1 citations · 2 across the 3 of their papers we have counts for
3 papers
math.PR2023
Scale functions of space-time changed processes with no positive jumps
Kei Noba
The scale functions were defined for spectrally negative Lévy processes and other strong Markov processes with no positive jumps, and have been used to characterize their behavior.…
math.PR2023★ 1 cited
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…
math.PR2022★ 1 cited
On the bailout dividend problem with periodic dividend payments for spectrally negative Markov additive processes
Dante Mata, Harold A. Moreno-Franco, Kei Noba +1
This paper studies the bailout optimal dividend problem with regime switching under the constraint that dividend payments can be made only at the arrival times of an independent Po…