3 papers
math.PR2019
Optimal stopping times for a class of Ito diffusion bridges
Bernardo D'Auria, Alessandro Ferriero
The scope of this paper is to study the optimal stopping problems associated to a stochastic process, which may represent the gain of an investment, for which information on the fi…
q-fin.CP2019
Discounted optimal stopping of a Brownian bridge, with application to American options under pinning
Bernardo D'Auria, Eduardo García-Portugués, Abel Guada
Mathematically, the execution of an American-style financial derivative is commonly reduced to solving an optimal stopping problem. Breaking the general assumption that the knowled…
math.PR2011
Two-sided reflected Markov-modulated Brownian motion with applications to fluid queues and dividend payouts
Bernardo D'Auria, Offer Kella
In this paper we study a reflected Markov-modulated Brownian motion with a two sided reflection in which the drift, diffusion coefficient and the two boundaries are (jointly) modul…