Yamazaki Kazutoshi

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José Luis Pérez GarmendiaCIMATVerified email at cimat.mx
Savas DayanikBilkent University, Departments of Industrial Engineering and MathematicsVerified email at bilkent.edu.tr
Andreas KyprianouProfessor of Probability Theory, University of WarwickVerified email at warwick.ac.uk
Warrren B PowellPrinceton UniversityVerified email at princeton.edu
Tim LeungBoeing Professor of Applied Mathematics, Computational Finance & Risk Management (CFRM) ProgramVerified email at uw.edu
Erhan BayraktarProfessor, University of Michigan, Department of MathematicsVerified email at umich.edu
Budhi Arta SuryaVictoria University of Wellington, School of Mathematics and StatisticsVerified email at vuw.ac.nz
Benjamin AvanziProfessor of Actuarial Studies, University of MelbourneVerified email at unimelb.edu.au
Bernard WongUniversity of New South WalesVerified email at unsw.edu.au
Daniel Hernández-HernándezCentro de Investigación en MatemáticasVerified email at cimat.mx
Florin AvramProfessor of Probability and Statistics, University of PauVerified email at univ-pau.fr
Zbigniew PalmowskiWroclaw University of Science and TechnologyVerified email at pwr.edu.pl
Erik BaurdouxLondon School of EconomicsVerified email at lse.ac.uk
Masato UbukataAssociate Professor, Meiji Gakuin UniversityVerified email at eco.meijigakuin.ac.jp
Masaaki FukasawaOsaka UniversityVerified email at sigmath.es.osaka-u.ac.jp
Yasutaka ShimizuWaseda UniversityVerified email at waseda.jp
Reiichiro KawaiGraduate School of Arts and Sciences / Mathematics and Informatics Center, The University of TokyoVerified email at g.ecc.u-tokyo.ac.jp
Tomasz RolskiProfesor matematyki, Uniwersytet WrocławskiVerified email at math.uni.wroc.pl
Alain BensoussanUniversity of Texas at Dallas and City University Hong KongVerified email at utdallas.edu
Xiang YuAssociate Professor, Department of Applied Mathematics, The Hong Kong Polytechnic UniversityVerified email at polyu.edu.hk

Yamazaki Kazutoshi

The University of Queensland, School of Mathematics and Physics

Verified email at uq.edu.au - Homepage

Applied probability Stochastic control


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Phase-type fitting of scale functions for spectrally negative Lévy processes M Egami, K Yamazaki Journal of Computational and Applied Mathematics 264, 1-22, 2014	98*	2014
On optimal dividends in the dual model E Bayraktar, AE Kyprianou, K Yamazaki ASTIN Bulletin: The Journal of the IAA 43 (3), 359-372, 2013	98	2013
Optimal dividends in the dual model under transaction costs E Bayraktar, AE Kyprianou, K Yamazaki Insurance: Mathematics and Economics 54, 133-143, 2014	69	2014
Precautionary measures for credit risk management in jump models M Egami, K Yamazaki Stochastics an International Journal of Probability and Stochastic Processes …, 2013	46	2013
Inventory control for spectrally positive Lévy demand processes K Yamazaki Mathematics of Operations Research 42 (1), 212-237, 2017	45	2017
Asymptotically optimal Bayesian sequential change detection and identification rules S Dayanik, WB Powell, K Yamazaki Annals of Operations Research 208, 337-370, 2013	40*	2013
On the optimality of periodic barrier strategies for a spectrally positive Lévy process JL Pérez, K Yamazaki Insurance: Mathematics and Economics 77, 1-13, 2017	39	2017
Spectrally negative Lévy processes with Parisian reflection below and classical reflection above F Avram, JL Pérez, K Yamazaki Stochastic Processes and their Applications 128 (1), 255-290, 2018	38	2018
Discussion Paper Series 2011-05 (revised version of 2010-03) M Fukasawa, I Ishida, N Maghrebi, K Oya, M Ubukata, K Yamazaki International Journal of Theoretical and Applied Finance 14 (4), 433-463, 2011	36	2011
Fluctuation theory for level-dependent Lévy risk processes I Czarna, JL Pérez, T Rolski, K Yamazaki Stochastic Processes and their Applications 129 (12), 5406-5449, 2019	31	2019
On optimal periodic dividend strategies for Lévy risk processes K Noba, JL Pérez, K Yamazaki, K Yano Insurance: Mathematics and Economics 80, 29-44, 2018	29	2018
On the refracted–reflected spectrally negative Lévy processes JL Pérez, K Yamazaki Stochastic Processes and their Applications 128 (1), 306-331, 2018	29	2018
On optimal joint reflective and refractive dividend strategies in spectrally positive Lévy models B Avanzi, JL Pérez, B Wong, K Yamazaki Insurance: Mathematics and Economics 72, 148-162, 2017	28	2017
Index policies for discounted bandit problems with availability constraints S Dayanik, W Powell, K Yamazaki Advances in Applied Probability 40 (2), 377-400, 2008	28	2008
Optimality of refraction strategies for spectrally negative Lévy processes D Hernández-Hernández, JL Perez, K Yamazaki SIAM Journal on Control and Optimization 54 (3), 1126-1156, 2016	27	2016
Refraction–reflection strategies in the dual model JL Pérez, K Yamazaki ASTIN Bulletin: The Journal of the IAA 47 (1), 199-238, 2017	26	2017
An analytic recursive method for optimal multiple stopping: Canadization and phase-type fitting T Leung, K Yamazaki, H Zhang International Journal of Theoretical and Applied Finance 18 (05), 1550032, 2015	26	2015
On the bail-out optimal dividend problem JL Pérez, K Yamazaki, X Yu Journal of Optimization Theory and Applications 179, 553-568, 2018	24	2018
American step-up and step-down default swaps under Lévy models T Leung, K Yamazaki Quantitative Finance 13 (1), 137-157, 2013	24	2013
Games of singular control and stopping driven by spectrally one-sided Lévy processes D Hernández-Hernández, K Yamazaki Stochastic Processes and their Applications 125 (1), 1-38, 2015	22	2015

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