7 papers
Stochastic control with dividend payments and capital injections for Markov additive processes
Kei Noba
Motivated by de Finetti's optimal dividend problem with capital injections, we study a stochastic control problem for the additive component of a Markov additive process (MAP). In…
Fluctuation theory for spectrally negative Lévy processes killed by additive functionals
Kei Noba, José-Luis Pérez
In this paper, we study fluctuation identities for spectrally negative Lévy processes killed by a general class of additive functionals. We consider positive co-natural additive f…
Continuous-time multi-armed bandits under random intervention times
Kei Noba, José Luis Pérez, Kazutoshi Yamazaki +1
This paper examines multi-armed bandits in which actions are taken at random discrete times. The model consists of independent arms. When an arm is operated, it must remain act…
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…
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…
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…