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most citedOptimal Capital Structure with Scale Effects under Spectrally Negative Levy Models

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math.OC2014

Optimal double stopping of a Brownian bridge

Erik J. Baurdoux, Nan Chen, Budhi A. Surya +1

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 s…