Stopping game on two stocks driven by Lévy processes

zbMATH Open1159.91003MaRDI QIDQ3619684FDOQ3619684

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

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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)

Cited In (4)

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

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