arXiv subjects

Héctor Jasso-Fuentes

Publications and source records attributed to Héctor Jasso-Fuentes.

2 recordsLinked to original sources

arXiv2026

Group Survival Probability under Contagion in Microlending

In the context of micro-finance, a group of individuals undertake business projects that may interfere with one another. A contagious default happens if one person's project failure leads to the default of another group member. In this paper, we apply a probabilistic approach to analyze the impact of such contagion among investment group members. Firstly, a general formula is provided to compute the group survival probability with the presence of contagion effect. Then, special cases of this probability model are examined in detail. In particular, we show that if the investment group is homogeneous, defined in the paper, then including more members into the group will eventually lead to default with probability 1. This differs from the non-contagious scenario, where the default probability decreases monotonically with respect to the group size. Afterwards, we provide an upper bound of the optimal group size under the homogeneous setup; so, one can run a linear search within finite time to locate this optimizer.

q-fin.MF↗

arXiv2019

On a switching control problem with càdlàg costs

This work addresses a switching control problem under which the cost associated with the changes of regimes is allowed to have discontinuities in time. Our main contribution is to show several characterizations of the optimal cost function as well as the existence of "-optimal control policies. As a by-product, we also study the existence and uniqueness of solutions of a system of backward stochastic differential equations whose barriers (or obstacles) are discontinuous (in fact of càdlàg type) and depend itself on the unknown solution. At the last part of the paper, we study the case when an underlying diffusion is part of the dynamic of the system. In this special case, the optimal payoff becomes a weak solution of the HJB system of PDEs with obstacles which is of quasi-variational type. This paper is somehow a continuation of the papers [8, 17] that consider continuous costs.

math.OC↗