7 citations · 26 across the 12 of their papers we have counts for
4 papers · 1 filter
Refraction-reflection strategies in the dual model
José-Luis Pérez, Kazutoshi Yamazaki
We study the dual model with capital injection under the additional condition that the dividend strategy is absolutely continuous. We consider a refraction-reflection strategy that…
Refracted Continuous-State Branching Processes: Self-regulating populations
Antonio Murillo-Salas, José Luis Pérez, Arno Siri-Jégousse
We construct a modified continuous-state branching process whose Malthusian parameter is replaced by another when passing below a certain level. The construction is obtained via a…
The excursion measure away from zero for spectrally negative Lévy processes
Juan Carlos Pardo, Jose Luis Pérez, Víctor Manuel Rivero
We provide a description of the excursion measure from a point for a spectrally negative Lévy process. The description is based in two main ingredients. The first is building a spe…
On the Free Fractional Wishart Process
Juan Carlos Pardo, José Luis Pérez, Victor Pérez-Abreu
We investigate the process of eigenvalues of a fractional Wishart process defined as N=B*B, where B is a matrix fractional Brownian motion recently studied by Nualart and Pérez-Abr…