The Shepp–Shiryaev Stochastic Game Driven by a Spectrally Negative Lévy Process

DOI10.1137/S0040585X97983778zbMath1209.91034OpenAlexW2138986502MaRDI QIDQ3556739

Andreas E. Kyprianou, Erik J. Baurdoux

Publication date: 26 April 2010

Published in: Theory of Probability & Its Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/s0040585x97983778

zbMATH Keywords

optimal stoppingLévy processfluctuation theorystochastic gamepasting principles

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Stochastic games, stochastic differential games (91A15) Dynamic games (91A25)

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