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Yamazaki, Kazutoshi

Author ID: yamazaki.kazutoshi Recent zbMATH articles by "Yamazaki, Kazutoshi"
Published as: Yamazaki, Kazutoshi; Yamazaki, K.
Homepage: https://sites.google.com/site/kyamazak/home
External Links: MGP

Publications by Year

Citations contained in zbMATH Open

38 Publications have been cited 393 times in 182 Documents Cited by Year
Phase-type Fitting of scale functions for spectrally negative Lévy processes. Zbl 1291.60094
Egami, Masahiko; Yamazaki, Kazutoshi
55
2014
On optimal dividends in the dual model. Zbl 1283.91192
Bayraktar, Erhan; Kyprianou, Andreas E.; Yamazaki, Kazutoshi
49
2013
Optimal dividends in the dual model under transaction costs. Zbl 1294.91071
Bayraktar, Erhan; Kyprianou, Andreas E.; Yamazaki, Kazutoshi
33
2014
Spectrally negative Lévy processes with Parisian reflection below and classical reflection above. Zbl 1386.60168
Avram, Florin; Pérez, José-Luis; Yamazaki, Kazutoshi
20
2018
On the optimality of periodic barrier strategies for a spectrally positive Lévy process. Zbl 1422.91372
Pérez, José-Luis; Yamazaki, Kazutoshi
19
2017
On optimal periodic dividend strategies for Lévy risk processes. Zbl 1402.91211
Noba, Kei; Pérez, José-Luis; Yamazaki, Kazutoshi; Yano, Kouji
18
2018
Precautionary measures for credit risk management in jump models. Zbl 1288.91187
Egami, Masahiko; Yamazaki, Kazutoshi
17
2013
Inventory control for spectrally positive Lévy demand processes. Zbl 1359.90012
Yamazaki, Kazutoshi
15
2017
Optimality of refraction strategies for spectrally negative Lévy processes. Zbl 1343.49031
Hernández-Hernández, Daniel; Pérez, José-Luis; Yamazaki, Kazutoshi
13
2016
An analytic recursive method for optimal multiple stopping: Canadization and phase-type fitting. Zbl 1337.91157
Leung, Tim; Yamazaki, Kazutoshi; Zhang, Hongzhong
12
2015
Refraction-reflection strategies in the dual model. Zbl 1390.91203
Pérez, José-Luis; Yamazaki, Kazutoshi
11
2017
Default swap games driven by spectrally negative Lévy processes. Zbl 1255.91418
Egami, Masahiko; Leung, Tim; Yamazaki, Kazutoshi
11
2013
American step-up and step-down default swaps under Lévy models. Zbl 1280.91183
Leung, Tim; Yamazaki, Kazutoshi
11
2013
On the refracted-reflected spectrally negative Lévy processes. Zbl 1386.60171
Pérez, José-Luis; Yamazaki, Kazutoshi
10
2018
On optimal joint reflective and refractive dividend strategies in spectrally positive Lévy models. Zbl 1394.91185
Avanzi, Benjamin; Pérez, José-Luis; Wong, Bernard; Yamazaki, Kazutoshi
10
2017
Fluctuation theory for level-dependent Lévy risk processes. Zbl 1448.60103
Czarna, Irmina; Pérez, José-Luis; Rolski, Tomasz; Yamazaki, Kazutoshi
9
2019
On the bail-out optimal dividend problem. Zbl 1402.60055
Pérez, José-Luis; Yamazaki, Kazutoshi; Yu, Xiang
8
2018
The Leland-Toft optimal capital structure model under Poisson observations. Zbl 1453.91103
