The University of Queensland

A series expansion formula of the scale matrix with applications in CUSUM analysis

Ivanovs, Jevgenijs and Yamazaki, Kazutoshi (2024). A series expansion formula of the scale matrix with applications in CUSUM analysis. Stochastic Processes and their Applications, 170 104300, 104300. doi: 10.1016/j.spa.2024.104300

A jump Ornstein–Uhlenbeck bridge based on energy-optimal control and its self-exciting extension

Yoshioka, Hidekazu and Yamazaki, Kazutoshi (2023). A jump Ornstein–Uhlenbeck bridge based on energy-optimal control and its self-exciting extension. IEEE Control Systems Letters, 7, 1536-1541. doi: 10.1109/lcsys.2023.3271422

The Gerber-Shiu discounted penalty function: a review from practical perspectives

He, Yue, Kawai, Reiichiro, Shimizu, Yasutaka and Yamazaki, Kazutoshi (2023). The Gerber-Shiu discounted penalty function: a review from practical perspectives. Insurance: Mathematics and Economics, 109, 1-28. doi: 10.1016/j.insmatheco.2022.12.003

On singular control for Lévy processes

Noba, Kei and Yamazaki, Kazutoshi (2022). On singular control for Lévy processes. Mathematics of Operations Research, 48 (3), 1213-1234. doi: 10.1287/moor.2022.1298

Detection and identification of changes of hidden Markov chains: asymptotic theory

Dayanik, Savas and Yamazaki, Kazutoshi (2021). Detection and identification of changes of hidden Markov chains: asymptotic theory. Statistical Inference for Stochastic Processes, 25 (2), 261-301. doi: 10.1007/s11203-021-09253-5

Double continuation regions for American options under Poisson exercise opportunities

Palmowski, Zbigniew, Pérez, José Luis and Yamazaki, Kazutoshi (2021). Double continuation regions for American options under Poisson exercise opportunities. Mathematical Finance, 31 (2), 722-771. doi: 10.1111/mafi.12301

Correction to: Asymptotically optimal Bayesian sequential change detection and identification rules (Annals of Operations Research, (2013), 208, 1, (337-370), 10.1007/s10479-012-1121-6)

Dayanik, Savas, Powell, Warren B. and Yamazaki, Kazutoshi (2021). Correction to: Asymptotically optimal Bayesian sequential change detection and identification rules (Annals of Operations Research, (2013), 208, 1, (337-370), 10.1007/s10479-012-1121-6). Annals of Operations Research, 332 (1-3), 1275-1276. doi: 10.1007/s10479-021-04269-9

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

López, Dante Mata, Pérez, José Luis and Yamazaki, Kazutoshi (2021). Effects of Positive Jumps of Assets on Endogenous Bankruptcy and Optimal Capital Structure: Continuous- and Periodic-Observation Models. SIAM Journal on Financial Mathematics, 12 (3), 1112-1149. doi: 10.1137/20m1362127

The Leland–Toft optimal capital structure model under Poisson observations

Palmowski, Zbigniew, Pérez, José Luis, Surya, Budhi Arta and Yamazaki, Kazutoshi (2020). The Leland–Toft optimal capital structure model under Poisson observations. Finance and Stochastics, 24 (4), 1035-1082. doi: 10.1007/s00780-020-00431-6

Optimality of hybrid continuous and periodic barrier strategies in the dual model

Pérez, José-Luis and Yamazaki, Kazutoshi (2020). Optimality of hybrid continuous and periodic barrier strategies in the dual model. Applied Mathematics and Optimization, 82 (1), 105-133. doi: 10.1007/s00245-018-9494-9

Optimal periodic replenishment policies for spectrally positive Lévy demand processes

Pérez, José-Luis, Yamazaki, Kazutoshi and Bensoussan, Alain (2020). Optimal periodic replenishment policies for spectrally positive Lévy demand processes. SIAM Journal on Control and Optimization, 58 (6), 3428-3456. doi: 10.1137/18m1196406

Fluctuation theory for level-dependent Lévy risk processes

Czarna, Irmina, Pérez, José-Luis, Rolski, Tomasz and Yamazaki, Kazutoshi (2019). Fluctuation theory for level-dependent Lévy risk processes. Stochastic Processes and their Applications, 129 (12), 5406-5449. doi: 10.1016/j.spa.2019.03.006

Optimality of refraction strategies for a constrained dividend problem

Junca, Mauricio, Moreno-Franco, Harold A., Pérez, José Luis and Yamazaki, Kazutoshi (2019). Optimality of refraction strategies for a constrained dividend problem. Advances in Applied Probability, 51 (3), 633-666. doi: 10.1017/apr.2019.32

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

Noba, Kei, Pérez, José-Luis, Yamazaki, Kazutoshi and Yano, Kouji (2018). On optimal periodic dividend and capital injection strategies for spectrally negative Lévy models. Journal of Applied Probability, 55 (4), 1272-1286. doi: 10.1017/jpr.2018.85

