most citedThe Gapeev-Kühn stochastic game driven by a spectrally positive Lévy process

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math.PR2009★ 6 cited

The Gapeev-Kühn stochastic game driven by a spectrally positive Lévy process

E. J. Baurdoux, A. E. Kyprianou, J. C. Pardo

In Gapeev and Kühn (2005), the stochastic game corresponding to perpetual convertible bonds was considered when driven by a Brownian motion and a compound Poisson process with expo…