Edit Profile (opens in new tab) Yamazaki, Kazutoshi Compute Distance To: Compute Author ID: 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 all top 5 Co-Authors 4 single-authored 16 Pérez Garmendia, Jose Luis 4 Egami, Masahiko 4 Leung, Tim 3 Dayanik, Savas 3 Surya, Budhi Arta 2 Baurdoux, Erik Jan 2 Bayraktar, Erhan 2 Czarna, Irmina 2 Kyprianou, Andreas E. 2 Noba, Kei 2 Powell, Warren Buckler 2 Yano, Kouji 2 Zhang, Hongzhong 1 Aina, T. 1 Avanzi, Benjamin 1 Avram, Florin 1 Bensoussan, Alain 1 Chen, Nan 1 Christensen, Clayton M. 1 Faull, N. E. 1 Frame, D. J. 1 Fukasawa, Masaaki 1 Hernández-Hernández, Daniel 1 Ishida, Isao 1 Junca, Mauricio 1 Knight, S. H. E. 1 López, Dante Mata 1 Maghrebi, N. 1 Moreno-Franco, Harold A. 1 Oya, Kosuke 1 Palmowski, Zbigniew 1 Piani, C. 1 Rolski, Tomasz 1 Rosier, S. M. 1 Ubukata, Masato 1 Wong, Bernard all top 5 Serials 6 Stochastic Processes and their Applications 5 Insurance Mathematics & Economics 4 Advances in Applied Probability 3 International Journal of Theoretical and Applied Finance 2 Applied Mathematics and Optimization 2 SIAM Journal on Control and Optimization 2 International Journal of Production 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 Mathematics of Operations Research 1 Statistics & Probability Letters 1 Acta Mathematica Hungarica 1 Annals of Operations Research 1 Finance and Stochastics 1 Philosophical Transactions of the Royal Society of London. Series A. Mathematical, Physical and Engineering Sciences 1 Statistical Inference for Stochastic Processes 1 Quantitative Finance 1 Stochastics 1 SIAM Journal on Financial Mathematics all top 5 Fields 33 Probability theory and stochastic processes (60-XX) 27 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 13 Systems theory; control (93-XX) 7 Operations research, mathematical programming (90-XX) 3 Calculus of variations and optimal control; optimization (49-XX) 2 Statistics (62-XX) 2 Numerical analysis (65-XX) 1 Functional analysis (46-XX) 1 General topology (54-XX) 1 Geophysics (86-XX) Publications by Year all cited Publications top 5 cited Publications 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 1291.60094Egami, Masahiko; Yamazaki, Kazutoshi 46 2014 On optimal dividends in the dual model. Zbl 1283.91192Bayraktar, Erhan; Kyprianou, Andreas E.; Yamazaki, Kazutoshi 43 2013 Optimal dividends in the dual model under transaction costs. Zbl 1294.91071Bayraktar, Erhan; Kyprianou, Andreas E.; Yamazaki, Kazutoshi 29 2014 Spectrally negative Lévy processes with Parisian reflection below and classical reflection above. Zbl 1386.60168Avram, Florin; Pérez, José-Luis; Yamazaki, Kazutoshi 18 2018 On the optimality of periodic barrier strategies for a spectrally positive Lévy process. Zbl 1422.91372Pérez, José-Luis; Yamazaki, Kazutoshi 16 2017 On optimal periodic dividend strategies for Lévy risk processes. Zbl 1402.91211Noba, Kei; Pérez, José-Luis; Yamazaki, Kazutoshi; Yano, Kouji 16 2018 Precautionary measures for credit risk management in jump models. Zbl 1288.91187Egami, Masahiko; Yamazaki, Kazutoshi 15 2013 Inventory control for spectrally positive Lévy demand processes. Zbl 1359.90012Yamazaki, Kazutoshi 11 2017 An analytic recursive method for optimal multiple stopping: Canadization and phase-type fitting. Zbl 1337.91157Leung, Tim; Yamazaki, Kazutoshi; Zhang, Hongzhong 11 2015 American step-up and step-down default swaps under Lévy models. Zbl 1280.91183Leung, Tim; Yamazaki, Kazutoshi 10 2013 Default swap games driven by spectrally negative Lévy processes. Zbl 1255.91418Egami, Masahiko; Leung, Tim; Yamazaki, Kazutoshi 10 2013 Refraction-reflection strategies in the dual model. Zbl 1390.91203Pérez, José-Luis; Yamazaki, Kazutoshi 9 2017 On optimal joint reflective and refractive dividend strategies in spectrally positive Lévy models. Zbl 1394.91185Avanzi, Benjamin; Pérez, José-Luis; Wong, Bernard; Yamazaki, Kazutoshi 7 2017 Index policies for discounted bandit problems with