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José Luis Pérez

Publications and source records attributed to José Luis Pérez.

At least 19 recordsLinked to original sources

Continuous-time multi-armed bandits under random intervention times

This paper examines multi-armed bandits with $J$ independent arms in which actions are taken at random discrete times. When an arm is operated, it must remain active for a renewal inter-arrival time. For arms evolving as a Lévy process, we provide an explicit characterization of the Gittins index, known to yield an optimal strategy. Furthermore, when the inter-arrival times are exponential and the arms evolve as a spectrally negative Lévy process, a reflected spectrally negative Lévy process, or a diffusion process, the Gittins index is explicitly characterized in terms of the scale function or diffusion characteristics, respectively. Convergence analysis and numerical experiments are performed to support the theoretical results.

math.OC↗

Dormancy stabilizes non-transitive competitive dynamics

Competitive interactions can maintain diversity, yet coexistence is often fragile in well-mixed populations, where stochastic fluctuations can lead to extinction. This is the case in non-transitive systems, such as rock-paper-scissors dynamics, where no single type dominates globally. While spatial structure can stabilize these systems by providing refuges in space, it remains unclear whether analogous mechanisms can operate in time in well-mixed environments. Here, we develop a population-genetic framework showing that dormancy can act as a temporal refuge, preserving lineages and preventing collapse to fixation under interaction-driven fluctuations. We introduce a discrete-time Wright-Fisher model that combines generalized seed-banks with frequency-dependent interactions, allowing individuals to inherit their type from potential parents sampled across multiple past generations. This construction provides a tractable framework in which dormancy stores and later reintroduces lost types. In the case of either weak or moderate selection, we prove a multidimensional diffusion limit for the resulting type-frequency process and use it to analyze complex selective interactions. In non-transitive systems, dormancy stabilizes trajectories that would otherwise collapse through stochastic extinction, extends fixation times, and sustains coexistence. These effects cannot be explained solely by an increase in effective population size. Our results show that dormancy introduces temporal memory that qualitatively alters competitive dynamics, stabilizing otherwise fragile systems and enabling long-term coexistence.

q-bio.PE↗

Partially exchangeable Markov chains and characterisation of multitype Lambda-coalescents

In this paper, we study consistent and partially exchangeable sequences of Markov chains on a finite state space. We provide a characterisation of the admissible transition rates via a decomposition into individual and coordinated motion of particles. As a consequence, we find a characterisation of multitype Lambda-coalescents with multiple switches. Moreover, we provide convergence and duality results for the corresponding process of limiting relative frequencies that we call the de Finetti measure process, and discuss a number of examples from the recent literature.

math.PR↗

An Inventory System with Two Supply Modes and Lévy Demand

This study considers a continuous-review inventory model for a single item with two replenishment modes. Replenishments may occur continuously at any time with a higher unit cost, or at discrete times governed by Poisson arrivals with a lower cost. From a practical standpoint, the model represents an inventory system with random deal offerings. Demand is modeled by a spectrally positive Lévy process (i.e., a Lévy process with only positive jumps), which greatly generalizes existing studies. Replenishment quantities are continuous and backorders are allowed, while lead times, perishability, and lost sales are excluded. Using fluctuation theory for spectrally one-sided Lévy processes, the optimality of a hybrid barrier policy incorporating both kinds of replenishments is established, and a semi-explicit expression for the associated value function is computed. Numerical analysis is provided to support the optimality result.

math.OC↗

Multitype $Λ$-coalescents and continuous state branching processes

We provide new connections between multitype $Λ$-coalescents and multitype continuous state branching processes via duality and a homeomorphism on their parameter space. The approach is based on a sequential sampling procedure for the frequency process of independent CSBPs, and provides forward and backward processes for multitype population models under $Λ$-type reproduction. It provides some insight on different approaches to generalise $Λ$-coalescents to the multitype setup.

math.PR↗

The frequency process in a non-neutral two-type continuous-state branching process with competition and its genealogy

