Zobrazeno 1 - 10
of 758
pro vyhledávání: '"Perez, 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
Motivated by the question of the impact of selective advantage in populations with skewed reproduction mechanims, we study a Moran model with selection. We assume that there are two types of individuals, where the reproductive success of one type is
Externí odkaz:
http://arxiv.org/abs/2306.00130
Autor:
Pérez, José-Luis, Yamazaki, Kazutoshi
We consider a version of the continuous-time multi-armed bandit problem where decision opportunities arrive at Poisson arrival times, and study its Gittins index policy. When driven by spectrally one-sided L\'evy processes, the Gittins index can be w
Externí odkaz:
http://arxiv.org/abs/2301.07798
The main purpose of this paper is to study time-inhomogeneous one-dimensional branching processes (mainly on a continuous but also on a discrete state space) with the help of recent achievements in Loewner Theory dealing with evolution families of ho
Externí odkaz:
http://arxiv.org/abs/2211.12442
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
One-parameter semigroups of holomorphic functions appear naturally in various applications of Complex Analysis, and in particular, in the theory of (temporally) homogeneous Markov processes. A suitable analogue of one-parameter semigroups in the inho
Externí odkaz:
http://arxiv.org/abs/2206.04753