Zobrazeno 1 - 10
of 1 564
pro vyhledávání: '"Pérez, José-Luis"'
Autor:
Nuñez, Imanol, Pérez, José Luis
We consider a population growth model given by a two-type continuous-state branching process with immigration and competition, introduced by Ma. We study the relative frequency of one of the types in the population when the total mass is forced to be
Externí odkaz:
http://arxiv.org/abs/2406.04255
We study the optimal bailout dividend problem with transaction costs for an insurance company, where shareholder payouts align with the arrival times of an independent Poisson process. In this scenario, the underlying risk model follows a spectrally
Externí odkaz:
http://arxiv.org/abs/2403.16077
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
We consider a singular control problem that aims to maximize the expected cumulative rewards, where the instantaneous returns depend on the state of a controlled process. The contributions of this paper are twofold. Firstly, to establish sufficient c
Externí odkaz:
http://arxiv.org/abs/2308.02095
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