2 papers
q-fin.MF2025
Group Survival Probability under Contagion in Microlending
Héctor Jasso-Fuentes, Alejandra Quintos, Xinta Yang
In the context of micro-finance, a group of individuals undertake business projects that may interfere with one another. A contagious default happens if one person's project failur…
math.OC2019
On a switching control problem with càdlàg costs
Said Hamadène, Héctor Jasso-Fuentes, Yamid A. Osorio-Agudelo
This work addresses a switching control problem under which the cost associated with the changes of regimes is allowed to have discontinuities in time. Our main contribution is to…