availability constraints. Zbl 1140.93047Dayanik, Savas; Powell, Warren; Yamazaki, Kazutoshi 6 2008 On the refracted-reflected spectrally negative Lévy processes. Zbl 1386.60171Pérez, José-Luis; Yamazaki, Kazutoshi 6 2018 On the continuous and smooth fit principle for optimal stopping problems in spectrally negative Lévy models. Zbl 1398.60062Egami, Masahiko; Yamazaki, Kazutoshi 5 2014 Fluctuation theory for level-dependent Lévy risk processes. Zbl 1448.60103Czarna, Irmina; Pérez, José-Luis; Rolski, Tomasz; Yamazaki, Kazutoshi 5 2019 Optimal capital structure with scale effects under spectrally negative Lévy models. Zbl 1302.91190Surya, Budhi Arta; Yamazaki, Kazutoshi 5 2014 On the bail-out optimal dividend problem. Zbl 1402.60055Pérez, José-Luis; Yamazaki, Kazutoshi; Yu, Xiang 5 2018 Asymptotically optimal Bayesian sequential change detection and identification rules. Zbl 1365.62322Dayanik, Savas; Powell, Warren B.; Yamazaki, Kazutoshi 5 2013 The range of maps on classical insertion theorems. Zbl 1240.54054Yamazaki, K. 4 2011 Games of singular control and stopping driven by spectrally one-sided Lévy processes. Zbl 1319.91026Hernández-Hernández, Daniel; Yamazaki, Kazutoshi 4 2015 Optimal multiple stopping with negative discount rate and random refraction times under Lévy models. Zbl 1321.60081Leung, Tim; Yamazaki, Kazutoshi; Zhang, Hongzhong 3 2015 Contraction options and optimal multiple-stopping in spectrally negative Lévy models. Zbl 1323.60058Yamazaki, Kazutoshi 3 2015 Model-free implied volatility: from surface to index. Zbl 1218.91050Fukasawa, M.; Ishida, I.; Maghrebi, N.; Oya, K.; Ubukata, M.; Yamazaki, K. 3 2011 Optimality of doubly reflected Lévy processes in singular control. Zbl 1329.49039Baurdoux, Erik J.; Yamazaki, Kazutoshi 2 2015 Optimal double stopping of a Brownian bridge. Zbl 1333.60080Baurdoux, Erik J.; Chen, Nan; Surya, Budhi A.; Yamazaki, Kazutoshi 2 2015 The Leland-Toft optimal capital structure model under Poisson observations. Zbl 1453.91103Palmowski, Zbigniew; Pérez, José Luis; Surya, Budhi Arta; Yamazaki, Kazutoshi 2 2020 Optimal periodic replenishment policies for spectrally positive Lévy demand processes. Zbl 1461.60032Pérez, José-Luis; Yamazaki, Kazutoshi; Bensoussan, Alain 2 2020 American options under periodic exercise opportunities. Zbl 1410.91462Pérez, José-Luis; Yamazaki, Kazutoshi 2 2018 Optimality of hybrid continuous and periodic barrier strategies in the dual model. Zbl 1464.60043Pérez, José-Luis; Yamazaki, Kazutoshi 1 2020 Optimality of multi-refraction control strategies in the dual model. Zbl 1417.91265Czarna, Irmina; Pérez, José-Luis; Yamazaki, Kazutoshi 1 2018 The climateprediction.net BBC climate change experiment: design of the coupled model ensemble. Zbl 1185.86014Frame, 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 1453.91103Palmowski, Zbigniew; Pérez, José Luis; Surya, Budhi Arta; Yamazaki, Kazutoshi 2 2020 Optimal periodic replenishment policies for spectrally positive Lévy demand processes. Zbl 1461.60032Pérez, José-Luis; Yamazaki, Kazutoshi; Bensoussan, Alain 2 2020 Optimality of hybrid continuous and periodic barrier strategies in the dual model. Zbl 1464.60043Pérez, José-Luis; Yamazaki, Kazutoshi 1 2020 Fluctuation theory for level-dependent Lévy risk processes. Zbl 1448.60103Czarna, Irmina; Pérez, José-Luis; Rolski, Tomasz; Yamazaki, Kazutoshi 5 2019 Spectrally negative Lévy processes with Parisian reflection below and classical reflection above. Zbl 1386.60168Avram, Florin; Pérez, José-Luis; Yamazaki, Kazutoshi 18 2018 On optimal periodic dividend strategies for Lévy risk processes. Zbl 1402.91211Noba, Kei; Pérez, José-Luis; Yamazaki, Kazutoshi; Yano, Kouji 16 2018 On the refracted-reflected spectrally negative Lévy processes. Zbl 1386.60171Pérez, José-Luis; Yamazaki, Kazutoshi 6 2018 On the bail-out optimal dividend problem. Zbl 1402.60055Pérez, José-Luis; Yamazaki, Kazutoshi; Yu, Xiang 5 2018 American options under periodic exercise