Palmowski, Zbigniew; Pérez, José Luis; Surya, Budhi Arta; Yamazaki, Kazutoshi
7
2020
Games of singular control and stopping driven by spectrally one-sided Lévy processes. Zbl 1319.91026
Hernández-Hernández, Daniel; Yamazaki, Kazutoshi
6
2015
Index policies for discounted bandit problems with availability constraints. Zbl 1140.93047
Dayanik, Savas; Powell, Warren; Yamazaki, Kazutoshi
6
2008
Optimal capital structure with scale effects under spectrally negative Lévy models. Zbl 1302.91190
Surya, Budhi Arta; Yamazaki, Kazutoshi
6
2014
On the continuous and smooth fit principle for optimal stopping problems in spectrally negative Lévy models. Zbl 1398.60062
Egami, Masahiko; Yamazaki, Kazutoshi
6
2014
Asymptotically optimal Bayesian sequential change detection and identification rules. Zbl 1365.62322
Dayanik, Savas; Powell, Warren B.; Yamazaki, Kazutoshi
5
2013
Optimality of doubly reflected Lévy processes in singular control. Zbl 1329.49039
Baurdoux, Erik J.; Yamazaki, Kazutoshi
4
2015
Optimal multiple stopping with negative discount rate and random refraction times under Lévy models. Zbl 1321.60081
Leung, Tim; Yamazaki, Kazutoshi; Zhang, Hongzhong
4
2015
American options under periodic exercise opportunities. Zbl 1410.91462
Pérez, José-Luis; Yamazaki, Kazutoshi
4
2018
Double continuation regions for American options under Poisson exercise opportunities. Zbl 1522.91282
Palmowski, Zbigniew; Pérez, José Luis; Yamazaki, Kazutoshi
4
2021
Model-free implied volatility: from surface to index. Zbl 1218.91050
Fukasawa, M.; Ishida, I.; Maghrebi, N.; Oya, K.; Ubukata, M.; Yamazaki, K.
3
2011
Contraction options and optimal multiple-stopping in spectrally negative Lévy models. Zbl 1323.60058
Yamazaki, Kazutoshi
3
2015
Optimal double stopping of a Brownian bridge. Zbl 1333.60080
Baurdoux, Erik J.; Chen, Nan; Surya, Budhi A.; Yamazaki, Kazutoshi
3
2015
Effects of positive jumps of assets on endogenous bankruptcy and optimal capital structure: continuous- and periodic-observation models. Zbl 1473.91025
López, Dante Mata; Pérez, José Luis; Yamazaki, Kazutoshi
2
2021
Optimal periodic replenishment policies for spectrally positive Lévy demand processes. Zbl 1461.60032
Pérez, José-Luis; Yamazaki, Kazutoshi; Bensoussan, Alain
2
2020
Detection and identification of changes of hidden Markov chains: asymptotic theory. Zbl 1493.62481
Dayanik, Savas; Yamazaki, Kazutoshi
2
2022
Phase-type approximation of the Gerber-Shiu function. Zbl 1382.91047
Yamazaki, Kazutoshi
1
2017
Optimality of refraction strategies for a constrained dividend problem. Zbl 1427.60082
Junca, Mauricio; Moreno-Franco, Harold A.; Pérez, José Luis; Yamazaki, Kazutoshi
1
2019
Optimality of hybrid continuous and periodic barrier strategies in the dual model. Zbl 1464.60043
Pérez, José-Luis; Yamazaki, Kazutoshi
1
2020
Optimality of multi-refraction control strategies in the dual model. Zbl 1417.91265
Czarna, Irmina; Pérez, José-Luis; Yamazaki, Kazutoshi
