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math.PR2020
Effects of positive jumps of assets on endogenous bankruptcy and optimal capital structure: Continuous- and periodic-observation models
Dante Mata López, José Luis Pérez, Kazutoshi Yamazaki
In this paper, we study the optimal capital structure model with endogenous bankruptcy when the firm's asset value follows an exponential Lévy process with positive jumps. In the L…
math.PR2020★ 1 cited
On singular control for Lévy processes
Kei Noba, Kazutoshi Yamazaki
We revisit the classical singular control problem of minimizing running and controlling costs. The problem arises in inventory control, as well as in healthcare management and math…