3 papers
math.OC2026
A potential-theoretic approach to optimal stopping in a spectrally Lévy Model
Masahiko Egami, Tomohiro Koike
We establish a systematic solution method for optimal stopping problems of spectrally negative Lévy processes. Our approach relies essentially on potential theory, that is, on the…
q-fin.RM2025
Loss-Given-Default Modeling by Post-Last Passage Time Process
Masahiko Egami, Rusudan Kevkhishvili
This study proposes a stochastic model for loss-given-default (LGD) which provides the LGD distribution based on credit market and company-specific financial conditions. The model…
math.PR2024
On Decomposition of the Last Passage Time of Diffusions
Masahiko Egami, Rusudan Kevkhishvili
For a regular transient diffusion, we provide a decomposition of its last passage time to a certain state . This is accomplished by transforming the original diffusion into two…