1
2018
On optimal periodic dividend and capital injection strategies for spectrally negative Lévy models. Zbl 1419.91380
Noba, Kei; Pérez, José-Luis; Yamazaki, Kazutoshi; Yano, Kouji
1
2018
Detection and identification of changes of hidden Markov chains: asymptotic theory. Zbl 1493.62481
Dayanik, Savas; Yamazaki, Kazutoshi
2
2022
Double continuation regions for American options under Poisson exercise opportunities. Zbl 1522.91282
Palmowski, Zbigniew; Pérez, José Luis; Yamazaki, Kazutoshi
4
2021
Effects of positive jumps of assets on endogenous bankruptcy and optimal capital structure: continuous- and periodic-observation models. Zbl 1473.91025
López, Dante Mata; Pérez, José Luis; Yamazaki, Kazutoshi
2
2021
The Leland-Toft optimal capital structure model under Poisson observations. Zbl 1453.91103
Palmowski, Zbigniew; Pérez, José Luis; Surya, Budhi Arta; Yamazaki, Kazutoshi
7
2020
Optimal periodic replenishment policies for spectrally positive Lévy demand processes. Zbl 1461.60032
Pérez, José-Luis; Yamazaki, Kazutoshi; Bensoussan, Alain
2
2020
Optimality of hybrid continuous and periodic barrier strategies in the dual model. Zbl 1464.60043
Pérez, José-Luis; Yamazaki, Kazutoshi
1
2020
Fluctuation theory for level-dependent Lévy risk processes. Zbl 1448.60103
Czarna, Irmina; Pérez, José-Luis; Rolski, Tomasz; Yamazaki, Kazutoshi
9
2019
Optimality of refraction strategies for a constrained dividend problem. Zbl 1427.60082
Junca, Mauricio; Moreno-Franco, Harold A.; Pérez, José Luis; Yamazaki, Kazutoshi
1
2019
Spectrally negative Lévy processes with Parisian reflection below and classical reflection above. Zbl 1386.60168
Avram, Florin; Pérez, José-Luis; Yamazaki, Kazutoshi
20
2018
On optimal periodic dividend strategies for Lévy risk processes. Zbl 1402.91211
Noba, Kei; Pérez, José-Luis; Yamazaki, Kazutoshi; Yano, Kouji
18
2018
On the refracted-reflected spectrally negative Lévy processes. Zbl 1386.60171
Pérez, José-Luis; Yamazaki, Kazutoshi
10
2018
On the bail-out optimal dividend problem. Zbl 1402.60055
Pérez, José-Luis; Yamazaki, Kazutoshi; Yu, Xiang
8
2018
American options under periodic exercise opportunities. Zbl 1410.91462
Pérez, José-Luis; Yamazaki, Kazutoshi
4
2018
Optimality of multi-refraction control strategies in the dual model. Zbl 1417.91265
Czarna, Irmina; Pérez, José-Luis; Yamazaki, Kazutoshi
1
2018
On optimal periodic dividend and capital injection strategies for spectrally negative Lévy models. Zbl 1419.91380
Noba, Kei; Pérez, José-Luis; Yamazaki, Kazutoshi; Yano, Kouji
1
2018
On the optimality of periodic barrier strategies for a spectrally positive Lévy process. Zbl 1422.91372
Pérez, José-Luis; Yamazaki, Kazutoshi
19
2017
Inventory control for spectrally positive Lévy demand processes. Zbl 1359.90012
Yamazaki, Kazutoshi
15
2017
Refraction-reflection strategies in the dual model. Zbl 1390.91203
Pérez, José-Luis; Yamazaki, Kazutoshi
11
2017
