44 citations · 231 across the 45 of their papers we have counts for
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Optimal periodic replenishment policies for spectrally positive Lévy demand processes
José-Luis Pérez, Kazutoshi Yamazaki, Alain Bensoussan
We consider a version of the stochastic inventory control problem for a spectrally positive Lévy demand process, in which the inventory can only be replenished at independent expon…
Optimality of refraction strategies for a constrained dividend problem
Mauricio Junca, Harold Moreno-Franco, José-Luis Pérez +1
We consider de Finetti's problem for spectrally one-sided Lévy risk models with control strategies that are absolutely continuous with respect to the Lebesgue measure. Furthermore,…
Optimality of multi-refraction dividend strategies in the dual model
Irmina Czarna, José Luis Pérez, Kazutoshi Yamazaki
We consider the multi-refraction strategies in two equivalent versions of the optimal dividend problem in the dual (spectrally positive Lévy) model. The first problem is a variant…