Kazutoshi Yamazaki

Available identifiers

zbMath Open yamazaki.kazutoshiMaRDI QIDQ378755

List of research outcomes

Publication	Date of Publication	Type
A series expansion formula of the scale matrix with applications in CUSUM analysis	2024-03-04	Paper
On Singular Control for Lévy Processes	2024-02-27	Paper
Double continuation regions for American options under Poisson exercise opportunities	2023-09-28	Paper
Refraction strategies in stochastic control: optimality for a general L\'evy process model	2023-08-16	Paper
Optimality of Two-Parameter Strategies in Stochastic Control	2023-07-21	Paper
Optimal dividends and capital injection: A general L\'evy model with extensions to regime-switching models	2023-06-21	Paper
The Gerber-Shiu discounted penalty function: a review from practical perspectives	2023-02-22	Paper
A Jump Ornstein-Uhlenbeck Bridge Based on Energy-optimal Control and Its Self-exciting Extension	2023-02-20	Paper
On stochastic control under Poisson observations: optimality of a barrier strategy in a general L\'evy model	2022-10-02	Paper
Detection and identification of changes of hidden Markov chains: asymptotic theory	2022-06-01	Paper
Effects of Positive Jumps of Assets on Endogenous Bankruptcy and Optimal Capital Structure: Continuous- and Periodic-Observation Models	2021-11-05	Paper
Non-zero-sum optimal stopping game with continuous versus periodic observations	2021-07-17	Paper
Optimal Periodic Replenishment Policies for Spectrally Positive Lévy Demand Processes	2020-11-27	Paper
The Leland-Toft optimal capital structure model under Poisson observations	2020-11-11	Paper
Optimality of hybrid continuous and periodic barrier strategies in the dual model	2020-07-17	Paper
Fluctuation theory for level-dependent Lévy risk processes	2019-12-17	Paper
Optimality of refraction strategies for a constrained dividend problem	2019-12-09	Paper
On optimal periodic dividend and capital injection strategies for spectrally negative Lévy models	2019-01-17	Paper
Optimality of multi-refraction control strategies in the dual model	2018-11-19	Paper
American options under periodic exercise opportunities	2018-07-03	Paper
On optimal periodic dividend strategies for Lévy risk processes	2018-06-15	Paper
REFRACTION–REFLECTION STRATEGIES IN THE DUAL MODEL	2018-06-04	Paper
PHASE-TYPE APPROXIMATION OF THE GERBER-SHIU FUNCTION	2017-12-11	Paper
Spectrally negative Lévy processes with Parisian reflection below and classical reflection above	2017-12-01	Paper
On the refracted-reflected spectrally negative Lévy processes	2017-12-01	Paper
On the optimality of periodic barrier strategies for a spectrally positive Lévy process	2017-11-23	Paper
Inventory Control for Spectrally Positive Lévy Demand Processes	2017-04-13	Paper
On optimal joint reflective and refractive dividend strategies in spectrally positive Lévy models	2017-01-31	Paper
Mixed Periodic-classical barrier strategies for L\'evy risk processes	2016-09-06	Paper
Optimal double stopping of a Brownian bridge	2016-02-12	Paper
AN ANALYTIC RECURSIVE METHOD FOR OPTIMAL MULTIPLE STOPPING: CANADIZATION AND PHASE-TYPE FITTING	2015-09-22	Paper
Contraction options and optimal multiple-stopping in spectrally negative Lévy models	2015-09-17	Paper
Optimal Multiple Stopping with Negative Discount Rate and Random Refraction Times under Lévy Models	2015-08-20	Paper
Optimality of doubly reflected Lévy processes in singular control	2015-06-11	Paper
Games of singular control and stopping driven by spectrally one-sided Lévy processes	2014-11-07	Paper
Cash Management and Control Band Policies for Spectrally One-sided Levy Processes	2014-10-27	Paper
Phase-type Fitting of scale functions for spectrally negative Lévy processes	2014-07-16	Paper
Optimal dividends in the dual model under transaction costs	2014-06-23	Paper
OPTIMAL CAPITAL STRUCTURE WITH SCALE EFFECTS UNDER SPECTRALLY NEGATIVE LÉVY MODELS	2014-06-19	Paper
On the Continuous and Smooth Fit Principle for Optimal Stopping Problems in Spectrally Negative Lévy Models	2014-05-09	Paper
Precautionary measures for credit risk management in jump models	2014-04-25	Paper
ON OPTIMAL DIVIDENDS IN THE DUAL MODEL	2014-02-27	Paper
American step-up and step-down default swaps under Lévy models	2014-02-08	Paper
Asymptotically optimal Bayesian sequential change detection and identification rules	2013-11-12	Paper
Default swap games driven by spectrally negative Lévy processes	2013-01-24	Paper
Index policies for discounted bandit problems with availability constraints	2008-08-05	Paper

Research outcomes over time

Doctoral students

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