NDLI: Further Calculations for the McKean Stochastic Game for a Spectrally Negative Lévy Process: From a Point to an Interval

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Further Calculations for the McKean Stochastic Game for a Spectrally Negative Lévy Process: From a Point to an Interval

Content Provider	Scilit
Author	Baurdoux, E. J. Schaik, K. Van
Copyright Year	2011
Description	Following Baurdoux and Kyprianou (2008) we consider the McKean stochastic game, a game version of the McKean optimal stopping problem (American put), driven by a spectrally negative Lévy process. We improve their characterisation of a saddle point for this game when the driving process has a Gaussian component and negative jumps. In particular, we show that the exercise region of the minimiser consists of a singleton when the penalty parameter is larger than some threshold and ‘thickens’ to a full interval when the penalty parameter drops below this threshold. Expressions in terms of scale functions for the general case and in terms of polynomials for a specific jump diffusion case are provided.
Related Links	https://www.cambridge.org/core/services/aop-cambridge-core/content/view/F74135D5E02BCCA2D4DF524A8041176B/S0021900200007725a.pdf/div-class-title-further-calculations-for-the-mckean-stochastic-game-for-a-spectrally-negative-levy-process-from-a-point-to-an-interval-div.pdf
Ending Page	216
Page Count	17
Starting Page	200
ISSN	00219002
e-ISSN	14756072
DOI	10.1017/s0021900200007725
Journal	Journal of applied probability
Issue Number	01
Volume Number	48
Language	English
Publisher	Cambridge University Press (CUP)
Publisher Date	2011-03-01
Access Restriction	Open
Subject Keyword	Journal of applied probability Mathematical Physics Stochastic Game Optimal Stopping Lévy Process Fluctuation Theory
Content Type	Text
Resource Type	Article
Subject	Statistics and Probability Statistics, Probability and Uncertainty

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