opportunities. Zbl 1410.91462Pérez, José-Luis; Yamazaki, Kazutoshi 2 2018 Optimality of multi-refraction control strategies in the dual model. Zbl 1417.91265Czarna, Irmina; Pérez, José-Luis; Yamazaki, Kazutoshi 1 2018 On the optimality of periodic barrier strategies for a spectrally positive Lévy process. Zbl 1422.91372Pérez, José-Luis; Yamazaki, Kazutoshi 16 2017 Inventory control for spectrally positive Lévy demand processes. Zbl 1359.90012Yamazaki, Kazutoshi 11 2017 Refraction-reflection strategies in the dual model. Zbl 1390.91203Pérez, José-Luis; Yamazaki, Kazutoshi 9 2017 On optimal joint reflective and refractive dividend strategies in spectrally positive Lévy models. Zbl 1394.91185Avanzi, Benjamin; Pérez, José-Luis; Wong, Bernard; Yamazaki, Kazutoshi 7 2017 An analytic recursive method for optimal multiple stopping: Canadization and phase-type fitting. Zbl 1337.91157Leung, Tim; Yamazaki, Kazutoshi; Zhang, Hongzhong 11 2015 Games of singular control and stopping driven by spectrally one-sided Lévy processes. Zbl 1319.91026Hernández-Hernández, Daniel; Yamazaki, Kazutoshi 4 2015 Optimal multiple stopping with negative discount rate and random refraction times under Lévy models. Zbl 1321.60081Leung, Tim; Yamazaki, Kazutoshi; Zhang, Hongzhong 3 2015 Contraction options and optimal multiple-stopping in spectrally negative Lévy models. Zbl 1323.60058Yamazaki, Kazutoshi 3 2015 Optimality of doubly reflected Lévy processes in singular control. Zbl 1329.49039Baurdoux, Erik J.; Yamazaki, Kazutoshi 2 2015 Optimal double stopping of a Brownian bridge. Zbl 1333.60080Baurdoux, Erik J.; Chen, Nan; Surya, Budhi A.; Yamazaki, Kazutoshi 2 2015 Phase-type Fitting of scale functions for spectrally negative Lévy processes. Zbl 1291.60094Egami, Masahiko; Yamazaki, Kazutoshi 46 2014 Optimal dividends in the dual model under transaction costs. Zbl 1294.91071Bayraktar, 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 1398.60062Egami, Masahiko; Yamazaki, Kazutoshi 5 2014 Optimal capital structure with scale effects under spectrally negative Lévy models. Zbl 1302.91190Surya, Budhi Arta; Yamazaki, Kazutoshi 5 2014 On optimal dividends in the dual model. Zbl 1283.91192Bayraktar, Erhan; Kyprianou, Andreas E.; Yamazaki, Kazutoshi 43 2013 Precautionary measures for credit risk management in jump models. Zbl 1288.91187Egami, Masahiko; Yamazaki, Kazutoshi 15 2013 American step-up and step-down default swaps under Lévy models. Zbl 1280.91183Leung, Tim; Yamazaki, Kazutoshi 10 2013 Default swap games driven by spectrally negative Lévy processes. Zbl 1255.91418Egami, Masahiko; Leung, Tim; Yamazaki, Kazutoshi 10 2013 Asymptotically optimal Bayesian sequential change detection and identification rules. Zbl 1365.62322Dayanik, Savas; Powell, Warren B.; Yamazaki, Kazutoshi 5 2013 The range of maps on classical insertion theorems. Zbl 1240.54054Yamazaki, K. 4 2011 Model-free implied volatility: from surface to index. Zbl 1218.91050Fukasawa, 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 1185.86014Frame, 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 1140.93047Dayanik, Savas; Powell, Warren; Yamazaki, Kazutoshi 6 2008 all cited Publications top 5 cited Publications 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 all top 5 Cited in 15 Fields 104 Probability theory and stochastic processes (60-XX) 97 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 49 Systems theory; control (93-XX) 15 Operations research, mathematical programming (90-XX) 14 Calculus of variations and optimal control; optimization (49-XX) 12 Statistics (62-XX) 6 Numerical analysis (65-XX) 3 Integral transforms, operational calculus (44-XX) 3 Integral equations (45-XX) 2 Partial differential equations (35-XX) 1 Dynamical systems and ergodic theory (37-XX) 1 Operator theory (47-XX) 1 Biology and other natural sciences (92-XX) 1 Information and communication theory, circuits (94-XX) 1 Mathematics education (97-XX) Citations by Year