On the bail-out optimal dividend problem

Pérez, José-Luis, Yamazaki, Kazutoshi and Yu, Xiang (2018). On the bail-out optimal dividend problem. Journal of Optimization Theory and Applications, 179 (2), 553-568. doi: 10.1007/s10957-018-1340-3

Optimality of multi-refraction control strategies in the dual model

Czarna, Irmina, Pérez, José-Luis and Yamazaki, Kazutoshi (2018). Optimality of multi-refraction control strategies in the dual model. Insurance: Mathematics and Economics, 83, 148-160. doi: 10.1016/j.insmatheco.2018.09.008

Mixed periodic-classical barrier strategies for Lévy risk processes

Pérez, José-Luis and Yamazaki, Kazutoshi (2018). Mixed periodic-classical barrier strategies for Lévy risk processes. Risks, 6 (2) 33. doi: 10.3390/risks6020033

On optimal periodic dividend strategies for Lévy risk processes

Noba, Kei, Pérez, José-Luis, Yamazaki, Kazutoshi and Yano, Kouji (2018). On optimal periodic dividend strategies for Lévy risk processes. Insurance: Mathematics and Economics, 80, 29-44. doi: 10.1016/j.insmatheco.2018.02.004

American options under periodic exercise opportunities

Pérez, José-Luis and Yamazaki, Kazutoshi (2018). American options under periodic exercise opportunities. Statistics and Probability Letters, 135, 92-101. doi: 10.1016/j.spl.2017.11.020

On the refracted–reflected spectrally negative Lévy processes

Pérez, José-Luis and Yamazaki, Kazutoshi (2018). On the refracted–reflected spectrally negative Lévy processes. Stochastic Processes and their Applications, 128 (1), 306-331. doi: 10.1016/j.spa.2017.03.024

Spectrally negative Lévy processes with Parisian reflection below and classical reflection above

Avram, Florin, Pérez, José-Luis and Yamazaki, Kazutoshi (2018). Spectrally negative Lévy processes with Parisian reflection below and classical reflection above. Stochastic Processes and their Applications, 128 (1), 255-290. doi: 10.1016/j.spa.2017.04.013

On the optimality of periodic barrier strategies for a spectrally positive Lévy process

Pérez, José-Luis and Yamazaki, Kazutoshi (2017). On the optimality of periodic barrier strategies for a spectrally positive Lévy process. Insurance: Mathematics and Economics, 77, 1-13. doi: 10.1016/j.insmatheco.2017.08.001

Phase-type approximation of the gerber-shiu function

Yamazaki, Kazutoshi (2017). Phase-type approximation of the gerber-shiu function. Journal of the Operations Research Society of Japan, 60 (3), 337-352. doi: 10.15807/jorsj.60.337

Inventory control for spectrally positive Lévy demand processes

Yamazaki, Kazutoshi (2017). Inventory control for spectrally positive Lévy demand processes. Mathematics of Operations Research, 42 (1), 212-237. doi: 10.1287/moor.2016.0801

On optimal joint reflective and refractive dividend strategies in spectrally positive Lévy models

Avanzi, Benjamin, Pérez, José-Luis, Wong, Bernard and Yamazaki, Kazutoshi (2017). On optimal joint reflective and refractive dividend strategies in spectrally positive Lévy models. Insurance: Mathematics and Economics, 72, 148-162. doi: 10.1016/j.insmatheco.2016.10.010

Refraction-reflection strategies in the dual model

Pérez, José-Luis and Yamazaki, Kazutoshi (2017). Refraction-reflection strategies in the dual model. ASTIN Bulletin, 47 (1), 199-238. doi: 10.1017/asb.2016.28

Optimality of refraction strategies for spectrally negative Lévy processes

Hernández-Hernández, Daniel, Pérez, José-Luis and Yamazaki, Kazutoshi (2016). Optimality of refraction strategies for spectrally negative Lévy processes. SIAM Journal on Control and Optimization, 54 (3), 1126-1156. doi: 10.1137/15M1051208

Optimal double stopping of a Brownian bridge

Baurdoux, Erik J., Chen, Nan, Surya, Budhi A. and Yamazaki, Kazutoshi (2015). Optimal double stopping of a Brownian bridge. Advances in Applied Probability, 47 (4), 1212-1234. doi: 10.1239/aap/1449859807

Contraction Options and Optimal Multiple-Stopping in Spectrally Negative Lévy Models

Yamazaki, Kazutoshi (2015). Contraction Options and Optimal Multiple-Stopping in Spectrally Negative Lévy Models. Applied Mathematics and Optimization, 72 (1), 147-185. doi: 10.1007/s00245-014-9274-0

An analytic recursive method for optimal multiple stopping: Canadization and phase-type fitting

Leung, Tim, Yamazaki, Kazutoshi and Zhang, Hongzhong (2015). An analytic recursive method for optimal multiple stopping: Canadization and phase-type fitting. International Journal of Theoretical and Applied Finance, 18 (5) 1550032. doi: 10.1142/S0219024915500326

