Kazutoshi Yamazaki

17 papers A* 1Journal 16
YearRankTypeTitle / Venue / Authors
2025 J jnl
Nonzero-Sum Optimal Stopping Game with Continuous vs. Periodic Exercise Opportunities.
Math. Oper. Res.
José-Luis Pérez, Neofytos Rodosthenous, Kazutoshi Yamazaki
2025 J jnl
On stochastic control under poissonian intervention: optimality of a barrier strategy in a general Lévy model.
J. Appl. Probab.
Kei Noba, Kazutoshi Yamazaki
2025 J jnl
Refraction Strategies in Stochastic Control: Optimality for a General Lévy Process Model.
SIAM J. Control. Optim.
Kei Noba, José-Luis Pérez, Kazutoshi Yamazaki
2024 J jnl
Correction to: Asymptotically optimal Bayesian sequential change detection and identification rules.
Ann. Oper. Res.
Savas Dayanik, Warren B. Powell, Kazutoshi Yamazaki
2024 A* conf
Fixed Confidence Best Arm Identification in the Bayesian Setting.
NeurIPS
Kyoungseok Jang, Junpei Komiyama, Kazutoshi Yamazaki
2024 J jnl
Fixed Confidence Best Arm Identification in the Bayesian Setting.
CoRR
Kyoungseok Jang, Junpei Komiyama, Kazutoshi Yamazaki
2023 J jnl
A Jump Ornstein-Uhlenbeck Bridge Based on Energy-Optimal Control and Its Self-Exciting Extension.
IEEE Control. Syst. Lett.
Hidekazu Yoshioka, Kazutoshi Yamazaki
2023 J jnl
On Singular Control for Lévy Processes.
Math. Oper. Res.
Kei Noba, Kazutoshi Yamazaki
2021 J jnl
Effects of Positive Jumps of Assets on Endogenous Bankruptcy and Optimal Capital Structure: Continuous- and Periodic-Observation Models.
SIAM J. Financial Math.
Dante Mata López, José-Luis Pérez, Kazutoshi Yamazaki
2020 J jnl
Optimal Periodic Replenishment Policies for Spectrally Positive Lévy Demand Processes.
SIAM J. Control. Optim.
José-Luis Pérez, Kazutoshi Yamazaki, Alain Bensoussan
2018 J jnl
On optimal periodic dividend and capital injection strategies for spectrally negative Lévy models.
J. Appl. Probab.
Kei Noba, José-Luis Pérez, Kazutoshi Yamazaki, Kouji Yano
2018 J jnl
On the Bail-Out Optimal Dividend Problem.
J. Optim. Theory Appl.
José-Luis Pérez, Kazutoshi Yamazaki, Xiang Yu
2017 J jnl
Inventory Control for Spectrally Positive Lévy Demand Processes.
Math. Oper. Res.
Kazutoshi Yamazaki
2016 J jnl
Optimality of Refraction Strategies for Spectrally Negative Lévy Processes.
SIAM J. Control. Optim.
Daniel Hernández-Hernández, José-Luis Pérez, Kazutoshi Yamazaki
2015 J jnl
Optimal Multiple Stopping with Negative Discount Rate and Random Refraction Times under Lévy Models.
SIAM J. Control. Optim.
Tim Leung, Kazutoshi Yamazaki, Hongzhong Zhang
2014 J jnl
Phase-type fitting of scale functions for spectrally negative Lévy processes.
J. Comput. Appl. Math.
Masahiko Egami, Kazutoshi Yamazaki
2013 J jnl
Asymptotically optimal Bayesian sequential change detection and identification rules.
Ann. Oper. Res.
Savas Dayanik, Warren B. Powell, Kazutoshi Yamazaki