Search Results - "Noba, Kei"

On the optimality of double barrier strategies for Lévy processes by Noba, Kei

“…This paper studies de Finetti’s optimal dividend problem with capital injection. We confirm the optimality of a double barrier strategy when the underlying…”
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On the optimality of the refraction–reflection strategies for Lévy processes by 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…”
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Approximation and Duality Problems of Refracted Processes by Noba, Kei

“…For given two standard processes with no positive jumps, we construct, using excursion theory, a Markov process whose positive and negative motions have the…”
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On optimal periodic dividend and capital injection strategies for spectrally negative Lévy models by Noba, Kei, Pérez, José-Luis, Yamazaki, Kazutoshi, Yano, Kouji

“…De Finetti’s optimal dividend problem has recently been extended to the case when dividend payments can be made only at Poisson arrival times. In this paper we…”
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Generalized scale functions of standard processes with no positive jumps by Noba, Kei

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Optimal dividends and capital injection: A general Lévy model with extensions to regime-switching models by Mata López, Dante, Noba, Kei, Pérez, José-Luis, Yamazaki, Kazutoshi

“…This paper studies a general Lévy process model of the bail-out optimal dividend problem with an exponential time horizon, and further extends it to the…”
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On optimal periodic dividend strategies for Lévy risk processes by Noba, Kei, Pérez, José-Luis, Yamazaki, Kazutoshi, Yano, Kouji

“…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…”
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On the bailout dividend problem with periodic dividend payments for spectrally negative Markov additive processes by Mata, Dante, Moreno-Franco, Harold A., Noba, Kei, Pérez, José-Luis

“…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…”
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Scale functions of space-time changed processes with no positive jumps by 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…”
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On the optimality of the refraction--reflection strategy for L\'evy processes by 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…”
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Analytic property of generalized scale functions for standard processes with no negative jumps and its application to quasi-stationary distributions by 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…”
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On stochastic control under Poisson observations: optimality of a barrier strategy in a general L\'evy model by 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…”
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On the optimality of double barrier strategies for L\'evy processes by Noba, Kei

“…This paper studies de Finetti's optimal dividend problem with capital injection. We confirm the optimality of a double barrier strategy when the underlying…”
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Approximation and duality problems of refracted processes by Noba, Kei

“…For given two standard processes with no positive jumps, we construct, using the excursion theory, a Markov process whose positive and negative motions have…”
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Generalized scale functions of standard processes with no positive jumps by Noba, Kei

“…As a generalization of scale functions of spectrally negative L\'evy processes, we define scale functions of general standard processes with no positive jumps…”
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On singular control for L\'evy processes by 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…”
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Refraction strategies in stochastic control: optimality for a general L\'evy process model by Noba, Kei, Pérez, José Luis, Yamazaki, Kazutoshi

“…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…”
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Optimal dividends and capital injection: A general L\'evy model with extensions to regime-switching models by López, Dante Mata, Noba, Kei, Pérez, José-Luis, Yamazaki, Kazutoshi

“…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…”
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On Boolean selfdecomposable distributions by Hasebe, Takahiro, Noba, Kei, Sakuma, Noriyoshi, Ueda, Yuki

“…This paper introduces the class of selfdecomposable distributions concerning Boolean convolution. A general regularity property of Boolean selfdecomposable…”
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Generalized refracted L\'evy process and its application to exit problem by Noba, Kei, Yano, Kouji

“…Generalizing Kyprianou--Loeffen's refracted L\'evy processes, we define a new refracted L\'evy process which is a Markov process whose positive and negative…”
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