Optimality of doubly reflected Lévy processes in singular control

Baurdoux, Erik J. and Yamazaki, Kazutoshi (2015). Optimality of doubly reflected Lévy processes in singular control. Stochastic Processes and their Applications, 125 (7), 2727-2751. doi: 10.1016/j.spa.2015.01.011

Games of singular control and stopping driven by spectrally one-sided Lévy processes

Hernández-Hernández, Daniel and Yamazaki, Kazutoshi (2015). Games of singular control and stopping driven by spectrally one-sided Lévy processes. Stochastic Processes and their Applications, 125 (1), 1-38. doi: 10.1016/j.spa.2014.07.020

Optimal multiple stopping with negative discount rate and random refraction times under lévy models

Leung, Tim, Yamazaki, Kazutoshi and Zhang, Hongzhong (2015). Optimal multiple stopping with negative discount rate and random refraction times under lévy models. SIAM Journal on Control and Optimization, 53 (4), 2373-2405. doi: 10.1137/140957317

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

Egami, Masahiko and Yamazaki, Kazutoshi (2014). Phase-type fitting of scale functions for spectrally negative Lévy processes. Journal of Computational and Applied Mathematics, 264, 1-22. doi: 10.1016/j.cam.2013.12.044

On the continuous and smooth fit principle for optimal stopping problems in spectrally negative lèvy models

Egam, Masahiko and Yamazaki, Kazutoshi (2014). On the continuous and smooth fit principle for optimal stopping problems in spectrally negative lèvy models. Advances in Applied Probability, 46 (1), 139-167. doi: 10.1239/aap/1396360107

Optimal capital structure with scale effects under spectrally negative Lévy models

Surya, Budhi Arta and Yamazaki, Kazutoshi (2014). Optimal capital structure with scale effects under spectrally negative Lévy models. International Journal of Theoretical and Applied Finance, 17 (2) 1450013. doi: 10.1142/S0219024914500137

Optimal dividends in the dual model under transaction costs

Bayraktar, Erhan, Kyprianou, Andreas E. and Yamazaki, Kazutoshi (2014). Optimal dividends in the dual model under transaction costs. Insurance: Mathematics and Economics, 54 (1), 133-143. doi: 10.1016/j.insmatheco.2013.11.007

Asymptotically optimal Bayesian sequential change detection and identification rules

Dayanik, Savas, Powell, Warren B. and Yamazaki, Kazutoshi (2013). Asymptotically optimal Bayesian sequential change detection and identification rules. Annals of Operations Research, 208 (1), 337-370. doi: 10.1007/s10479-012-1121-6

On optimal dividends in the dual model

Bayraktar, Erhan, Kyprianou, Andreas E. and Yamazaki, Kazutoshi (2013). On optimal dividends in the dual model. ASTIN Bulletin, 43 (3), 359-372. doi: 10.1017/asb.2013.17

Precautionary measures for credit risk management in jump models

Egami, Masahiko and Yamazaki, Kazutoshi (2013). Precautionary measures for credit risk management in jump models. Stochastics, 85 (1), 111-143. doi: 10.1080/17442508.2011.653566

American step-up and step-down default swaps under Lévy models

Leung, Tim and Yamazaki, Kazutoshi (2013). American step-up and step-down default swaps under Lévy models. Quantitative Finance, 13 (1), 137-157. doi: 10.1080/14697688.2012.730624

Default swap games driven by spectrally negative Lévy processes

Egami, Masahiko, Leung, Tim and Yamazaki, Kazutoshi (2013). Default swap games driven by spectrally negative Lévy processes. Stochastic Processes and their Applications, 123 (2), 347-384. doi: 10.1016/j.spa.2012.09.008

Model-free implied volatility: From surface to index

Fukasawa, M., Ishida, I., Maghrebi, N., Oya, K., Ubukata, M. and Yamazaki, K. (2011). Model-free implied volatility: From surface to index. International Journal of Theoretical and Applied Finance, 14 (4), 433-463. doi: 10.1142/S0219024911006681

Index policies for discounted bandit problems with availability constraints

Dayanik, Savas, Powell, Warren and Yamazaki, Kazutoshi (2008). Index policies for discounted bandit problems with availability constraints. Advances in Applied Probability, 40 (2), 377-400. doi: 10.1239/aap/1214950209

Optimality of Two-Parameter Strategies in Stochastic Control

Yamazaki, Kazutoshi (2018). Optimality of Two-Parameter Strategies in Stochastic Control. XII Symposium of Probability and Stochastic Processes, Merida, Mexico, 16–20 November 2015. Cham, Switzerland: Springer. doi: 10.1007/978-3-319-77643-9_2

Cash Management and Control Band Policies for Spectrally One-sided Lévy Processes

Yamazaki, Kazutoshi (2016). Cash Management and Control Band Policies for Spectrally One-sided Lévy Processes. TMU Finance Workshop 2014, Tokyo, Japan, 6 - 7 November 2014. Singapore: World Scientific Publishing. doi: 10.1142/9789814730778_0009