We consider a population growth model given by a two-type continuous-state branching process with immigration and competition, introduced by Ma. We study the relative frequency of one of the types in the population when the total mass is forced to be constant at a dense set of times. The resulting process is described as the solution to an SDE, which we call the culled frequency process, generalizing the $Λ$-asymmetric frequency process introduced by Caballero et al. We obtain conditions for the culled frequency process to have a moment dual and show that it is given by a branching-coalescing continuous-time Markov chain that describes the genealogy of the two-type CBI with competition. Finally, we obtain a large population limit of the culled frequency process, resulting in a deterministic ordinary differential equation (ODE). Two particular cases of the limiting ODE are studied to determine if general two-type branching mechanisms and general Malthusians can lead to the coexistence of the two types in the population.

math.PR↗

Non-zero-sum optimal stopping game with continuous versus periodic exercise opportunities

We introduce a new non-zero-sum game of optimal stopping with asymmetric exercise opportunities. Given a stochastic process modelling the value of an asset, one player observes and can act on the process continuously, while the other player can act on it only periodically at independent Poisson arrival times. The first one to stop receives a reward, different for each player, while the other one gets nothing. We study how each player balances the maximisation of gains against the maximisation of the likelihood of stopping before the opponent. In such a setup, driven by a Lévy process with positive jumps, we not only prove the existence, but also explicitly construct a Nash equilibrium with values of the game written in terms of the scale function. Numerical illustrations with put-option payoffs are also provided to study the behaviour of the players' strategies as well as the quantification of the value of available exercise opportunities.

math.PR↗

Two-type branching processes with immigration, and the structured coalescents

We consider a population constituted by two types of individuals; each of them can produce offspring in two different islands (as a particular case the islands can be interpreted as active or dormant individuals). We model the evolution of the population of each type using a two-type Feller diffusion with immigration, and we study the frequency of one of the types, in each island, when the total population size in each island is forced to be constant at a dense set of times. This leads to the solution of a SDE which we call the asymmetric two-island frequency process. We derive properties of this process and obtain a large population limit when the total size of each island tends to infinity. Additionally, we compute the fluctuations of the process around its deterministic limit. We establish conditions under which the asymmetric two-island frequency process has a moment dual. The dual is a continuous-time two-dimensional Markov chain that can be interpreted in terms of mutation, branching, pairwise branching, coalescence, and a novel mixed selection-migration term. Also, we conduct a stability analysis of the limiting deterministic dynamical system and present some numerical results to study fixation and a new form of balancing selection. When restricting to the seedbank model, we observe that some combinations of the parameters lead to balancing selection. Besides finding yet another way in which genetic reservoirs increase the genetic variability, we find that if a population that sustains a seedbank competes with one that does not, the seed producers will have a selective advantage if they reproduce faster, but will not have a selective disadvantage if they reproduce slower: their worst case scenario is balancing selection.

q-bio.PE↗

The ancestral selection graph for a $Λ$-asymmetric Moran model

Motivated by the question of the impact of selective advantage in populations with skewed reproduction mechanims, we study a Moran model with selection. We assume that there are two types of individuals, where the reproductive success of one type is larger than the other. The higher reproductive success may stem from either more frequent reproduction, or from larger numbers of offspring, and is encoded in a measure $Λ$ for each of the two types. Our approach consists of constructing a $Λ$-asymmetric Moran model in which individuals of the two populations compete, rather than considering a Moran model for each population. Under certain conditions, that we call the "partial order of adaptation", we can couple these measures. This allows us to construct the central object of this paper, the $Λ-$asymmetric ancestral selection graph, leading to a pathwise duality of the forward in time $Λ$-asymmetric Moran model with its ancestral process. Interestingly, the construction also provides a connection to the theory of optimal transport. We apply the ancestral selection graph in order to obtain scaling limits of the forward and backward processes, and note that the frequency process converges to the solution of an SDE with discontinous paths. Finally, we derive a Griffiths representation for the generator of the SDE and use it to find a semi-explicit formula for the probability of fixation of the less beneficial of the two types.

math.PR↗

Detection of an Arbitrary Number of Communities in a Block Spin Ising Model

We study the problem of community detection in a general version of the block spin Ising model featuring M groups, a model inspired by the Curie-Weiss model of ferromagnetism in statistical mechanics. We solve the general problem of identifying any number of groups with any possible coupling constants. Up to now, the problem was only solved for the specific situation with two groups of identical size and identical interactions. Our results can be applied to the most realistic situations, in which there are many groups of different sizes and different interactions. In addition, we give an explicit algorithm that permits the reconstruction of the structure of the model from a sample of observations based on the comparison of empirical correlations of the spin variables, thus unveiling easy applications of the model to real-world voting data and communities in biology.

