Optimal double stopping of a Brownian bridge

TL;DR

This paper investigates the problem of optimally timing two stops in a Brownian bridge process to maximize the expected difference between the payoffs at these stopping points, providing explicit threshold strategies.

Contribution

It introduces explicit threshold-based solutions for the optimal double stopping problem in Brownian bridges, expanding understanding of stopping strategies in stochastic processes.

Findings

Explicit threshold strategies derived for several cases

Maximized expected spread between two stopping payoffs

Enhanced methods for double stopping problems in Brownian bridges

Abstract

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 threshold type.