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- W2009790812 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." @default.
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- W2009790812 date "2015-01-01" @default.
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- W2009790812 title "Games of singular control and stopping driven by spectrally one-sided Lévy processes" @default.
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- W2009790812 doi "https://doi.org/10.1016/j.spa.2014.07.020" @default.
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