3 citations · 3 across the 8 of their papers we have counts for
9 papers
Continuous-time multi-armed bandits under random intervention times
Kei Noba, José Luis Pérez, Kazutoshi Yamazaki +1
This paper examines multi-armed bandits with independent arms in which actions are taken at random discrete times. When an arm is operated, it must remain active for a renewal…
Optimal Liquidation in a Defaultable Market
Daniel Hernández-Hernńdez, Harold A. Moreno-Franco, José-Luis Pérez
In this paper we address the problem of optimal liquidation of a large portfolio composed by securities exposed to default risk. The default time is described in terms of a Brownia…
Partially exchangeable Markov chains and characterisation of multitype Lambda-coalescents
Adrián González Casanova, Noemi Kurt, Imanol Nuñez Morales +1
In this paper, we study consistent and partially exchangeable sequences of Markov chains on a finite state space. We provide a characterisation of the admissible transition rates v…
An Inventory System with Two Supply Modes and Lévy Demand
José Luis Pérez, Kazutoshi Yamazaki, Qingyuan Zhang
This study considers a continuous-review inventory model for a single item with two replenishment modes. Replenishments may occur continuously at any time with a higher unit cost,…
Detection of an Arbitrary Number of Communities in a Block Spin Ising Model
Miguel Ballesteros, Ramsés H. Mena, José Luis Pérez +1
We study the problem of community detection in a general version of the block spin Ising model featuring M groups, a model inspired by the Curie-Weiss model of ferromagnetism in st…
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…
Lévy bandits under Poissonian decision times
José-Luis Pérez, Kazutoshi Yamazaki
We consider a version of the continuous-time multi-armed bandit problem where decision opportunities arrive at Poisson arrival times, and study its Gittins index policy. When drive…
Two-type branching processes with immigration, and the structured coalescents
María Emilia Caballero, Adrián González Casanova, José Luis Pérez
We consider a population constituted by two types of individuals; each of them can produce offspring in two different islands (as a particular case the islands can be interpreted a…
Non-zero-sum optimal stopping game with continuous versus periodic exercise opportunities
José Luis Pérez, Neofytos Rodosthenous, Kazutoshi Yamazaki
We introduce a new non-zero-sum game of optimal stopping with asymmetric exercise opportunities. Given a stochastic process modelling the value of an asset, one player observes and…