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math.PR2025
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…
math.PR2024
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…
math.PR2024
Non-zero-sum optimal stopping game with continuous versus periodic exercise opportunities
José Luis Pérez, Neofytos Rodosthenous, Kazutoshi Yamazaki
We introduce a new non-zero-sum game of optimal stopping with asymmetric exercise opportunities. Given a stochastic process modelling the value of an asset, one player observes and…