Games of singular control and stopping driven by spectrally one-sided Lévy processes

DOI10.1016/j.spa.2014.07.020zbMath1319.91026arXiv1308.3141OpenAlexW2009790812MaRDI QIDQ468726

Daniel Hernández-Hernández, Kazutoshi Yamazaki

Publication date: 7 November 2014

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

Full work available at URL: https://arxiv.org/abs/1308.3141

zbMATH Keywords

singular controlstopping gamespectrally one sided Lévy process

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Noncooperative games (91A10) 2-person games (91A05) Optimal stochastic control (93E20) Stopping times; optimal stopping problems; gambling theory (60G40) Stochastic games, stochastic differential games (91A15) Dynamic games (91A25)

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