Optimal Stopping of a Brownian Excursion and an $α$-dimensional Bessel Bridge
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arXiv
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| Hauptverfasser: | , |
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| Format: | Preprint |
| Veröffentlicht: |
2025
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| _version_ | 1866908340453376000 |
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| author | Hobson, David Liu, Jingfei |
| author_facet | Hobson, David Liu, Jingfei |
| contents | We study the optimal stopping of an $α$-dimensional Bessel bridge for the payoff $ϕ(x)=x^n$, where $α,n>0$. As a special case we consider the Brownian excursion with the identity function as the payoff ($α=3,n=1$). For the Brownian excursion we can give an explicit solution but in the general case we provide a complete solution via a power series expansion. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2504_19741 |
| institution | arXiv |
| publishDate | 2025 |
| record_format | arxiv |
| spellingShingle | Optimal Stopping of a Brownian Excursion and an $α$-dimensional Bessel Bridge Hobson, David Liu, Jingfei Probability We study the optimal stopping of an $α$-dimensional Bessel bridge for the payoff $ϕ(x)=x^n$, where $α,n>0$. As a special case we consider the Brownian excursion with the identity function as the payoff ($α=3,n=1$). For the Brownian excursion we can give an explicit solution but in the general case we provide a complete solution via a power series expansion. |
| title | Optimal Stopping of a Brownian Excursion and an $α$-dimensional Bessel Bridge |
| topic | Probability |
| url | https://arxiv.org/abs/2504.19741 |