{"about":{"site":"https://codewithpapers.app","non_affiliation":"Code with Papers and Syntology are not affiliated with, endorsed by, or sponsored by Papers with Code, Meta, or the pwc-archive mirror.","licence":"CC BY-SA 4.0","licence_url":"https://creativecommons.org/licenses/by-sa/4.0/legalcode","attribution":"https://codewithpapers.app/attribution","modified":"archive material modified by Syntology; see the attribution page"},"url":"/paper/optimal-stopping-of-an-ornstein-uhlenbeck","title":"Optimal stopping of an Ornstein-Uhlenbeck bridge","arxiv_id":"2110.13056","date":"2021-10-25","proceeding":null,"authors":["Abel Azze","Bernardo D'Auria","Eduardo García-Portugués"],"abstract":"We make a rigorous analysis of the existence and characterization of the free boundary related to the optimal stopping problem that maximizes the mean of an Ornstein--Uhlenbeck bridge. The result includes the Brownian bridge problem as a limit case. The methodology hereby presented relies on a time-space transformation that casts the original problem into a more tractable one with an infinite horizon and a Brownian motion underneath. We comment on two different numerical algorithms to compute the free-boundary equation and discuss illustrative cases that shed light on the boundary's shape. In particular, the free boundary generally does not share the monotonicity of the Brownian bridge case.","url_abs":"https://arxiv.org/abs/2110.13056v3","url_pdf":"https://arxiv.org/pdf/2110.13056v3.pdf","source":{"archive":"pwc-archive (Hugging Face), CC BY-SA 4.0","snapshot":"2025-07-28","licence_url":"https://creativecommons.org/licenses/by-sa/4.0/legalcode","row_kind":"links_only","authors_date_abstract":"arXiv metadata, CC0 1.0 (https://info.arxiv.org/help/license), from the Kaggle arXiv metadata snapshot of 2026-09-12"},"code_links":[{"paper_slug":"optimal-stopping-of-an-ornstein-uhlenbeck","repo_url":"https://github.com/aguazz/osp_oub","is_official":1,"mentioned_in_paper":1,"mentioned_in_github":0,"framework":"none","reach":null}],"tasks":[],"methods":[],"datasets_introduced":[],"methods_introduced":[],"results":[],"syntology":{"syntology_url":null,"atlas_url":null,"mcp":null,"developers":"https://syntology.ai/developers"},"arxiv_metadata":null,"syntology_extracted_results":null}