Optimal stopping of an α-Brownian bridge
(English)Article in journal (Refereed) Submitted
We study the problem of stopping an α-Brownian bridge as close as possible to its global maximum. This extends earlier results found for the Brownian bridge (the case α = 1). The exact behavior for α close to 0 is investigated.
Probability Theory and Statistics
Research subject Mathematical Statistics
IdentifiersURN: urn:nbn:se:uu:diva-232542OAI: oai:DiVA.org:uu-232542DiVA: diva2:748604