On optimal joint reflective and refractive dividend strategies in spectrally positive Lévy models. Zbl 1394.91185
Avanzi, Benjamin; Pérez, José-Luis; Wong, Bernard; Yamazaki, Kazutoshi
10
2017
Phase-type approximation of the Gerber-Shiu function. Zbl 1382.91047
Yamazaki, Kazutoshi
1
2017
Optimality of refraction strategies for spectrally negative Lévy processes. Zbl 1343.49031
Hernández-Hernández, Daniel; Pérez, José-Luis; Yamazaki, Kazutoshi
13
2016
An analytic recursive method for optimal multiple stopping: Canadization and phase-type fitting. Zbl 1337.91157
Leung, Tim; Yamazaki, Kazutoshi; Zhang, Hongzhong
12
2015
Games of singular control and stopping driven by spectrally one-sided Lévy processes. Zbl 1319.91026
Hernández-Hernández, Daniel; Yamazaki, Kazutoshi
6
2015
Optimality of doubly reflected Lévy processes in singular control. Zbl 1329.49039
Baurdoux, Erik J.; Yamazaki, Kazutoshi
4
2015
Optimal multiple stopping with negative discount rate and random refraction times under Lévy models. Zbl 1321.60081
Leung, Tim; Yamazaki, Kazutoshi; Zhang, Hongzhong
4
2015
Contraction options and optimal multiple-stopping in spectrally negative Lévy models. Zbl 1323.60058
Yamazaki, Kazutoshi
3
2015
Optimal double stopping of a Brownian bridge. Zbl 1333.60080
Baurdoux, Erik J.; Chen, Nan; Surya, Budhi A.; Yamazaki, Kazutoshi
3
2015
Phase-type Fitting of scale functions for spectrally negative Lévy processes. Zbl 1291.60094
Egami, Masahiko; Yamazaki, Kazutoshi
55
2014
Optimal dividends in the dual model under transaction costs. Zbl 1294.91071
Bayraktar, Erhan; Kyprianou, Andreas E.; Yamazaki, Kazutoshi
33
2014
Optimal capital structure with scale effects under spectrally negative Lévy models. Zbl 1302.91190
Surya, Budhi Arta; Yamazaki, Kazutoshi
6
2014
On the continuous and smooth fit principle for optimal stopping problems in spectrally negative Lévy models. Zbl 1398.60062
Egami, Masahiko; Yamazaki, Kazutoshi
6
2014
On optimal dividends in the dual model. Zbl 1283.91192
Bayraktar, Erhan; Kyprianou, Andreas E.; Yamazaki, Kazutoshi
49
2013
Precautionary measures for credit risk management in jump models. Zbl 1288.91187
Egami, Masahiko; Yamazaki, Kazutoshi
17
2013
Default swap games driven by spectrally negative Lévy processes. Zbl 1255.91418
Egami, Masahiko; Leung, Tim; Yamazaki, Kazutoshi
11
2013
American step-up and step-down default swaps under Lévy models. Zbl 1280.91183
Leung, Tim; Yamazaki, Kazutoshi
11
2013
Asymptotically optimal Bayesian sequential change detection and identification rules. Zbl 1365.62322
Dayanik, Savas; Powell, Warren B.; Yamazaki, Kazutoshi
5
2013
Model-free implied volatility: from surface to index. Zbl 1218.91050
Fukasawa, M.; Ishida, I.; Maghrebi, N.; Oya, K.; Ubukata, M.; Yamazaki, K.
3
2011
Index policies for discounted bandit problems with availability constraints. Zbl 1140.93047
Dayanik, Savas; Powell, Warren; Yamazaki, Kazutoshi
6
2008
all top 5

