Kazutoshi Yamazaki

According to our database, Kazutoshi Yamazaki authored at least 17 papers between 2013 and 2026.

Collaborative distances:

• Dijkstra number of four.
• Erdős number of four.

2026

De Finetti's Problem with Fixed Transaction Costs and Regime Switching.

Wenyuan Wang, Zuo Quan Xu, Kazutoshi Yamazaki, Kaixin Yan, Xiaowen Zhou

SIAM J. Control. Optim., 2026

2025

Refraction Strategies in Stochastic Control: Optimality for a General Lévy Process Model.

Kei Noba, José-Luis Pérez, Kazutoshi Yamazaki

SIAM J. Control. Optim., 2025

Nonzero-Sum Optimal Stopping Game with Continuous vs. Periodic Exercise Opportunities.

José-Luis Pérez, Neofytos Rodosthenous, Kazutoshi Yamazaki

Math. Oper. Res., 2025

On stochastic control under poissonian intervention: optimality of a barrier strategy in a general Lévy model.

Kei Noba, Kazutoshi Yamazaki

J. Appl. Probab., 2025

2024

Correction to: Asymptotically optimal Bayesian sequential change detection and identification rules.

Savas Dayanik, Warren B. Powell, Kazutoshi Yamazaki

Ann. Oper. Res., January, 2024

Fixed Confidence Best Arm Identification in the Bayesian Setting.

Kyoungseok Jang, Junpei Komiyama, Kazutoshi Yamazaki

Proceedings of the Advances in Neural Information Processing Systems 37: Annual Conference on Neural Information Processing Systems 2024, 2024

2023

On Singular Control for Lévy Processes.

Kei Noba, Kazutoshi Yamazaki

Math. Oper. Res., August, 2023

A Jump Ornstein-Uhlenbeck Bridge Based on Energy-Optimal Control and Its Self-Exciting Extension.

Hidekazu Yoshioka, Kazutoshi Yamazaki

IEEE Control. Syst. Lett., 2023

2021

Effects of Positive Jumps of Assets on Endogenous Bankruptcy and Optimal Capital Structure: Continuous- and Periodic-Observation Models.

Dante Mata López, José-Luis Pérez, Kazutoshi Yamazaki

SIAM J. Financial Math., 2021

2020

Optimal Periodic Replenishment Policies for Spectrally Positive Lévy Demand Processes.

José-Luis Pérez, Kazutoshi Yamazaki, Alain Bensoussan

SIAM J. Control. Optim., 2020

2018

On the Bail-Out Optimal Dividend Problem.

José-Luis Pérez, Kazutoshi Yamazaki, Xiang Yu

J. Optim. Theory Appl., 2018

On optimal periodic dividend and capital injection strategies for spectrally negative Lévy models.

Kei Noba, José-Luis Pérez, Kazutoshi Yamazaki, Kouji Yano

J. Appl. Probab., 2018

2017

Inventory Control for Spectrally Positive Lévy Demand Processes.

Kazutoshi Yamazaki

Math. Oper. Res., 2017

2016

Optimality of Refraction Strategies for Spectrally Negative Lévy Processes.

Daniel Hernández-Hernández, José-Luis Pérez, Kazutoshi Yamazaki

SIAM J. Control. Optim., 2016

2015

Optimal Multiple Stopping with Negative Discount Rate and Random Refraction Times under Lévy Models.

Tim Leung, Kazutoshi Yamazaki, Hongzhong Zhang

SIAM J. Control. Optim., 2015

2014

Phase-type fitting of scale functions for spectrally negative Lévy processes.

Masahiko Egami, Kazutoshi Yamazaki

J. Comput. Appl. Math., 2014

2013

Asymptotically optimal Bayesian sequential change detection and identification rules.

Savas Dayanik, Warren B. Powell, Kazutoshi Yamazaki

Ann. Oper. Res., 2013