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2025 Journal Article Refraction strategies in stochastic control: optimality for a general Lévy process modelNoba, Kei, Pérez, José Luis and Yamazaki, Kazutoshi (2025). Refraction strategies in stochastic control: optimality for a general Lévy process model. SIAM Journal on Control and Optimization, 63 (2), 727-751. doi: 10.1137/23m1594248 |
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2025 Journal Article A Jump‐Driven Self‐Exciting Stochastic Fish Migration Model and Its Fisheries ApplicationsYoshioka, Hidekazu and Yamazaki, Kazutoshi (2025). A Jump‐Driven Self‐Exciting Stochastic Fish Migration Model and Its Fisheries Applications. Natural Resource Modeling, 38 (1) e12419, 1. doi: 10.1111/nrm.12419 |
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2025 Journal Article On stochastic control under poissonian intervention: optimality of a barrier strategy in a general Lévy modelNoba, Kei and Yamazaki, Kazutoshi (2025). On stochastic control under poissonian intervention: optimality of a barrier strategy in a general Lévy model. Journal of Applied Probability, 1-24. doi: 10.1017/jpr.2024.80 |
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2024 Journal Article An arbitrage driven price dynamics of Automated Market Makers in the presence of feesNajnudel, Joseph, Tung, Shen-Ning, Yamazaki, Kazutoshi and Yen, Ju-Yi (2024). An arbitrage driven price dynamics of Automated Market Makers in the presence of fees. Frontiers of Mathematical Finance, 3 (4), 560-571. doi: 10.3934/fmf.2024018 |
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2024 Journal Article Optimal dividends and capital injection: a general Lévy model with extensions to regime-switching modelsMata López, Dante, Noba, Kei, Pérez, José-Luis and Yamazaki, Kazutoshi (2024). Optimal dividends and capital injection: a general Lévy model with extensions to regime-switching models. Insurance: Mathematics and Economics, 119, 210-225. doi: 10.1016/j.insmatheco.2024.08.007 |
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2024 Journal Article Nonzero-Sum Optimal Stopping Game with Continuous vs. Periodic Exercise OpportunitiesPérez, José Luis, Rodosthenous, Neofytos and Yamazaki, Kazutoshi (2024). Nonzero-Sum Optimal Stopping Game with Continuous vs. Periodic Exercise Opportunities. Mathematics of Operations Research. doi: 10.1287/moor.2023.0123 |
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2024 Journal Article A series expansion formula of the scale matrix with applications in CUSUM analysisIvanovs, 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. doi: 10.1016/j.spa.2024.104300 |
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2023 Journal Article A jump Ornstein–Uhlenbeck bridge based on energy-optimal control and its self-exciting extensionYoshioka, 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 |
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2023 Journal Article The Gerber-Shiu discounted penalty function: a review from practical perspectivesHe, 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 |
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2022 Journal Article On singular control for Lévy processesNoba, 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 |
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2021 Journal Article Detection and identification of changes of hidden Markov chains: asymptotic theoryDayanik, 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 |
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2021 Journal Article Double continuation regions for American options under Poisson exercise opportunitiesPalmowski, 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 |
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2021 Journal Article Effects of Positive Jumps of Assets on Endogenous Bankruptcy and Optimal Capital Structure: Continuous- and Periodic-Observation ModelsLópez, 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 |
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2021 Journal Article 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 |
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2020 Journal Article The Leland–Toft optimal capital structure model under Poisson observationsPalmowski, 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 |
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2020 Journal Article Optimality of hybrid continuous and periodic barrier strategies in the dual modelPérez, 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 |
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2020 Journal Article Optimal periodic replenishment policies for spectrally positive Lévy demand processesPérez, 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 |
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2019 Journal Article Fluctuation theory for level-dependent Lévy risk processesCzarna, 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 |
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2019 Journal Article Optimality of refraction strategies for a constrained dividend problemJunca, 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 |
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2018 Journal Article On optimal periodic dividend and capital injection strategies for spectrally negative Lévy modelsNoba, 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 |
