The McKean stochastic game driven by a spectrally negative Lévy process
Baurdoux, Erik J.
; and Kyprianou, Andreas E.
(2008)
The McKean stochastic game driven by a spectrally negative Lévy process.
Electronic Journal of Probability, 13.
pp. 173-197.
ISSN 1083-6489
We consider the stochastic-game-analogue of McKean's optimal stopping problem when the underlying source of randomness is a spectrally negative Lévy process. Compared to the solution for linear Brownian motion given in Kyprianou (2004) one finds two new phenomena. Firstly the breakdown of smooth fit and secondly the stopping domain for one of the players `thickens' from a singleton to an interval, at least in the case that there is no Gaussian component.
| Item Type | Article |
|---|---|
| Departments | Statistics |
| DOI | 10.1214/EJP.v13-484 |
| Date Deposited | 08 May 2009 09:45 |
| URI | https://researchonline.lse.ac.uk/id/eprint/23919 |
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ORCID: https://orcid.org/0000-0002-5407-0683