Edit Profile (opens in new tab) Yamazaki, Kazutoshi Co-Author Distance Author ID: yamazaki.kazutoshi Published as: Yamazaki, Kazutoshi; Yamazaki, K. Homepage: https://sites.google.com/site/kyamazak/home External Links: MGP Documents Indexed: 53 Publications since 2008, including 11 Additional arXiv Preprints Co-Authors: 35 Co-Authors with 47 Joint Publications 1,004 Co-Co-Authors all top 5 Co-Authors 6 single-authored 23 Pérez Garmendia, Jose Luis 6 Noba, Kei 5 Egami, Masahiko 4 Dayanik, Savas 4 Leung, Tim 3 Surya, Budhi Arta 2 Baurdoux, Erik Jan 2 Bayraktar, Erhan 2 Czarna, Irmina 2 Hernández-Hernández, Daniel 2 Kyprianou, Andreas E. 2 López, Dante Mata 2 Palmowski, Zbigniew 2 Powell, Warren Buckler 2 Yano, Kouji 2 Zhang, Hongzhong 1 Avanzi, Benjamin 1 Avram, Florin 1 Bensoussan, Alain 1 Chen, Nan 1 Fukasawa, Masaaki 1 He, Yue 1 Ishida, Isao 1 Ivanovs, Jevgeņijs 1 Junca, Mauricio 1 Kawai, Reiichiro 1 Maghrebi, N. 1 Moreno-Franco, Harold A. 1 Oya, Kosuke 1 Rodosthenous, Neofytos 1 Rolski, Tomasz 1 Shimizu, Yasutaka 1 Ubukata, Masato 1 Wong, Bernard 1 Yoshioka, Hidekazu all top 5 Serials 7 Stochastic Processes and their Applications 6 Insurance Mathematics & Economics 4 Advances in Applied Probability 3 SIAM Journal on Control and Optimization 3 International Journal of Theoretical and Applied Finance 2 Applied Mathematics and Optimization 2 Mathematics of Operations Research 2 ASTIN Bulletin 1 Journal of Applied Probability 1 Journal of Computational and Applied Mathematics 1 Journal of the Operations Research Society of Japan 1 Journal of Optimization Theory and Applications 1 Statistics & Probability Letters 1 Annals of Operations Research 1 Finance and Stochastics 1 Mathematical Finance 1 Statistical Inference for Stochastic Processes 1 Quantitative Finance 1 Stochastics 1 SIAM Journal on Financial Mathematics all top 5 Fields 44 Probability theory and stochastic processes (60-XX) 31 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 20 Systems theory; control (93-XX) 9 Operations research, mathematical programming (90-XX) 6 Calculus of variations and optimal control; optimization (49-XX) 3 Statistics (62-XX) 3 Numerical analysis (65-XX) 1 Dynamical systems and ergodic theory (37-XX) 1 Differential geometry (53-XX) 1 Manifolds and cell complexes (57-XX) Publications by Year all cited Publications top 5 cited Publications 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 cited Publications top 5 cited Publications 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 all top 5 Cited in 16 Fields 140 Probability theory and stochastic processes (60-XX) 130 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 61 Systems theory; control (93-XX) 22 Calculus of variations and optimal control; optimization (49-XX) 19 Statistics (62-XX) 15 Operations research, mathematical programming (90-XX) 9 Numerical analysis (65-XX) 4 Integral transforms, operational calculus (44-XX) 3 Partial differential equations (35-XX) 3 Integral equations (45-XX) 2 Operator theory (47-XX) 2 Biology and other natural sciences (92-XX) 2 Mathematics education (97-XX) 1 General and overarching topics; collections (00-XX) 1 Dynamical systems and ergodic theory (37-XX) 1 Information and communication theory, circuits (94-XX) Citations by Year