3 papers
math.PR2023
Optimal dividends and capital injection: A general Lévy model with extensions to regime-switching models
Dante Mata López, Kei Noba, José-Luis Pérez +1
This paper studies a general Lévy process model of the bail-out optimal dividend problem with an exponential time horizon, and further extends it to the regime-switching model. We…
math.PR2020
Effects of positive jumps of assets on endogenous bankruptcy and optimal capital structure: Continuous- and periodic-observation models
Dante Mata López, José Luis Pérez, Kazutoshi Yamazaki
In this paper, we study the optimal capital structure model with endogenous bankruptcy when the firm's asset value follows an exponential Lévy process with positive jumps. In the L…
math.PR2020
Logarithmic correction to resistance
Antal A. Járai, Dante Mata López
We study the trace of the incipient infinite oriented branching random walk in when the dimension is . Under suitable moment assumptions,…