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Yamazaki, Kazutoshi

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Author ID: yamazaki.kazutoshi Recent zbMATH articles by "Yamazaki, Kazutoshi"
Published as: Yamazaki, Kazutoshi
External Links: MGP
Documents Indexed: 40 Publications since 2000
Co-Authors: 24 Co-Authors with 32 Joint Publications
805 Co-Co-Authors

Publications by Year

Citations contained in zbMATH Open

33 Publications have been cited 300 times in 137 Documents Cited by Year
Phase-type Fitting of scale functions for spectrally negative Lévy processes. Zbl 1291.60094
Egami, Masahiko; Yamazaki, Kazutoshi
46
2014
On optimal dividends in the dual model. Zbl 1283.91192
Bayraktar, Erhan; Kyprianou, Andreas E.; Yamazaki, Kazutoshi
43
2013
Optimal dividends in the dual model under transaction costs. Zbl 1294.91071
Bayraktar, Erhan; Kyprianou, Andreas E.; Yamazaki, Kazutoshi
29
2014
Spectrally negative Lévy processes with Parisian reflection below and classical reflection above. Zbl 1386.60168
Avram, Florin; Pérez, José-Luis; Yamazaki, Kazutoshi
18
2018
On the optimality of periodic barrier strategies for a spectrally positive Lévy process. Zbl 1422.91372
Pérez, José-Luis; Yamazaki, Kazutoshi
16
2017
On optimal periodic dividend strategies for Lévy risk processes. Zbl 1402.91211
Noba, Kei; Pérez, José-Luis; Yamazaki, Kazutoshi; Yano, Kouji
16
2018
Precautionary measures for credit risk management in jump models. Zbl 1288.91187
Egami, Masahiko; Yamazaki, Kazutoshi
15
2013
Inventory control for spectrally positive Lévy demand processes. Zbl 1359.90012
Yamazaki, Kazutoshi
11
2017
An analytic recursive method for optimal multiple stopping: Canadization and phase-type fitting. Zbl 1337.91157
Leung, Tim; Yamazaki, Kazutoshi; Zhang, Hongzhong
11
2015
American step-up and step-down default swaps under Lévy models. Zbl 1280.91183
Leung, Tim; Yamazaki, Kazutoshi
10
2013
Default swap games driven by spectrally negative Lévy processes. Zbl 1255.91418
Egami, Masahiko; Leung, Tim; Yamazaki, Kazutoshi
10
2013
Refraction-reflection strategies in the dual model. Zbl 1390.91203
Pérez, José-Luis; Yamazaki, Kazutoshi
9
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
7
2017
Index policies for discounted bandit problems with availability constraints. Zbl 1140.93047
Dayanik, Savas; Powell, Warren; Yamazaki, Kazutoshi
6
2008
On the refracted-reflected spectrally negative Lévy processes. Zbl 1386.60171
Pérez, José-Luis; Yamazaki, Kazutoshi
6
2018
On the continuous and smooth fit principle for optimal stopping problems in spectrally negative Lévy models. Zbl 1398.60062
Egami, Masahiko; Yamazaki, Kazutoshi
5
2014
Fluctuation theory for level-dependent Lévy risk processes. Zbl 1448.60103
Czarna, Irmina; Pérez, José-Luis; Rolski, Tomasz; Yamazaki, Kazutoshi
5
2019
Optimal capital structure with scale effects under spectrally negative Lévy models. Zbl 1302.91190
Surya, Budhi Arta; Yamazaki, Kazutoshi
5
2014
On the bail-out optimal dividend problem. Zbl 1402.60055
Pérez, José-Luis; Yamazaki, Kazutoshi; Yu, Xiang
5
2018
Asymptotically optimal Bayesian sequential change detection and identification rules. Zbl 1365.62322
Dayanik, Savas; Powell, Warren B.; Yamazaki, Kazutoshi
5
2013
The range of maps on classical insertion theorems. Zbl 1240.54054
Yamazaki, K.
4
2011
Games of singular control and stopping driven by spectrally one-sided Lévy processes. Zbl 1319.91026
Hernández-Hernández, Daniel; 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
3
2015
Contraction options and optimal multiple-stopping in spectrally negative Lévy models. Zbl 1323.60058
Yamazaki, Kazutoshi
3
2015
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
Optimality of doubly reflected Lévy processes in singular control. Zbl 1329.49039
Baurdoux, Erik J.; Yamazaki, Kazutoshi
2
2015
Optimal double stopping of a Brownian bridge. Zbl 1333.60080
Baurdoux, Erik J.; Chen, Nan; Surya, Budhi A.; Yamazaki, Kazutoshi
2
2015
The Leland-Toft optimal capital structure model under Poisson observations. Zbl 1453.91103
Palmowski, Zbigniew; Pérez, José Luis; Surya, Budhi Arta; Yamazaki, Kazutoshi
2
2020
Optimal periodic replenishment policies for spectrally positive Lévy demand processes. Zbl 1461.60032
Pérez, José-Luis; Yamazaki, Kazutoshi; Bensoussan, Alain
2
2020
American options under periodic exercise opportunities. Zbl 1410.91462
