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 Date: 2008-10-07 11:22:40Brownian motion Martingale Brownian bridge Normal distribution Continuous function Wiener process Itō diffusion Heat equation Statistics Mathematical analysis Stochastic processes |
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OPTIMAL STOPPING OF A BROWNIAN BRIDGE ¨ AND HENRIK WANNTORP ERIK EKSTROM Abstract. We study several optimal stopping problems in which the gains process is a Brownian bridge or a functional of a Brownian bridge. Our exa