Optimal double stopping of a Brownian bridge
Erik J. Baurdoux, Nan Chen, Budhi Surya, Kazutoshi Yamazaki · Advances in Applied Probability · 2015
We study optimal double stopping problems driven by a Brownian bridge. The objective is to maximize the expected spread between the payoffs achieved at the two stopping times. We study several cases where the solutions can be solved explicitly by strategies of a threshold type.