Optimal Stopping of a Brownian Excursion and an $\alpha$-dimensional Bessel Bridge

David Hobson, Jingfei Liu

We study the optimal stopping of an $\alpha$-dimensional Bessel bridge for the payoff $\varphi (x)=x^n$, where $\alpha ,n>0$. As a special case we consider the Brownian excursion with the identity f…