The GapeevKhn stochastic game driven by a spectrally positive Lévy process

Stochastic Processes and their Applications

Volumn 121, Issue 6, 2011, Pages 1266-1289

  Baurdoux, E J ^a   Kyprianou, A E ^b   Pardo, J C ^b,c  

^a LONDON SCHOOL OF ECONOMICS   (United Kingdom)

^b University of Bath   (United Kingdom)

^c Centro de Investigacin en Matemticas   (Mexico)

Author keywords

Fluctuation theory; L vy processes; Optimal stopping; Pasting principles; Stochastic games

Indexed keywords

BROWNIAN MOTION; COMPLETE SOLUTIONS; COMPOUND POISSON PROCESS; CONVERTIBLE BONDS; DYNKIN GAMES; FLUCTUATION THEORY; FREE BOUNDARY VALUE PROBLEMS; OPTIMAL STOPPING; OPTIMAL STOPPING PROBLEM; PARAMETER REGIMES; PASTING PRINCIPLES; SMOOTH FIT; STOCHASTIC GAME;

BROWNIAN MOVEMENT; OPTIMIZATION; POISSON DISTRIBUTION; STOCHASTIC SYSTEMS;

GAME THEORY;

EID: 79955591561     PISSN: 03044149     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.spa.2011.02.002     Document Type: Article

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