The Gapeev-Kühn stochastic game driven by a spectrally positive Lévy process

DOI10.1016/j.spa.2011.02.002zbMath1229.91370arXiv0904.3871OpenAlexW2116169886MaRDI QIDQ544519

Juan Carlos Pardo, Erik J. Baurdoux, Andreas E. Kyprianou

Publication date: 15 June 2011

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0904.3871

zbMATH Keywords

Lévy processesoptimal stoppingstochastic gamesfluctuation theorypasting principles

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Stopping times; optimal stopping problems; gambling theory (60G40) Financial applications of other theories (91G80) Stochastic games, stochastic differential games (91A15)

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