds, and identify strongly log-concave terminal densities that guarantee this structure. Numerical experiments illustrate representative boundary shapes.