Related papers: Convexity and smoothness of scale functions and de…
We obtain series expansions of the $q$-scale functions of arbitrary spectrally negative L\'evy processes, including processes with infinite jump activity, and use these to derive various new examples of explicit $q$-scale functions.…
Scale functions play a central role in the fluctuation theory of spectrally negative L\'evy processes and often appear in the context of martingale relations. These relations are often complicated to establish requiring excursion theory in…
We consider a class of two-sided singular control problems. A controller either increases or decreases a given spectrally negative Levy process so as to minimize the total costs comprising of the running and control costs where the latter…
We consider De Finetti's control problem for absolutely continuous strategies with control rates bounded by a concave function and prove that a generalized mean-reverting strategy is optimal. In order to solve this problem, we need to deal…
Motivated by recent developments in risk management based on the U.S. bankruptcy code, we revisit the De Finetti's optimal dividend problem by incorporating the reorganization process and regulator's intervention documented in Chapter 11…
We consider de Finetti's stochastic control problem for a spectrally negative L\'evy process in an Omega model. In such a model, the (controlled) process is allowed to spend time under the critical level but is then subject to a…
The scale function holds significant importance within the fluctuation theory of Levy processes, particularly in addressing exit problems. However, its definition is established through the Laplace transform, thereby lacking explicit…
Scale functions play a central role in the fluctuation theory of spectrally negative L\'evy processes. For spectrally negative compound Poisson processes with positive drift, a new representation of the $q$-scale functions in terms of the…
In discrete convex analysis, the scaling and proximity properties for the class of L$^\natural$-convex functions were established more than a decade ago and have been used to design efficient minimization algorithms. For the larger class of…
We consider de Finetti's stochastic control problem when the (controlled) process is allowed to spend time under the critical level. More precisely, we consider a generalized version of this control problem in a spectrally negative L\'evy…
This paper is devoted to establishing the full scaling limit theorems for multivariate Hawkes processes. Under some mild conditions on the exciting kernels, we develop a new way to prove that after a suitable time-spatial scaling, the…
We study a combination of the refracted and reflected L\'evy processes. Given a spectrally negative L\'evy process and two boundaries, it is reflected at the lower boundary while, whenever it is above the upper boundary, a linear drift at a…
We revisit the geometrically decaying step size given a positive inverse condition number, under which a locally Lipschitz function shows linear convergence. The positivity does not require the function to satisfy convexity, weak convexity,…
In this article densities (and their derivatives) of subordinators and inverse subordinators are considered. Under minor restrictions, generally milder than the existing in the literature, using a useful modification of the saddle point…
A new approach to solve the continuous-time stochastic inventory problem using the fluctuation theory of Levy processes is developed. This approach involves the recent developments of the scale function that is capable of expressing many…
In this paper, we study the existence of the density associated to the exponential functional of the L\'evy process $\xi$, \[ I_{\ee_q}:=\int_0^{\ee_q} e^{\xi_s} \, \mathrm{d}s, \] where $\ee_q$ is an independent exponential r.v. with…
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 study the regularity properties of the value function associated with an affine optimal control problem with quadratic cost plus a potential, for a fixed final time and initial point. Without assuming any condition on singular…
This paper is concerned with a mean-field linear quadratic (LQ, for short) optimal control problem with deterministic coefficients. It is shown that convexity of the cost functional is necessary for the finiteness of the mean-field LQ…
We consider convex trace functions $\Phi_{p,q,s} = Trace[ (A^{q/2}B^p A^{q/2})^s]$ where $A$ and $B$ are positive $n\times n$ matrices and ask when these functions are convex or concave. We also consider operator convexity/concavity of…