2 papers
math.PR2025
On the optimal stopping of Gauss-Markov bridges with random pinning points
Abel Azze, Bernardo D'Auria
We consider the optimal stopping problem for a Gauss-Markov process conditioned to adopt a prescribed terminal distribution. By applying a time-space transformation, we show it is…
q-fin.MF2024
Time evaluation of portfolio for asymmetrically informed traders
Bernardo D'Auria, Carlos Escudero
We study the anticipating version of the classical portfolio optimization problem in a financial market with the presence of a trader who possesses privileged information about the…