Further calculations for the McKean stochastic game for a spectrally negative levy process: from a point to an interval

Further calculations for the McKean stochastic game for a spectrally negative levy process: from a point to an interval
Original hosted in "OpenScout", contributed by Social Updater on 19/01/2015
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 Levy 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.
Tags: QA Mathematics
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