44 citations · 231 across the 45 of their papers we have counts for
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math.OC2016
Hybrid continuous and periodic barrier strategies in the dual model: optimality and fluctuation identities
José-Luis Pérez, Kazutoshi Yamazaki
Avanzi et al. (2016) recently studied an optimal dividend problem where dividends are paid both periodically and continuously with different transaction costs. In the Brownian mode…
math.OC2016★ 15 cited
On optimal joint reflective and refractive dividend strategies in spectrally positive Lévy models
Benjamin Avanzi, José-Luis Pérez, Bernard Wong +1
The expected present value of dividends is one of the classical stability criteria in actuarial risk theory. In this context, numerous papers considered threshold (refractive) and…
math.OC2016
Optimality of two-parameter strategies in stochastic control
Kazutoshi Yamazaki
In this note, we study a class of stochastic control problems where the optimal strategies are described by two parameters. These include a subset of singular control, impulse cont…