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math.PR2009
Further calculations for the McKean stochastic game for a spectrally negative Levy process: from a point to an interval
Erik J. Baurdoux, Kees van Schaik
Following Baurdoux and Kyprianou [2] we consider the McKean stochastic game, a game version of the McKean optimal stopping problem (American put), driven by a spectrally negative L…
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…