Zobrazeno 1 - 10
of 67
pro vyhledávání: '"Noba, Kei"'
Autor:
Noba, Kei
The scale functions were defined for spectrally negative L\'evy processes and other strong Markov processes with no positive jumps, and have been used to characterize their behavior. In particular, I defined the scale functions for standard processes
Externí odkaz:
http://arxiv.org/abs/2309.09153
Autor:
Noba, Kei, Yamato, Kosuke
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 function and to derive a useful identity that we call the resolvent identit
Externí odkaz:
http://arxiv.org/abs/2308.09935
We revisit an absolutely-continuous version of the stochastic control problem driven by a L\'evy process. A strategy must be absolutely continuous with respect to the Lebesgue measure and the running cost function is assumed to be convex. We show the
Externí odkaz:
http://arxiv.org/abs/2308.08183
This paper studies a general L\'evy process model of the bail-out optimal dividend problem with an exponential time horizon, and further extends it to the regime-switching model. We first show the optimality of a double barrier strategy in the single
Externí odkaz:
http://arxiv.org/abs/2306.12374
Autor:
Noba, Kei, Yamazaki, Kazutoshi
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 arrival times. Under a general setting driven by a general L\'evy process,
Externí odkaz:
http://arxiv.org/abs/2210.00501
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 Poisson process while capital can be injected continuously in time. We s
Externí odkaz:
http://arxiv.org/abs/2207.01126
This paper introduces the class of selfdecomposable distributions concerning Boolean convolution. A general regularity property of Boolean selfdecomposable distributions is established; in particular the number of atoms is at most two and the singula
Externí odkaz:
http://arxiv.org/abs/2206.04932
Autor:
Noba, Kei
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 studies, the process before being controlled was assumed to be a spectr
Externí odkaz:
http://arxiv.org/abs/2110.09560
Autor:
Noba, Kei
0048
甲第21534号
理博第4441号
新制||理||1638(附属図書館)
学位規則第4条第1項該当
Doctor of Science
Kyoto University
DFAM
甲第21534号
理博第4441号
新制||理||1638(附属図書館)
学位規則第4条第1項該当
Doctor of Science
Kyoto University
DFAM
Externí odkaz:
http://hdl.handle.net/2433/242572
Autor:
Noba, Kei, Yamazaki, Kazutoshi
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 mathematical finance. Existing studies have shown the optimality of a barr
Externí odkaz:
http://arxiv.org/abs/2008.03021