2 citations · 2 across the 1 of their papers we have counts for
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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…