2 citations · 6 across the 16 of their papers we have counts for
21 papers
Scale operators for Cramér--Lundberg type Markov additive processes
Kei Noba
In this paper, we consider Markov additive processes (MAPs) whose additive components are $\bR$-valued and have no positive jumps. Specifically, we assume that the modulators are F…
Fluctuation theory for spectrally negative Lévy processes killed by additive functionals
Kei Noba, José-Luis Pérez
In this paper, we study fluctuation identities for spectrally negative Lévy processes killed by a general class of additive functionals. We consider positive co-natural additive fu…
Stochastic control with dividend payments and capital injections for Markov additive processes
Kei Noba
Motivated by de Finetti's optimal dividend problem with capital injections, we study a stochastic control problem for the additive component of a Markov additive process (MAP). In…
Continuous-time multi-armed bandits under random intervention times
Kei Noba, José Luis Pérez, Kazutoshi Yamazaki +1
This paper examines multi-armed bandits with independent arms in which actions are taken at random discrete times. When an arm is operated, it must remain active for a renewal…
On optimal periodic dividend and capital injection strategies for general Lévy models
Dante Mata, Kei Noba, José-Luis Pérez
We consider a version of de Finetti's dividend problem, with the bail-out contraint to keep the surplus non-negative, and where dividend payments can only be made at the arrival ti…
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.…
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…
Analytic property of generalized scale functions for standard processes with no negative jumps and its application to quasi-stationary distributions
Kei Noba, Kosuke Yamato
For a generalized scale function of standard processes, we characterize it as a unique solution to a Volterra type integral equation. This allows us to extend it to an entire funct…
Optimal dividends and capital injection: A general Lévy model with extensions to regime-switching models
Dante Mata López, Kei Noba, José-Luis Pérez +1
This paper studies a general Lévy process model of the bail-out optimal dividend problem with an exponential time horizon, and further extends it to the regime-switching model. We…
On stochastic control under Poisson observations: optimality of a barrier strategy in a general Lévy model
Kei Noba, Kazutoshi Yamazaki
We study a version of the stochastic control problem of minimizing the sum of running and controlling costs, where control opportunities are restricted to independent Poisson arriv…
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…
On Boolean selfdecomposable distributions
Takahiro Hasebe, Kei Noba, Noriyoshi Sakuma +1
This paper introduces the class of selfdecomposable distributions concerning Boolean convolution. A general regularity property of Boolean selfdecomposable distributions is establi…
On the optimality of the refraction--reflection strategy for Lévy processes
Kei Noba
In this paper, we study de Finetti's optimal dividend problem with capital injection under the assumption that the dividend strategies are absolutely continuous. In many previous s…
On singular control for Lévy processes
Kei Noba, Kazutoshi Yamazaki
We revisit the classical singular control problem of minimizing running and controlling costs. The problem arises in inventory control, as well as in healthcare management and math…
On the optimality of double barrier strategies for Lévy processes
Kei Noba
This paper studies de Finetti's optimal dividend problem with capital injection. We confirm the optimality of a double barrier strategy when the underlying risk model follows a Lév…
On the bail-out dividend problem for spectrally negative Markov additive models
Kei Noba, José-Luis Pérez, Xiang Yu
This paper studies the bail-out optimal dividend problem with regime switching under the constraint that the cumulative dividend strategy is absolutely continuous. We confirm the o…
Approximation and duality problems of refracted processes
Kei Noba
For given two standard processes with no positive jumps, we construct, using the excursion theory, a Markov process whose positive and negative motions have the same law as the two…
On optimal periodic dividend and capital injection strategies for spectrally negative Lévy models
Kei Noba, José-Luis Pérez, Kazutoshi Yamazaki +1
De Finetti's optimal dividend problem has recently been extended to the case dividend payments can only be made at Poisson arrival times. This paper considers the version with bail…
Generalized scale functions of standard processes with no positive jumps
Kei Noba
As a generalization of scale functions of spectrally negative Lévy processes, we define scale functions of general standard processes with no positive jumps. For this purpose, we u…
On optimal periodic dividend strategies for Lévy risk processes
Kei Noba, José-Luis Pérez, Kazutoshi Yamazaki +1
In this paper, we revisit the optimal periodic dividend problem, in which dividend payments can only be made at the jump times of an independent Poisson process. In the dual (spect…
Generalized refracted Lévy process and its application to exit problem
Kei Noba, Kouji Yano
Generalizing Kyprianou--Loeffen's refracted Lévy processes, we define a new refracted Lévy process which is a Markov process whose positive and negative motions are Lévy processes…