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2018 Journal Article On the bail-out optimal dividend problemPérez, 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 |
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2018 Journal Article Optimality of multi-refraction control strategies in the dual modelCzarna, 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 |
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2018 Journal Article Mixed periodic-classical barrier strategies for Lévy risk processesPérez, José-Luis and Yamazaki, Kazutoshi (2018). Mixed periodic-classical barrier strategies for Lévy risk processes. Risks, 6 (2) 33, 33. doi: 10.3390/risks6020033 |
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2018 Journal Article On optimal periodic dividend strategies for Lévy risk processesNoba, 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 |
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2018 Journal Article American options under periodic exercise opportunitiesPérez, 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 |
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2018 Journal Article On the refracted–reflected spectrally negative Lévy processesPérez, 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 |
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2018 Journal Article Spectrally negative Lévy processes with Parisian reflection below and classical reflection aboveAvram, 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 |
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2017 Journal Article On the optimality of periodic barrier strategies for a spectrally positive Lévy processPérez, 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 |
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2017 Journal Article Phase-type approximation of the gerber-shiu functionYamazaki, 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 |
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2017 Journal Article Inventory control for spectrally positive Lévy demand processesYamazaki, Kazutoshi (2017). Inventory control for spectrally positive Lévy demand processes. Mathematics of Operations Research, 42 (1), 212-237. doi: 10.1287/moor.2016.0801 |
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2017 Journal Article On optimal joint reflective and refractive dividend strategies in spectrally positive Lévy modelsAvanzi, 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 |
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2017 Journal Article Refraction-reflection strategies in the dual modelPérez, 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 |
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2016 Journal Article Optimality of refraction strategies for spectrally negative Lévy processesHernández-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 |
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2015 Journal Article Optimal double stopping of a Brownian bridgeBaurdoux, 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 |
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2015 Journal Article Contraction Options and Optimal Multiple-Stopping in Spectrally Negative Lévy ModelsYamazaki, 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 |
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2015 Journal Article An analytic recursive method for optimal multiple stopping: Canadization and phase-type fittingLeung, 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 |
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2015 Journal Article Optimality of doubly reflected Lévy processes in singular controlBaurdoux, 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 |
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2015 Journal Article Games of singular control and stopping driven by spectrally one-sided Lévy processesHernández-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 |
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2015 Journal Article Optimal multiple stopping with negative discount rate and random refraction times under lévy modelsLeung, 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 |
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2014 Journal Article Phase-type fitting of scale functions for spectrally negative Lévy processesEgami, 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 |
