Research

Fixed Confidence Best Arm Identification in the Bayesian Setting, with K. Jang, J. Komiyama, 2024.

An arbitrage driven price dynamics of Automated Market Makers in the presence of fees, with J. Najnudel, S.-N. Tung, J.-Y. Yen, 2024.

Refraction strategies in stochastic control: optimality for a general Lévy process model, with K. Noba and J.L. Perez, 2023.

A jump-driven self-exciting stochastic fish migration model and its fisheries applications, with H. Yoshioka, 2023.

Optimal dividends and capital injection: A general Lévy model with extensions to regime-switching models, with D. Mata Lopez, J.L. Perez, K. Noba, 2023.

On stochastic control under Poisson observations: optimality of a barrier strategy in a general Levy model, with K. Noba, 2022.

Non-zero-sum optimal stopping game with continuous versus periodic observations, with J.L. Perez and N. Rodosthenous, forthcoming in Mathematics of Operations Research.

A series expansion formula of the scale matrix with applications in CUSUM analysis, with J. Ivanovs, Stochastic Processes and their Applications, 170, 104300, 2024.

Levy bandits under Poissonian decision times, with J.L. Perez, 2023, forthcoming in MATRIX Annals.

A Jump Ornstein-Uhlenbeck Bridge Based on Energy-optimal Control and Its Self-exciting Extension, with H. Yoshioka, IEEE Control Systems Letters, 7, 1536 - 1541, 2023.

The Gerber-Shiu discounted penalty function: From practical perspectives, with Y. He, R. Kawai and Y. Shimizu, Insurance: Mathematics and Economics, 109, 1-28, 2023.

On singular control for Levy processes, with K. Noba, Mathematics of Operations Research, 48(3), 1213–1234, 2023. See numerical results for "On singular control for Levy processes" .

Detection and identification of changes of hidden Markov chains: asymptotic theory, with S. Dayanik, Statistical Inference for Stochastic Processes, 25, 261-301, 2022.

Effects of positive jumps of assets on endogenous bankruptcy and optimal capital structure: Continuous- and periodic-observation models, with D. Mata Lopez, J. L. Perez, SIAM Journal on Financial Mathematics, 12(3), 1112-1149, 2021.

Double continuation regions for American options under Poisson exercise opportunities, with Z. Palmowski, J. L. Perez, Mathematical Finance, 31(2), 722-771, 2021.

Optimal periodic replenishment policies for spectrally positive Levy demand processes, with J. L. Perez, and A. Bensoussan, SIAM Journal on Control and Optimization, 58(6), 3428-3456, 2020.  

The Leland-Toft optimal capital structure model under Poisson observations, with Z. Palmowski, J. L. Perez, and B. Surya, Finance and Stochastics, 24, 1035-1082, 2020.

Optimality of hybrid continuous and periodic barrier strategies in the dual model, with J. L. Perez, Applied Mathematics and Optimization, 82, 105-133, 2020.

Optimality of refraction strategies for a constrained dividend problem, with M. Junca, H. Moreno-Franco, and J. L. Perez, Advances in Applied Probability, 51(3), 633-666, 2019.

Fluctuation theory for level dependent Levy risk processes, with I. Czarna, J. L. Perez and T. Rolski, Stochastic Processes and their Applications, 129(12), 5406-5449, 2019.

On optimal periodic dividend and capital injection strategies for spectrally negative Levy models, with K. Noba, J. L. Perez, and K. Yano, Journal of Applied Probability, 55(4), 1272-1286, 2018.

The bail-out optimal dividend problem under the absolutely continuous condition, with J. L. Perez and X. Yu, Journal of Optimization Theory and Applications, 179(2), 553-568, 2018.

Optimality of multi-refraction dividend strategies in the dual model, with I. Czarna, J. L. Perez, Insurance: Mathematics and Economics, 83, 148-160, 2018.

Mixed Periodic-classical barrier strategies for Levy risk Processes, with J. L. Perez, Risks, 6(2), 33, 2018.

On optimal periodic dividend strategies for Levy risk processes, with K. Noba, J. L. Perez, and K. Yano, Insurance: Mathematics and Economics, 80, 29-44, 2018.

American options under periodic exercise opportunities, with J. L. Perez, Statistics  and Probability Letters, 135, 92-101, 2018.

Optimality of two-parameter strategies in stochastic control, in XII Symposium on Probability and Stochastic Processes, 2018.

On the Optimality of Periodic Barrier Strategies for a Spectrally Positive Levy Process, with J. L. Perez, Insurance: Mathematics and Economics, 77, 1-13, 2017.

Spectrally Negative Levy Processes with Parisian Reflection Below and Classical Reflection Above, with F. Avram and J. L. Perez, Stochastic Processes and their Applications, 128(1), 255-290, 2018.

On the Refracted-Reflected Spectrally Negative Levy Processes, with J. L. Perez, Stochastic Processes and their Applications, 128(1), 306-331, 2018.

Phase-type Approximation of the Gerber-Shiu Function, the Journal of the Operations Research Society of Japan, 60(3), 2017 (special issue of the 60th anniversary of the Operations Research Society of Japan).

On the Joint Reflective and Refractive Dividend Strategies in Spectrally Positive Levy Models, with B. Avanzi, J. L. Perez, and B. Wong, Insurance: Mathematics and Economics, 72, 148-162, 2017.

Refraction-Reflection Strategies in the Dual Model, with J. L. Perez, ASTIN Bulletin, 47(1), 199-238, 2017.

Inventory Control for Spectrally Positive Levy Demand Processes, Mathematics of Operations Research, 42(1), 212-237, 2017.

Optimality of Refraction Strategies for Spectrally Negative Levy Processes, with D. Hernandez-Hernandez and J. L. Perez, SIAM Journal on Control and Optimization, 54(3), 1126-1156, 2016. See Supplementary results for "Optimality of Refraction Strategies for Spectrally Negative Levy Processes" for the analytical expressions used in Section 6.

Optimal Multiple Stopping with Negative Discount Rate and Random Refraction Times under Levy Models, with T. Leung and H. Zhang, SIAM Journal on Control and Optimization, 53, Issue 4, 2373--2405, 2015.

An Analytic Recursive Method for Optimal Multiple Stopping: Canadization and Phase-Type Fitting, with T. Leung and H. Zhang, International Journal of Theoretical and Applied Finance, 18(5), 1550032, 2015.

Cash Management and Control Band Policies for Spectrally One-sided Levy Processes, Recent Advances in Financial Engineering 2014, 199-215, 2016.

Optimality of Doubly Reflected Levy Processes in Singular Control, with E. J. Baurdoux, Stochastic Processes and their Applications, 125(7):2727-2751, 2015.

Optimal Double Stopping of a Brownian Bridge, with E. J. Baurdoux, N. Chen and B. A. Surya, Advances in Applied Probability, 47(4), 1212-1234, 2015.

Contraction Options and Optimal Multiple-Stopping in Spectrally Negative Levy Models, Applied Mathematics and Optimization, 72(1):147-185, 2015.

Games of Singular Control and Stopping Driven by Spectrally One-sided Levy Processes, with D. Hernandez-Hernandez, Stochastic Processes and their Applications, 125(1), 1-38, 2015.

Phase-type Fitting of Scale Functions for Spectrally Negative Levy Processes, with M. Egami, Journal of Computational and Applied Mathematics, 264, 1-22, 2014.

Optimal Capital Structure with Scale Effects under Spectrally Negative Levy Models, with B. A. Surya, International Journal of Theoretical and Applied Finance, 17(2), 1450013, 2014.

Optimal Dividends in the Dual Model under Transaction Costs, with E. Bayraktar and A. E. Kyprianou, Insurance: Mathematics and Economics, 54, 133-143, 2014.

On the Continuous and Smooth Fit Principle for Optimal Stopping Problems in Spectrally Negative Levy Models, with M. Egami, Advances in Applied Probability, 46(1), 139-167, 2014.

On Optimal Dividends in the Dual Model, with E. Bayraktar and A. E. Kyprianou, ASTIN Bulletin, 43(3):359-372, 2013.

Default Swap Games Driven by Spectrally Negative Levy Processes, with M. Egami and T. Leung, Stochastic Processes and their Applications, 123(2):347-384, 2013.

American Step-Up and Step-Down Credit Default Swaps under Levy Models, with T. Leung, Quantitative Finance, 13(1):137-157, 2013.

Asymptotically Optimal Bayesian Sequential Change Detection and Identification Rules, with S. Dayanik and W. B. Powell, Annals of Operations Research (special volume on Optimization under Uncertainty Costs, Risks, and Revenues in honor of Professor Cyrus Derman), 208(1):337-370, 2013.

Precautionary Measures for Credit Risk Management in Jump Models, with M. Egami, Stochastics, 85(1):111-143, 2013.

Model-Free Implied Volatility: From Surface to Index, with M. Fukasawa, I. Ishida, N. Maghrebi, K. Oya and M. Ubukata, International Journal of Theoretical and Applied Finance, 14(4):433-463, 2011.

Index Policies for Discounted Bandit Problems with Availability Constraints, with S. Dayanik and W. B. Powell, Advances in Applied Probability, 40(2):377-400, 2008.

Optimal Capital Structure with Scale Effects under Spectrally Negative Levy Models.

Games of Singular Control and Stopping Driven by Spectrally One-sided Levy Processes.

Inventory Control for Spectrally Positive Levy Demand Processes.

Cash Management and Control Band Policies for Spectrally One-sided Levy Processes.

Optimal Dividends in the Dual Model for Spectrally Positive Levy Processes.

Phase-Type Fitting Approximation of Overshoot/Undershoot Distributions for Spectrally Negative Levy Processes.

Contraction Options and Optimal Multiple-Stopping in Spectrally Negative Levy Models.

Optimal Stopping Problems for Spectrally Negative Levy Processes and Applications in Finance.

Default Swap Games.

American Step-Up and Step-Down Credit Default Swaps under Levy Models.

Phase-type fitting of scale functions for spectrally negative Levy processes.

Precautionary Measures for Credit Risk Management in Jump Models.

Asymptotic Theory of Detection and Identification of a Markov-Modulated Random Sequence.

Asymptotic Theory of Sequential Change Detection and Identification.

Bandit Problems with Availability Constraints.