This function computes the Optimal Stopping Boundary Boundary (OSB) that maximizes the mean of an Ornstein-Uhlenbeck Bridge (OUB)
A Picard's iteration algorithm is implemented to solve the free-boundary equation that characterizes the OSB. Details can be found in the companion paper Optimal Stopping of an Ornstein-Uhlenbeck bridge, by D'Auria, B., García-Portugués E., and Guada A.
- 1-Functions_OSB.R: Computes the OSB related to the OUB
- 2-Figures.R: Run illustrative cases