Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1156488 | Stochastic Processes and their Applications | 2015 | 38 Pages |
Abstract
We study a zero-sum game where the evolution of a spectrally one-sided Lévy process is modified by a singular controller and is terminated by the stopper. The singular controller minimizes the expected values of running, controlling and terminal costs while the stopper maximizes them. Using fluctuation theory and scale functions, we derive a saddle point and the value function of the game. Numerical examples under phase-type Lévy processes are also given.
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Physical Sciences and Engineering
Mathematics
Mathematics (General)
Authors
Daniel Hernández-Hernández, Kazutoshi Yamazaki,