23 citations · 43 across the 9 of their papers we have counts for
8 papers · 1 filter
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…
The backbone decomposition for superprocesses with non-local branching
A. Murillo-Salas, J. L. Pérez
We provide a path-wise "backbone" decomposition for supercritical superprocesses with non-local branching. Our result complements a related result obtained for super-critical super…
Gerber-Shiu functionals at Parisian ruin for Lévy insurance risk processes
E. J. Baurdoux, J. C. Pardo, J. L. Pérez +1
Inspired by works of Landriault et al. \cite{LRZ-0, LRZ}, we study discounted penalties at ruin for surplus dynamics driven by a spectrally negative Lévy process with Parisian impl…
The backbone decomposition for spatially dependent supercritical superprocesses
A. E. Kyprianou, J-L. Perez, Y-X. Ren
Consider any supercritical Galton-Watson process which may become extinct with positive probability. It is a well-understood and intuitively obvious phenomenon that, on the surviva…
Occupation times of refracted Lévy processes
Andreas E. Kyprianou, J. C. Pardo, J. L. Pérez
A refracted Lévy process is a Lévy process whose dynamics change by subtracting off a fixed linear drift (of suitable size) whenever the aggregate process is above a pre-specified…
Optimal control with absolutely continuous strategies for spectrally negative Levy processes
Andreas E. Kyprianou, Ronnie Loeffen, Jose-Luis Perez
In the last few years there has been renewed interest in the classical control problem of de Finetti for the case that underlying source of randomness is a spectrally negative Levy…