Stopping game on two stocks driven by Lévy processes

MaRDI QIDQ3619684zbMATH OpenFDO

Authors Cloud Makasu

Publication date 8 April 2009

Full work available at URL http://www.jams.or.jp/scm/abstract/e-2008/2008-42a.txt

zbMATH Keywords

Dynkin gameIto's formuladecomposition of a stopping gamegeometric Lévy processes

Mathematics Subject Classification ID

2-person games (91A05) Stochastic games, stochastic differential games (91A15) Probabilistic games; gambling (91A60)

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Cited in

(4)

• On a decomposition result in a Dynkin stopping game
• Games of singular control and stopping driven by spectrally one-sided Lévy processes
• The McKean stochastic game driven by a spectrally negative Lévy process
• Further calculations for the McKean stochastic game for a spectrally negative Lévi process: from a point to an interval

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