Further Calculations for the McKean Stochastic Game for a Spectrally Negative Lévy Process: From a Point to an Interval

DOI10.1239/jap/1300198145zbMath1213.60079arXiv0910.4621OpenAlexW2150151486MaRDI QIDQ5391092

Erik J. Baurdoux, Kees van Schaik

Publication date: 5 April 2011

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0910.4621

zbMATH Keywords

optimal stoppingLévy processfluctuation theorystochastic game

Mathematics Subject Classification ID

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

Related Items

Dynkin's games and Israeli options ⋮ Predicting the time at which a Lévy process attains its ultimate supremum ⋮ Game theoretic valuation of deposit insurance under jump risk: from too small to survive to too big to fail

Cites Work

• Unnamed Item
• The Gapeev-Kühn stochastic game driven by a spectrally positive Lévy process
• The McKean stochastic game driven by a spectrally negative Lévy process
• Optimal stopping and perpetual options for Lévy processes
• Exit problems for spectrally negative Lévy processes and applications to (Canadized) Russian options
• Some calculations for Israeli options
• Pricing derivatives of American and game type in incomplete markets
• Introductory lectures on fluctuations of Lévy processes with applications.
• The Shepp–Shiryaev Stochastic Game Driven by a Spectrally Negative Lévy Process
• Optimal Stopping Games for Markov Processes
• Stochastic Integration with Jumps
• Séminaire de Probabilités XXXVIII
• Perpetual convertible bonds in jump-diffusion models
• Game options