Optimal stopping for the exponential of a Brownian bridge

@article{deAngelis2019OptimalSF,
  title={Optimal stopping for the exponential of a Brownian bridge},
  author={Tiziano de Angelis and Alessandro Milazzo},
  journal={Journal of Applied Probability},
  year={2019},
  volume={57},
  pages={361 - 384}
}
Abstract We study the problem of stopping a Brownian bridge X in order to maximise the expected value of an exponential gain function. The problem was posed by Ernst and Shepp (2015), and was motivated by bond selling with non-negative prices. Due to the non-linear structure of the exponential gain, we cannot rely on methods used in the literature to find closed-form solutions to other problems involving the Brownian bridge. Instead, we must deal directly with a stopping problem for a time… 

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