Cited by 243 Authors

35 Yamazaki, Kazutoshi
20 Pérez Garmendia, Jose Luis
10 Wang, Wenyuan
7 Avanzi, Benjamin
7 Noba, Kei
7 Palmowski, Zbigniew
7 Yin, Chuancun
7 Zhou, Xiaowen
6 Avram, Florin
6 Wong, Bernard
5 Chen, Ping
5 Czarna, Irmina
5 Frostig, Esther
5 Leung, Tim
5 Lkabous, Mohamed Amine
5 Yoshioka, Hidekazu
5 Zhang, Hongzhong
5 Zhang, Zhimin
5 Zhao, Yongxia
4 Dayanik, Savas
4 Landriault, David
4 Li, Bin
4 Moreno-Franco, Harold A.
4 Surya, Budhi Arta
3 De Angelis, Tiziano
3 Dong, Hua
3 Egami, Masahiko
3 Ivanovs, Jevgeņijs
3 Jiang, Zhengjun
3 Lau, Hayden
3 Tsujimura, Motoh
3 Wen, Yuzhen
3 Xie, Jiayi
3 Yano, Kouji
2 Behme, Anita Diana
2 Boxma, Onno Johan
2 Cao, Haoyang
2 Chen, Mi
2 Ekström, Erik
2 Glover, Kristoffer J.
2 Goreac, Dan
2 Guo, Junyi
2 Guo, Xin
2 Hernández-Hernández, Daniel
2 Hu, Yijun
2 Huang, Yujuan
2 Jin, Zhuo
2 Junca, Mauricio
2 Katehakis, Michael N.
2 Levendorskiĭ, Sergeĭ Zakharovich
2 Li, Yingqiu
2 Li, Zhong
2 Liu, Yuxuan
2 Perera, Sandun C.
2 Powell, Warren Buckler
2 Renaud, Jean-François
2 Schilling, René Leander
2 Sun, Fuyun
2 Tu, Vincent
2 Wang, Rongming
2 Wang, Zijia
2 Yang, Chen
2 Yu, Wenguang
2 Yuen, Kam Chuen
2 Zeng, Yan
2 Zhao, Xianghua
1 Adenane, Rim
1 Agarwal, Ankush
1 Albrecher, Hansjörg
1 Aranishi, Futoshi
1 Asmussen, Søren
1 Azcue, Pablo
1 Bai, Lihua
1 Bandini, Elena
1 Bao, Wenqing
1 Bäuerle, Nicole
1 Baurdoux, Erik Jan
1 Bayraktar, Erhan
1 Bellini, Fabio
1 Bensoussan, Alain
1 Bladt, Martin
1 Bladt, Mogens
1 Bogdan, Krzystzof
1 Borovkov, Konstantin A.
1 Boyarchenko, Mitya
1 Buckley, Winston S.
1 Burnetas, Apostolos N.
1 Cai, Xiaoqiang
1 Chen, Pengzhan
1 Chen, Shumin
1 Chen, Ye
1 Christensen, Soren
1 Chung, Tsz-Kin
1 Cowan, Wesley
1 Cui, Chaoran
1 Cui, Zhenyu
1 Dai, Hongshuai
1 Dai, Suhang
1 Deng, Chao
1 Deng, Yingchun
...and 143 more Authors
all top 5

Cited in 61 Serials

23 Insurance Mathematics & Economics
13 Stochastic Processes and their Applications
11 Scandinavian Actuarial Journal
9 Journal of Applied Probability
8 Journal of Optimization Theory and Applications
8 SIAM Journal on Control and Optimization
7 Advances in Applied Probability
6 Applied Mathematics and Optimization
6 Methodology and Computing in Applied Probability
5 Journal of Computational and Applied Mathematics
5 Communications in Statistics. Theory and Methods
5 International Journal of Theoretical and Applied Finance
5 Quantitative Finance
5 Journal of Industrial and Management Optimization
4 Applied Mathematics and Computation
4 European Journal of Operational Research
3 Operations Research Letters
3 Mathematical Finance
3 Stochastic Models
2 Mathematical Methods in the Applied Sciences
2 Statistics & Probability Letters
2 Finance and Stochastics
2 ASTIN Bulletin
2 SIAM Journal on Financial Mathematics
2 Journal of Function Spaces
1 Computers & Mathematics with Applications
1 Journal of Mathematical Analysis and Applications
1 Lithuanian Mathematical Journal
1 Journal of Multivariate Analysis
1 Mathematics of Operations Research
1 Operations Research
1 Optimization
1 Asia-Pacific Journal of Operational Research
1 Queueing Systems
1 Annals of Operations Research
1 The Annals of Applied Probability
1 Communications in Statistics. Simulation and Computation
1 Indagationes Mathematicae. New Series
1 Applied Mathematics. Series B (English Edition)
1 Theory of Probability and Mathematical Statistics
1 Electronic Communications in Probability
1 European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics
1 Journal of Scheduling
1 Statistical Inference for Stochastic Processes
1 Probability in the Engineering and Informational Sciences
1 Optimization and Engineering
1 Acta Mathematica Scientia. Series B. (English Edition)
1 Journal of Machine Learning Research (JMLR)
1 Journal of Applied Mathematics and Computing
1 Asia-Pacific Financial Markets
1 Advances in Difference Equations
1 Oberwolfach Reports
1 Stochastics
1 Frontiers of Mathematics in China
1 Mathematics and Financial Economics
1 Nonlinear Analysis. Hybrid Systems
1 MathematicS In Action
1 Symmetry
1 Numerical Algebra, Control and Optimization
1 AIMS Mathematics
1 Mathematical Foundations of Computing

Citations by Year