Resource title

The McKean stochastic game driven by a spectrally negative Lévy process

Resource image

image for OpenScout resource :: The McKean stochastic game driven by a spectrally negative Lévy process

Resource description

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.

Resource author

Resource publisher

Resource publish date

Resource language

en

Resource content type

application/pdf

Resource resource URL

http://eprints.lse.ac.uk/23919/1/McKean_stochastic_game_driven_by_a_spectrally_negative_L%C3%A9vy_process_%28lsero%29.pdf

Resource license