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Brownian motion / Martingale / Brownian bridge / Normal distribution / Continuous function / Wiener process / Itō diffusion / Heat equation / Statistics / Mathematical analysis / Stochastic processes


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
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Document Date: 2008-10-07 11:22:40

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City

L.A. / /

Country

Sweden / /

Facility

Brownian bridge / Reflected Brownian bridge / OPTIMAL STOPPING OF A BROWNIAN BRIDGE / Uppsala University / /

IndustryTerm

finite horizon lack explicit solutions / positive solution / correct solution / explicit solutions / candidate solution / /

Organization

Uppsala University / Department of Mathematics / European Union / /

Person

Gq / HENRIK WANNTORP ERIK EKSTROM / /

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