44 citations · 231 across the 45 of their papers we have counts for
4 papers · 1 filter
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…
Optimal dividends and capital injection: A general Lévy model with extensions to regime-switching models
Dante Mata López, Kei Noba, José-Luis Pérez +1
This paper studies a general Lévy process model of the bail-out optimal dividend problem with an exponential time horizon, and further extends it to the regime-switching model. We…
A Jump Ornstein-Uhlenbeck Bridge Based on Energy-optimal Control and Its Self-exciting Extension
Hidekazu Yoshioka, Kazutoshi Yamazaki
We study a version of the Ornstein-Uhlenbeck bridge driven by a spectrally-positive subordinator. Our formulation is based on a Linear-Quadratic control subject to a singular termi…
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…