2 papers
math.OC2024
On stochastic control under Poisson observations: optimality of a barrier strategy in a general Lévy model
Kei Noba, Kazutoshi Yamazaki
We study a version of the stochastic control problem of minimizing the sum of running and controlling costs, where control opportunities are restricted to independent Poisson arriv…
math.PR2024
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…