2 citations · 2 across the 1 of their papers we have counts for
4 papers
The Leland-Toft optimal capital structure model under Poisson observations
Zbigniew Palmowski, José Luis Pérez, Budhi Arta Surya +1
We revisit the optimal capital structure model with endogenous bankruptcy first studied by Leland \cite{Leland94} and Leland and Toft \cite{Leland96}. Differently from the standard…
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…
Optimal periodic replenishment policies for spectrally positive Lévy demand processes
José-Luis Pérez, Kazutoshi Yamazaki, Alain Bensoussan
We consider a version of the stochastic inventory control problem for a spectrally positive Lévy demand process, in which the inventory can only be replenished at independent expon…
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…