5 papers
Continuous-time multi-armed bandits under random intervention times
Kei Noba, José Luis Pérez, Kazutoshi Yamazaki +1
This paper examines multi-armed bandits in which actions are taken at random discrete times. The model consists of independent arms. When an arm is operated, it must remain act…
Optimal Liquidation in a Defaultable Market
Daniel Hernández-HernÅdez, Harold A. Moreno-Franco, José-Luis Pérez
In this paper we address the problem of optimal liquidation of a large portfolio composed by securities exposed to default risk. The default time is described in terms of a Brownia…
Partially exchangeable Markov chains and characterisation of multitype Lambda-coalescents
Adrián González Casanova, Noemi Kurt, Imanol Nuñez Morales +1
In this paper, we study consistent and partially exchangeable sequences of Markov chains on a finite state space. We provide a characterisation of the admissible transition rates v…
An Inventory System with Two Supply Modes and Lévy Demand
José Luis Pérez, Kazutoshi Yamazaki, Qingyuan Zhang
This study considers a continuous-review inventory model for a single item with two replenishment modes. Replenishments may occur continuously at any time with a higher unit cost,…
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…