activity
20142024
most citedA Jump Ornstein-Uhlenbeck Bridge Based on Energy-optimal Control and Its Self-exciting Extension

5 citations · 6 across the 7 of their papers we have counts for

collaborators
Showing math.PRShow all

2 papers · 1 filter

math.PR2023★ 1 cited

Refraction strategies in stochastic control: optimality for a general Lévy process model

Kei Noba, José Luis Pérez, Kazutoshi Yamazaki

We revisit an absolutely-continuous version of the stochastic control problem driven by a Lévy process. A strategy must be absolutely continuous with respect to the Lebesgue measur…

math.PR2023

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…