2 citations · 6 across the 16 of their papers we have counts for
4 papers · 1 filter
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…