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
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Stochastic processes, probability theory
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Optimal stopping, stochastic control
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Multi-armed bandit, sequential hypothesis testing, change-point detection
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Insurance mathematics, mathematical finance, operations research
Works
Search Professor Kazutoshi Yamazaki’s works on UQ eSpace
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
2018
Journal Article
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
2018
Journal Article
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
2018
Journal Article
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
2018
Journal Article
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
2018
Conference Publication
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
2017
Journal Article
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
2017
Journal Article
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
2017
Journal Article
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
2017
Journal Article
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
2017
Journal Article
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
2016
Conference Publication
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
2016
Journal Article
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
2015
Journal Article
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
2015
Journal Article
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
2015
Journal Article
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
Supervision
Availability
- Dr Kazutoshi Yamazaki is:
- Available for supervision
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Available projects
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optimal stopping and its applications
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mathematical finance and actuarial science
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Multi-armed bandit, sequential hypothesis testing, change-point detection
Supervision history
Current supervision
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Doctor Philosophy
L\'{e}vy Processes: Theory and Applications
Principal Advisor
Other advisors: Professor Dirk Kroese
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Doctor Philosophy
Numerical methods for stochastic control problems in finance
Associate Advisor
Other advisors: Dr Duy-Minh Dang
Media
Enquiries
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