44 citations · 84 across the 22 of their papers we have counts for
11 papers · 1 filter
A potential-theoretic approach to optimal stopping in a spectrally Lévy Model
Masahiko Egami, Tomohiro Koike
We establish a systematic solution method for optimal stopping problems of spectrally negative Lévy processes. Our approach relies essentially on potential theory, that is, on the…
Explicit Solutions for Optimal Stopping of Linear Diffusion and its Maximum
Masahiko Egami, Tadao Oryu
We provide, in a general setting, explicit solutions for optimal stopping problems that involve diffusion process and its running maximum. Our approach is to use the excursion theo…
Explicit Solutions for Optimal Stopping of Maximum Process with Absorbing Boundary that Varies with It
Masahiko Egami, Tadao Oryu
We provide, in a general setting, explicit solutions for optimal stopping problems that involve a diffusion process and its running maximum. Besides, a new feature includes absorbi…
On the continuous and smooth fit principle for optimal stopping problems in spectrally negative Levy models
Masahiko Egami, Kazutoshi Yamazaki
We consider a class of infinite-time horizon optimal stopping problems for spectrally negative Levy processes. Focusing on strategies of threshold type, we write explicit expressio…
On the One-Dimensional Optimal Switching Problem
Erhan Bayraktar, Masahiko Egami
We explicitly solve the optimal switching problem for one-dimensional diffusions by directly employing the dynamic programming principle and the excessive characterization of the v…
A Direct Method for Solving Optimal Switching Problems of One-Dimensional Diffusions
Masahiko Egami
In this paper, we propose a direct solution method for optimal switching problems of one-dimensional diffusions. This method is free from conjectures about the form of the value fu…
The Effects of Implementation Delay on Decision-Making Under Uncertainty
Erhan Bayraktar, Masahiko Egami
In this paper, we accomplish two objectives: First, we provide a new mathematical characterization of the value function for impulse control problems with implementation delay and…
A Direct Solution Method for Stochastic Impulse Control Problems of One-dimensional Diffusions
Masahiko Egami
We consider stochastic impulse control problems where the process is driven by a general one-dimensional diffusion. We shall show a new mathematical characterization of the value f…
A Unified Treatment of Dividend Payment Problems under Fixed Cost and Implementation Delays
Erhan Bayraktar, Masahiko Egami
In this paper we solve the dividend optimization problem for a corporation or a financial institution when the managers of the corporation are facing (regulatory) implementation de…
Optimizing Venture Capital Investments in a Jump Diffusion Model
Erhan Bayraktar, Masahiko Egami
We study a practical optimization problems for venture capital investments and/or Research and Development (R&D) investments. The first problem is that, given the amount of the ini…
An Analysis of Monotone Follower Problems for Diffusion Processes
Erhan Bayraktar, Masahiko Egami
We consider a singular stochastic control problem, which is called the Monotone Follower Stochastic Control Problem and give sufficient conditions for the existence and uniqueness…