Pérez, José-Luis; Yamazaki, Kazutoshi
2
2018
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
The climateprediction.net BBC climate change experiment: design of the coupled model ensemble. Zbl 1185.86014
Frame, D. J.; Aina, T.; Christensen, C. M.; Faull, N. E.; Knight, S. H. E.; Piani, C.; Rosier, S. M.; Yamazaki, K.; Yamazaki, Y.; Allen, M. R.
1
2009
The Leland-Toft optimal capital structure model under Poisson observations. Zbl 1453.91103
Palmowski, Zbigniew; Pérez, José Luis; Surya, Budhi Arta; Yamazaki, Kazutoshi
2
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
5
2019
Spectrally negative Lévy processes with Parisian reflection below and classical reflection above. Zbl 1386.60168
Avram, Florin; Pérez, José-Luis; Yamazaki, Kazutoshi
18
2018
On optimal periodic dividend strategies for Lévy risk processes. Zbl 1402.91211
Noba, Kei; Pérez, José-Luis; Yamazaki, Kazutoshi; Yano, Kouji
16
2018
On the refracted-reflected spectrally negative Lévy processes. Zbl 1386.60171
Pérez, José-Luis; Yamazaki, Kazutoshi
6
2018
On the bail-out optimal dividend problem. Zbl 1402.60055
Pérez, José-Luis; Yamazaki, Kazutoshi; Yu, Xiang
5
2018
American options under periodic exercise opportunities. Zbl 1410.91462
Pérez, José-Luis; Yamazaki, Kazutoshi
2
2018
Optimality of multi-refraction control strategies in the dual model. Zbl 1417.91265
Czarna, Irmina; Pérez, José-Luis; Yamazaki, Kazutoshi
1
2018
On the optimality of periodic barrier strategies for a spectrally positive Lévy process. Zbl 1422.91372
Pérez, José-Luis; Yamazaki, Kazutoshi
16
2017
Inventory control for spectrally positive Lévy demand processes. Zbl 1359.90012
Yamazaki, Kazutoshi
11
2017
Refraction-reflection strategies in the dual model. Zbl 1390.91203
Pérez, José-Luis; Yamazaki, Kazutoshi
9
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
7
2017
An analytic recursive method for optimal multiple stopping: Canadization and phase-type fitting. Zbl 1337.91157
Leung, Tim; Yamazaki, Kazutoshi; Zhang, Hongzhong
11
2015
Games of singular control and stopping driven by spectrally one-sided Lévy processes. Zbl 1319.91026
Hernández-Hernández, Daniel; 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
3
2015
Contraction options and optimal multiple-stopping in spectrally negative Lévy models. Zbl 1323.60058
Yamazaki, Kazutoshi
3
2015
Optimality of doubly reflected Lévy processes in singular control. Zbl 1329.49039
Baurdoux, Erik J.; Yamazaki, Kazutoshi
2
2015
Optimal double stopping of a Brownian bridge. Zbl 1333.60080
Baurdoux, Erik J.; Chen, Nan; Surya, Budhi A.; Yamazaki, Kazutoshi
2
2015
Phase-type Fitting of scale functions for spectrally negative Lévy processes. Zbl 1291.60094
Egami, Masahiko; Yamazaki, Kazutoshi
46
2014
Optimal dividends in the dual model under transaction costs. Zbl 1294.91071
Bayraktar, Erhan; Kyprianou, Andreas E.; Yamazaki, Kazutoshi
29
2014
On the continuous and smooth fit principle for optimal stopping problems in spectrally negative Lévy models. Zbl 1398.60062
Egami, Masahiko; Yamazaki, Kazutoshi
5
2014
Optimal capital structure with scale effects under spectrally negative Lévy models. Zbl 1302.91190
Surya, Budhi Arta; Yamazaki, Kazutoshi
5
2014
On optimal dividends in the dual model. Zbl 1283.91192
Bayraktar, Erhan; Kyprianou, Andreas E.; Yamazaki, Kazutoshi
43
2013
Precautionary measures for credit risk management in jump models. Zbl 1288.91187
Egami, Masahiko; Yamazaki, Kazutoshi
15
2013
American step-up and step-down default swaps under Lévy models. Zbl 1280.91183
Leung, Tim; Yamazaki, Kazutoshi
10
2013
Default swap games driven by spectrally negative Lévy processes. Zbl 1255.91418
Egami, Masahiko; Leung, Tim; Yamazaki, Kazutoshi
10
2013
Asymptotically optimal Bayesian sequential change detection and identification rules. Zbl 1365.62322
Dayanik, Savas; Powell, Warren B.; Yamazaki, Kazutoshi
5
2013
The range of maps on classical insertion theorems. Zbl 1240.54054
Yamazaki, K.
4
2011
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
The climateprediction.net BBC climate change experiment: design of the coupled model ensemble. Zbl 1185.86014
Frame, D. J.; Aina, T.; Christensen, C. M.; Faull, N. E.; Knight, S. H. E.; Piani, C.; Rosier, S. M.; Yamazaki, K.; Yamazaki, Y.; Allen, M. R.
1
2009
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 179 Authors

