Optimal Stopping of a Brownian Excursion and an $\hat{I}\pm$-dimensional Bessel Bridge

David Hobson, Jingfei Liu

We study the optimal stopping of an $\hat{I}\pm$-dimensional Bessel bridge for the payoff $\ddot{I}•(x)=x^n$, where $\hat{I}\pm ,n>0$. As a special case we consider the Brownian excursion with the identit…