math.PR↗

Refraction strategies in stochastic control: optimality for a general Lévy process model

We revisit an absolutely-continuous version of the stochastic control problem driven by a Lévy process. A strategy must be absolutely continuous with respect to the Lebesgue measure and the running cost function is assumed to be convex. We show the optimality of a refraction strategy, which adjusts the drift of the state process at a constant rate whenever it surpasses a certain threshold. The optimality holds for a general Lévy process, generalizing the spectrally negative case presented in Hernández-Hernández et al.(2016).

math.PR↗

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↗

Double continuation regions for American options under Poisson exercise opportunities

We consider the Lévy model of the perpetual American call and put options with a negative discount rate under Poisson observations. Similar to the continuous observation case as in De Donno et al. [24], the stopping region that characterizes the optimal stopping time is either a half-line or an interval. The objective of this paper is to obtain explicit expressions of the stopping and continuation regions and the value function, focusing on spectrally positive and negative cases. To this end, we compute the identities related to the first Poisson arrival time to an interval via the scale function and then apply those identities to the computation of the optimal strategies. We also discuss the convergence of the optimal solutions to those in the continuous observation case as the rate of observation increases to infinity. Numerical experiments are also provided.

math.OC↗

The Leland-Toft optimal capital structure model under Poisson observations

We revisit the optimal capital structure model with endogenous bankruptcy first studied by Leland \cite{Leland94} and Leland and Toft \cite{Leland96}. Differently from the standard case, where shareholders observe continuously the asset value and bankruptcy is executed instantaneously without delay, we assume that the information of the asset value is updated only at intervals, modeled by the jump times of an independent Poisson process. Under the spectrally negative Lévy model, we obtain the optimal bankruptcy strategy and the corresponding capital structure. A series of numerical studies are given to analyze the sensitivity of observation frequency on the optimal solutions, the optimal leverage and the credit spreads.

q-fin.PR↗

Universality classes for general random matrix flows

We consider matrix-valued processes described as solutions to stochastic differential equations of very general form. We study the family of the empirical measure-valued processes constructed from the corresponding eigenvalues. We show that the family indexed by the size of the matrix is tight under very mild assumptions on the coefficients of the initial SDE. We characterize the limiting distributions of its subsequences as solutions to an integral equation. We use this result to study some universality classes of random matrix flows. These generalize the classical results related to Dyson Brownian motion and squared Bessel particle systems. We study some new phenomenons as the existence of the generalized Marchenko-Pastur distributions supported on the real line. We also introduce universality classes related to generalized geometric matrix Brownian motions and Jacobi processes. Finally we study, under some conditions, the convergence of the empirical measure-valued process of eigenvalues associated to matrix flows to the law of a free diffusion.

math.PR↗

Optimal bail-out dividends problem with transaction cost and capital injection constraint

We consider the bail-out optimal dividend problem under fixed transaction costs for a Lévy risk model. Furthermore, we consider the version with a constraint expected net present value of injected capital. To characterize the solution to the aforementioned models, we first solve the bail-out optimal dividend problem under transaction costs and capital injection and show the optimality of reflected (c1; c2)- policies. Next, we introduce the dual Lagrangian problem and show that the complementary slackness conditions are satisfied, characterizing the optimal Lagrange multiplier. Finally, we illustrate our findings with a series of numerical examples.

math.PR↗

Periodic strategies in optimal execution with multiplicative price impact

In this work we study the optimal execution problem with multiplicative price impact in algorithm trading, when an agent holds an initial position of shares of a financial asset. The inter-selling-decision times are modelled by the arrival times of a Poisson process. The criterion to be optimised consists in maximising the expected net present value of gains of the agent, and it is proved that an optimal strategy has a barrier form, depending only on the number of shares left and the level of asset price.

q-fin.MF↗

Backbone decomposition of multitype superprocesses

In this paper, we provide a construction of the so-called backbone decomposition for multitype supercritical superprocesses. While backbone decompositions are fairly well-known for both continuous-state branching processes and superprocesses in the one-type case, so far no such decompositions or even description of prolific genealogies have been given for the multitype cases. Here we focus on superprocesses, but by turning the movement off, we get the prolific backbone decomposition for multitype continuous-state branching processes as an easy consequence of our results.

math.PR↗