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The McKean stochastic game driven by a spectrally negative Levy process


Reference:

Baurdoux, E. and Kyprianou, A. E., 2008. The McKean stochastic game driven by a spectrally negative Levy process. Electronic Journal of Probability, 13, pp. 174-197.

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Official URL:

http://www.math.washington.edu/~ejpecp/viewarticle.php?id=1777&layout=abstract

Abstract

We consider the stochastic-game-analogue of McKean's optimal stopping problem when the underlying source of randomness is a spectrally negative Lévy process. Compared to the solution for linear Brownian motion given in Kyprianou (2004) one finds two new phenomena. Firstly the breakdown of smooth fit and secondly the stopping domain for one of the players 'thickens' from a singleton to an interval, at least in the case that there is no Gaussian component.

Details

Item Type Articles
CreatorsBaurdoux, E.and Kyprianou, A. E.
DepartmentsFaculty of Science > Mathematical Sciences
RefereedYes
StatusPublished
ID Code6935
Additional InformationID number: ISI:000253771400001

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