The Shepp–Shiryaev Stochastic Game Driven by a Spectrally Negative Lévy Process
Work
Year: 2009
Type: article
Abstract: In [A. E. Kyprianou, Finance Stoch., 8 (2004), pp. 73–86], the stochastic-game-analogue of Shepp and Shiryaev's optimal stopping problem (cf. [L. A. Shepp and A. N. Shiryaev, Ann. Appl. Probab., 3 (19... more
Institution London School of Economics and Political Science
Cites: 23
Cited by: 43
Related to: 10
FWCI: 3.169
Citation percentile (by year/subfield): 92.69
Subfield: Finance
Domain: Social Sciences
Sustainable Development Goal Decent work and economic growth
Open Access status: green