30 Yamazaki, Kazutoshi
18 Pérez Garmendia, Jose Luis
6 Avanzi, Benjamin
6 Wang, Wenyuan
6 Wong, Bernard
6 Yin, Chuancun
5 Avram, Florin
5 Chen, Ping
5 Czarna, Irmina
5 Leung, Tim
5 Noba, Kei
5 Zhang, Hongzhong
5 Zhao, Yongxia
4 Frostig, Esther
4 Palmowski, Zbigniew
3 Dayanik, Savas
3 Dong, Hua
3 Egami, Masahiko
3 Lau, Hayden
3 Li, Bin
3 Lkabous, Mohamed Amine
3 Moreno-Franco, Harold A.
3 Surya, Budhi Arta
3 Wen, Yuzhen
3 Yano, Kouji
3 Zhou, Xiaowen
2 Chen, Mi
2 De Angelis, Tiziano
2 Ekström, Erik
2 Guo, Junyi
2 Hernández-Hernández, Daniel
2 Huang, Yujuan
2 Ivanovs, Jevgeņijs
2 Jiang, Zhengjun
2 Jin, Zhuo
2 Junca, Mauricio
2 Katehakis, Michael N.
2 Landriault, David
2 Levendorskiĭ, Sergeĭ Zakharovich
2 Li, Zhong
2 Perera, Sandun
2 Powell, Warren Buckler
2 Renaud, Jean-François
2 Tu, Vincent
2 Wang, Rongming
2 Xie, Jiayi
2 Yang, Chen
2 Yoshioka, Hidekazu
2 Yu, Wenguang
2 Yuen, Kam Chuen
2 Zeng, Yan
1 Agarwal, Ankush
1 Albrecher, Hansjörg
1 Asmussen, Søren
1 Azcue, Pablo
1 Bai, Lihua
1 Bao, Wenqing
1 Bäuerle, Nicole
1 Baurdoux, Erik Jan
1 Bayraktar, Erhan
1 Bensoussan, Alain
1 Bladt, Martin
1 Bladt, Mogens
1 Boxma, Onno Johan
1 Boyarchenko, Mitya
1 Buckley, Winston S.
1 Burnetas, Apostolos N.
1 Cai, Xiaoqiang
1 Chen, Shumin
1 Christensen, Soren
1 Cowan, Wesley
1 Cui, Chaoran
1 Cui, Zhenyu
1 Dai, Hongshuai
1 Deng, Chao
1 Deng, Yingchun
1 Deng, Yinglu
1 Fahim, Arash
1 Frazier, Peter I.
1 Gapeev, Pavel V.
1 Glazebrook, Kevin D.
1 Glover, Kristoffer J.
1 Goreac, Dan
1 Grahovac, Danijel
1 Guan, Guofeng
1 Guo, Peng
1 Guohe, Deng
1 Henderson, Shane G.
1 Hernández, Camilo
1 Hodge, David J.
1 Honda, Junya
1 Hu, Yijun
1 Huang, Xuan
1 Huang, Ya
1 Jia, Wensheng
1 Juneja, Sandeep
1 Kanavetas, Odysseas
1 Kaszubowski, Adam
1 Keren-Pinhasik, Adva
1 Kim, Bara
...and 79 more Authors
all top 5

Cited in 48 Serials

20 Insurance Mathematics & Economics
10 Stochastic Processes and their Applications
8 Journal of Optimization Theory and Applications
8 SIAM Journal on Control and Optimization
7 Journal of Applied Probability
7 Scandinavian Actuarial Journal
5 Advances in Applied Probability
5 Applied Mathematics and Optimization
5 Journal of Industrial and Management Optimization
4 Journal of Computational and Applied Mathematics
4 International Journal of Theoretical and Applied Finance
3 Operations Research Letters
3 Communications in Statistics. Theory and Methods
3 European Journal of Operational Research
3 Methodology and Computing in Applied Probability
3 Quantitative Finance
3 Stochastic Models
2 Applied Mathematics and Computation
2 Statistics & Probability Letters
2 Finance and Stochastics
2 ASTIN Bulletin
2 Journal of Function Spaces
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 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 Journal of Machine Learning Research (JMLR)
1 Journal of Applied Mathematics and Computing
1 Advances in Difference Equations
1 Stochastics
1 Mathematics and Financial Economics
1 SIAM Journal on Financial Mathematics
1 MathematicS In Action
1 Symmetry
1 AIMS Mathematics

Citations by Year