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The McKean stochastic game driven by a spectrally negative Lévy process


 
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1. Title Title of document The McKean stochastic game driven by a spectrally negative Lévy process
 
2. Creator Author's name, affiliation, country Erik J Baurdoux; London School of Economics
 
2. Creator Author's name, affiliation, country Andreas E Kyprianou; Bath University
 
3. Subject Discipline(s)
 
3. Subject Keyword(s) Stochastic games, optimal stopping, pasting principles, fluctuation theory, L'evy processes.
 
3. Subject Subject classification Primary 60J99; secondary 60G40, 91B70.
 
4. Description Abstract 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.
 
5. Publisher Organizing agency, location
 
6. Contributor Sponsor(s)
 
7. Date (YYYY-MM-DD) 2008-02-14
 
8. Type Status & genre Peer-reviewed Article
 
8. Type Type
 
9. Format File format PDF
 
10. Identifier Uniform Resource Identifier http://ejp.ejpecp.org/article/view/484
 
10. Identifier Digital Object Identifier 10.1214/EJP.v13-484
 
11. Source Journal/conference title; vol., no. (year) Electronic Journal of Probability; Vol 13
 
12. Language English=en
 
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