论文标题
高斯 - 马尔科夫桥的最佳停止
Optimal stopping of Gauss-Markov bridges
论文作者
论文摘要
我们通过使用时空转换方法解决了高斯 - 马尔科夫桥的未截止，有限的摩尼斯最佳停止问题。相关的最佳停止边界被证明是Lipschitz在排除地平线的任何封闭间隔内连续的，其特征在于积分方程的唯一解。讨论并实施了PICARD迭代算法，以说明某些说明性情况的最佳停止边界的数值计算和几何形状。
We solve the non-discounted, finite-horizon optimal stopping problem of a Gauss-Markov bridge by using a time-space transformation approach. The associated optimal stopping boundary is proved to be Lipschitz continuous on any closed interval that excludes the horizon, and it is characterized by the unique solution of an integral equation. A Picard iteration algorithm is discussed and implemented to exemplify the numerical computation and geometry of the optimal stopping boundary for some illustrative cases.
