arXiv subjects

Dante Mata López

Publications and source records attributed to Dante Mata López.

3 recordsLinked to original sources

arXiv2024

Optimal dividends and capital injection: A general Lévy model with extensions to regime-switching models

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 regime-switching model. We first show the optimality of a double barrier strategy in the single-regime setting with a concave terminal payoff function. This is then applied to show the optimality of a Markov-modulated double barrier strategy in the regime-switching model via contraction mapping arguments. We solve these for a general Lévy model with both positive and negative jumps, greatly generalizing the existing results on spectrally one-sided models.

math.PR↗

arXiv2021

Logarithmic correction to resistance

We study the trace of the incipient infinite oriented branching random walk in $\mathbb{Z}^d \times \mathbb{Z}_+$ when the dimension is $d = 6$. Under suitable moment assumptions, we show that the electrical resistance between the root and level $n$ is $O(n \log^{-ξ}n )$ for a $ξ> 0$ that does not depend on details of the model.

math.PR↗

arXiv2020

Effects of positive jumps of assets on endogenous bankruptcy and optimal capital structure: Continuous- and periodic-observation models

In this paper, we study the optimal capital structure model with endogenous bankruptcy when the firm's asset value follows an exponential Lévy process with positive jumps. In the Leland-Toft framework \cite{LelandToft96}, we obtain the optimal bankruptcy barrier in the classical continuous-observation model and the periodic-observation model, recently studied by Palmowski et al.\ \cite{palmowski2019leland}. We further consider the two-stage optimization problem of obtaining the optimal capital structure. Detailed numerical experiments are conducted to study the sensitivity of the firm's decision-making with respect to the observation frequency and positive jumps of the asset value.

math.PR↗