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most citedOptimal exercise of American options under time-dependent Ornstein-Uhlenbeck processes

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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…