Cookies?
Library Header Image
LSE Research Online LSE Library Services

The Gapeev-Kuhn stochastic game driven by a spectrally positive Levy process

Baurdoux, Erik J., Kyprianou, Andreas E. and Pardo, J.C. (2011) The Gapeev-Kuhn stochastic game driven by a spectrally positive Levy process. Stochastic Processes and Their Applications, 121 (6). pp. 1266-1289. ISSN 0304-4149

[img]
Preview
PDF - Accepted Version
Download (317Kb) | Preview

Abstract

In Gapeev and Kuhn (2005) [8], the Dynkin game corresponding to perpetual convertible bonds was considered, when driven by a Brownian motion and a compound Poisson process with exponential jumps. We consider the same stochastic game but driven by a spectrally positive Levy process. We establish a complete solution to the game indicating four principle parameter regimes as well as characterizing the occurrence of continuous and smooth fit. In Gapeev and Kuhn (2005) [8], the method of proof was mainly based on solving a free boundary value problem. In this paper, we instead use fluctuation theory and an auxiliary optimal stopping problem to find a solution to the game.

Item Type: Article
Official URL: http://www.elsevier.com/wps/find/journaldescriptio...
Additional Information: © 2011 Elsevier B.V.
Library of Congress subject classification: Q Science > QA Mathematics
Sets: Departments > Statistics
Rights: http://www.lse.ac.uk/library/usingTheLibrary/academicSupport/OA/depositYourResearch.aspx
Date Deposited: 29 Jun 2011 13:19
URL: http://eprints.lse.ac.uk/36903/

Actions (login required)

Record administration - authorised staff only Record administration - authorised staff only

Downloads

Downloads per month over past year

View more statistics