7 citations · 26 across the 12 of their papers we have counts for
4 papers · 1 filter
Optimal bail-out dividends problem with transaction cost and capital injection constraint
Mauricio Junca, Harold Moreno-Franco, José Luis Pérez
We consider the bail-out optimal dividend problem under fixed transaction costs for a Lévy risk model. Furthermore, we consider the version with a constraint expected net present v…
Backbone decomposition of multitype superprocesses
Dorottya Fekete, Sandra Palau, Juan Carlos Pardo +1
In this paper, we provide a construction of the so-called backbone decomposition for multitype supercritical superprocesses. While backbone decompositions are fairly well-known for…
Optimality of multi-refraction dividend strategies in the dual model
Irmina Czarna, José Luis Pérez, Kazutoshi Yamazaki
We consider the multi-refraction strategies in two equivalent versions of the optimal dividend problem in the dual (spectrally positive Lévy) model. The first problem is a variant…
Convergence of the empirical spectral distribution of Gaussian matrix-valued processes
Arturo Jaramillo, Juan Carlos Pardo, José Luis Pérez
For a given normalized Gaussian symmetric matrix-valued process , we consider the process of its eigenvalues as well a…