24 citations · 44 across the 6 of their papers we have counts for
3 papers · 1 filter
Worst portfolios for dynamic monetary utility processes
Daniel Hernandez-Hernandez, Oscar Hernan Madrid Padilla
We study the worst portfolios for a class of law invariant dynamic monetary utility functions with domain in a class of stochastic processes. The concept of comonotonicity is intro…
Optimality of Refraction Strategies for Spectrally Negative Levy Processes
Daniel Hernandez-Hernandez, Jose-Luis Perez, Kazutoshi Yamazaki
We revisit a stochastic control problem of optimally modifying the underlying spectrally negative Levy process. A strategy must be absolutely continuous with respect to the Lebesgu…
Games of singular control and stopping driven by spectrally one-sided Levy processes
Daniel Hernandez-Hernandez, Kazutoshi Yamazaki
We study a zero-sum game where the evolution of a spectrally one-sided Levy process is modified by a singular controller and is terminated by the stopper. The singular controller m…