Optimal stopping of Gauss-Markov bridges
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arXiv
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| Auteurs principaux: | , , |
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| Format: | Preprint |
| Publié: |
2022
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| _version_ | 1866913416606646272 |
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| author | Azze, Abel D'Auria, Bernardo García-Portugués, Eduardo |
| author_facet | Azze, Abel D'Auria, Bernardo García-Portugués, Eduardo |
| contents | We solve the non-discounted, finite-horizon optimal stopping problem of a Gauss-Markov bridge by using a time-space transformation approach. The associated optimal stopping boundary is proved to be Lipschitz continuous on any closed interval that excludes the horizon, and it is characterized by the unique solution of an integral equation. A Picard iteration algorithm is discussed and implemented to exemplify the numerical computation and geometry of the optimal stopping boundary for some illustrative cases. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2211_05835 |
| institution | arXiv |
| publishDate | 2022 |
| record_format | arxiv |
| spellingShingle | Optimal stopping of Gauss-Markov bridges Azze, Abel D'Auria, Bernardo García-Portugués, Eduardo Probability Mathematical Finance 60G40, 60J60 We solve the non-discounted, finite-horizon optimal stopping problem of a Gauss-Markov bridge by using a time-space transformation approach. The associated optimal stopping boundary is proved to be Lipschitz continuous on any closed interval that excludes the horizon, and it is characterized by the unique solution of an integral equation. A Picard iteration algorithm is discussed and implemented to exemplify the numerical computation and geometry of the optimal stopping boundary for some illustrative cases. |
| title | Optimal stopping of Gauss-Markov bridges |
| topic | Probability Mathematical Finance 60G40, 60J60 |
| url | https://arxiv.org/abs/2211.05835 |