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math.OC2026
Tractable bank capital structure: optimal control under Basel III constraints
Erhan Bayraktar, Etienne Chevalier, Vathana Ly Vath +1
Banks must optimize risky investments, dividend payouts, and capital structure under tight Basel III solvency and liquidity constraints, while costly equity issuance serves as a di…
math.OC2025
Optimal dividend and capital injection under self-exciting claims
Paulin Aubert, Etienne Chevalier, Vathana Ly Vath
In this paper, we study an optimal dividend and capital-injection problem in a Cramér--Lundberg model where claim arrivals follow a Hawkes process, capturing clustering effects oft…