Cover Image

Optimal stopping of an Ornstein-Uhlenbeck bridge

Fuente: arXiv

Saved in:

Bibliographic Details
Main Authors:	Azze, Abel, D'Auria, Bernardo, García-Portugués, Eduardo
Format:	Preprint
Published:	2021
Subjects:	Probability 60G40, 60J60
Online Access:	Acceder al recurso
Tags:	Add Tag No Tags, Be the first to tag this record!

Similar Items

Optimal stopping of Gauss-Markov bridges
by: Azze, Abel, et al.
Published: (2022)

Optimal exercise of American options under time-dependent Ornstein-Uhlenbeck processes
by: Azze, Abel, et al.
Published: (2022)

On the optimal stopping of Gauss-Markov bridges with random pinning points
by: Azze, Abel, et al.
Published: (2025)

Optimal stopping for Markov processes with positive jumps
by: Crocce, Fabian, et al.
Published: (2024)

Sharp barrier estimates for Bessel bridges
by: Chiarini, Leandro, et al.
Published: (2025)

Robust Ergodic Control of Jump-Diffusion Systems under Drift and Intensity Uncertainty
by: Azze, Abel, et al.
Published: (2026)

Modelling a storage system of a wind farm with a ramp-rate limitation: a semi-Markov modulated Brownian bridge approach
by: Azze, Abel, et al.
Published: (2025)

On differentiability of reward functionals corresponding to Markovian randomized stopping times
by: Schultz, Boy
Published: (2024)

Volatility modeling in a Markovian environment: Two Ornstein-Uhlenbeck-related approaches
by: Behme, Anita
Published: (2024)

On the continuity of optimal stopping surfaces for jump-diffusions
by: Cai, Cheng, et al.
Published: (2021)

Optimal stopping of the stable process with state-dependent killing
by: van Schaik, K., et al.
Published: (2022)

Variational principles for the exit time of non-symmetric diffusions
by: Huang, Lu-Jing, et al.
Published: (2020)

Drawdowns of diffusions
by: Salminen, Paavo, et al.
Published: (2024)

Moduli of continuity for the local times of rebirthed Markov processes
by: Fitzsimmons, P. J., et al.
Published: (2024)

Ray-Knight theorems for the local times of rebirthed Markov processes
by: Fitzsimmons, P. J., et al.
Published: (2026)

On a connection between total positivity and Bernoulli stopping problems
by: Derbazi, Zakaria
Published: (2024)

Boundary crossing problems and functional transformations for Ornstein-Uhlenbeck processes
by: Ahari, Aria, et al.
Published: (2022)

Duals and inverse flows of generalized Ornstein-Uhlenbeck processes
by: Behme, Anita, et al.
Published: (2025)

A probabilistic representation of the derivative of a one dimensional killed diffusion semigroup
by: Crisan, Dan, et al.
Published: (2023)

Time evaluation of portfolio for asymmetrically informed traders
by: D'Auria, Bernardo, et al.
Published: (2024)

On the last zero process with an application in corporate bankruptcy
by: Baurdoux, Erik J., et al.
Published: (2020)

Stopping problems with an unknown state
by: Ekström, Erik, et al.
Published: (2022)

On time-dependent boundary crossing probabilities of diffusion processes as differentiable functionals of the boundary
by: Liang, Vincent, et al.
Published: (2024)

Law equivalence for Ornstein--Uhlenbeck dynamics driven by Lévy noise
by: Kania, Tomasz
Published: (2025)

A potential-theoretic approach to optimal stopping in a spectrally Lévy Model
by: Egami, Masahiko, et al.
Published: (2025)

Stochastic Flows and Marked Stable Processes
by: Aïdékon, Elie, et al.
Published: (2025)

Hitting probabilities of constrained random walks representing tandem networks
by: Sezer, Ali Devin
Published: (2021)

Tail behavior of Markov-modulated generalized Ornstein-Uhlenbeck processes
by: Alsmeyer, Gerold, et al.
Published: (2026)

A probabilistic approach to continuous differentiability of optimal stopping boundaries
by: De Angelis, Tiziano, et al.
Published: (2024)

Characterization of continuous stationary fields as generalized Ornstein-Uhlenbeck fields via multi-parameter Langevin equation and multiple Riemann-Stieltjes integration
by: Voutilainen, Marko, et al.
Published: (2025)

Walsh Spider Diffusions as Time Changed Multi-parameter Processes
by: Bayraktar, Erhan, et al.
Published: (2022)

Win rates at first-passage times for biased simple random walks
by: Bruss, F. Thomas, et al.
Published: (2025)

Optimal Stopping of Branching Diffusion Processes
by: Kharroubi, Idris, et al.
Published: (2024)

Optimal Stopping Under Model Uncertainty in a General Setting
by: Arharas, Ihsan, et al.
Published: (2023)

Explicit formula of boundary crossing probabilities for continuous local martingales to constant boundary
by: Potiron, Yoann
Published: (2023)

Dynkin ghost games with asymmetry and consolation
by: Ekström, Erik, et al.
Published: (2024)

Generators of measure-valued jump diffusions and convergence rate of diffusive mean-field models
by: Erny, Xavier
Published: (2024)

Gaussian heat kernel asymptotics for conditioned random walks
by: Grama, Ion, et al.
Published: (2024)

The Funessian process: Non-Markovian dynamics shaped by the first event
by: Canturk, Bilal, et al.
Published: (2026)

Dual process in the two-parameter Poisson-Dirichlet diffusion
by: Griffiths, Robert C., et al.
Published: (2021)