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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 |
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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 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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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 Conference Publication Optimality of two-parameter strategies in stochastic controlYamazaki, 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 |
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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 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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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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2016 Conference Publication Cash Management and Control Band Policies for Spectrally One-sided Lévy ProcessesYamazaki, 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 |
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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 |
