15 citations · 35 across the 12 of their papers we have counts for
16 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…
Optimality of refraction strategies for a constrained dividend problem
Mauricio Junca, Harold Moreno-Franco, José-Luis Pérez +1
We consider de Finetti's problem for spectrally one-sided Lévy risk models with control strategies that are absolutely continuous with respect to the Lebesgue measure. Furthermore,…
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…
On the Bail-Out Optimal Dividend Problem
José-Luis Pérez, Kazutoshi Yamazaki, Xiang Yu
This paper studies the optimal dividend problem with capital injection under the constraint that the cumulative dividend strategy is absolutely continuous. We consider an open prob…
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…
Periodic strategies in optimal execution with multiplicative price impact
Daniel Hernández-Hernández, Harold A. Moreno-Franco, José Luis Pérez
In this work we study the optimal execution problem with multiplicative price impact in algorithm trading, when an agent holds an initial position of shares of a financial asset. T…
Branching processes with interactions: the subcritical cooperative regime
Adrián González Casanova, Juan Carlos Pardo, José Luis Perez
In this paper, we introduce a family of processes with values on the nonnegative integers that describes the dynamics of populations where individuals are allowed to have different…
Hybrid continuous and periodic barrier strategies in the dual model: optimality and fluctuation identities
José-Luis Pérez, Kazutoshi Yamazaki
Avanzi et al. (2016) recently studied an optimal dividend problem where dividends are paid both periodically and continuously with different transaction costs. In the Brownian mode…
On optimal joint reflective and refractive dividend strategies in spectrally positive Lévy models
Benjamin Avanzi, José-Luis Pérez, Bernard Wong +1
The expected present value of dividends is one of the classical stability criteria in actuarial risk theory. In this context, numerous papers considered threshold (refractive) and…
On the Refracted-Reflected Spectrally Negative Lévy Processes
José-Luis Pérez, Kazutoshi Yamazaki
We study a combination of the refracted and reflected Lévy processes. Given a spectrally negative Lévy process and two boundaries, it is reflected at the lower boundary while, when…
Lévy insurance risk processes with parisian type severity of debt
Juan Carlos Pardo, Jose Luis Perez, Victor Rivero
In this article, we introduce a new definition of bankruptcy for a spectrally negative Lévy insurance risk process. More precisely, we study the Gerber-Shiu distribution for a ruin…
Optimality of Refraction Strategies for Spectrally Negative Levy Processes
Daniel Hernandez-Hernandez, Jose-Luis Perez, Kazutoshi Yamazaki
We revisit a stochastic control problem of optimally modifying the underlying spectrally negative Levy process. A strategy must be absolutely continuous with respect to the Lebesgu…
A Random Matrix Approximation for the Non-commutative Fractional Brownian Motion
Juan Carlos Pardo, Victor Pérez-Abreu, José Luis Pérez-Garmendia
A functional limit theorem for the empirical measure-valued process of eigenvalues of a matrix fractional Brownian motion is obtained. It is shown that the limiting measure-valued…
An application of the backbone decomposition to supercritical super-Brownian motion with a barrier
A. Kyprianou, A. Murillo-Salas, J. L. Perez
We analyse the behaviour of supercritical super-Brownian motion with a barrier through the pathwise backbone embedding of Berestycki et al. (2011). In particular, by considering ex…