Overview
Background
Kazutoshi Yamazaki is a senior lecturer at the School of Mathematics and Physics, the University of Queensland. Before joining UQ in April 2022, he was an assistant professor at Osaka University and an associate professor at Kansai University. He is an applied probabilist with contributions in the field of insurance and financial mathematics and operations research. He has organised various conferences including the Probability Theory and Stochastic Processes session at the 65th AustMS 2021 annual meeting. He is also one of the organisers of Mathematics of Risk 2022, a MATRIX event to be held in December 2022. Kazutoshi obtained his PhD in Operations Research and Financial Engineering from Princeton University in 2009.
Availability
- Dr Kazutoshi Yamazaki is:
- Available for supervision
Fields of research
Qualifications
- Doctor of Philosophy of Operations Research, Princeton University
- Member, Australian Mathematical Society, Australian Mathematical Society
Research interests
-
Stochastic processes, probability theory
-
Optimal stopping, stochastic control
-
Multi-armed bandit, sequential hypothesis testing, change-point detection
-
Insurance mathematics, mathematical finance, operations research
Works
Search Professor Kazutoshi Yamazaki’s works on UQ eSpace
2024
Journal Article
Optimal dividends and capital injection: A general Lévy model with extensions to regime-switching models
Mata 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
2024
Journal Article
Nonzero-Sum Optimal Stopping Game with Continuous vs. Periodic Exercise Opportunities
Pérez, 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
2024
Book Chapter
Lévy Bandits Under Poissonian Decision Times
Pérez, José-Luis and Yamazaki, Kazutoshi (2024). Lévy Bandits Under Poissonian Decision Times. 2021-2022 MATRIX Annals. (pp. 467-489) Cham, Switzerland: Springer. doi: 10.1007/978-3-031-47417-0_24
2024
Journal Article
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
2023
Journal Article
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
2023
Journal Article
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
2022
Journal Article
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
2021
Journal Article
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
2021
Journal Article
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
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
2021
Journal Article
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
2020
Journal Article
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
2020
Journal Article
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
2020
Journal Article
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
2019
Journal Article
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
2019
Journal Article
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
2018
Journal Article
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
2018
Journal Article
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
2018
Journal Article
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
2018
Journal Article
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, 33. doi: 10.3390/risks6020033
Supervision
Availability
- Dr Kazutoshi Yamazaki is:
- Available for supervision
Before you email them, read our advice on how to contact a supervisor.
Available projects
-
optimal stopping and its applications
-
mathematical finance and actuarial science
-
Multi-armed bandit, sequential hypothesis testing, change-point detection
Supervision history
Current supervision
-
Doctor Philosophy
Numerical methods for stochastic control problems in finance
Associate Advisor
Other advisors: Dr Duy-Minh Dang
Media
Enquiries
For media enquiries about Dr Kazutoshi Yamazaki's areas of expertise, story ideas and help finding experts, contact our Media team: