1 citations · 1 across the 4 of their papers we have counts for
4 papers
Impulse control in a spectrally negative Lévy model with a level-dependent intensity of bankruptcy
Dante Mata
We consider an optimal dividend problem with transaction costs where the surplus is modelled by a spectrally negative Lévy process in an Omega model. n this model, the surplus is a…
On optimal periodic dividend and capital injection strategies for general Lévy models
Dante Mata, Kei Noba, José-Luis Pérez
We consider a version of de Finetti's dividend problem, with the bail-out contraint to keep the surplus non-negative, and where dividend payments can only be made at the arrival ti…
Optimal withdrawals in a general diffusion model with control rates subject to a state-dependent upper bound
Hélène Guérin, Dante Mata, Jean-François Renaud +1
We consider a classical stochastic control problem in which a diffusion process is controlled by a withdrawal process up to a termination time. The objective is to maximize the exp…
On the bailout dividend problem with periodic dividend payments for spectrally negative Markov additive processes
Dante Mata, Harold A. Moreno-Franco, Kei Noba +1
This paper studies the bailout optimal dividend problem with regime switching under the constraint that dividend payments can be made only at the arrival times of an independent Po…