Phase-type fitting of scale functions for spectrally negative Lévy processes
Egami, Masahiko, Yamazaki, Kazutoshi
Published in Journal of computational and applied mathematics (01.07.2014)
Published in Journal of computational and applied mathematics (01.07.2014)
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Journal Article
The Gerber-Shiu discounted penalty function: A review from practical perspectives
He, Yue, Kawai, Reiichiro, Shimizu, Yasutaka, Yamazaki, Kazutoshi
Published in Insurance, mathematics & economics (01.03.2023)
Published in Insurance, mathematics & economics (01.03.2023)
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Journal Article
Detection and identification of changes of hidden Markov chains: asymptotic theory
Dayanik, Savas, Yamazaki, Kazutoshi
Published in Statistical inference for stochastic processes : an international journal devoted to time series analysis and the statistics of continuous time processes and dynamic systems (01.07.2022)
Published in Statistical inference for stochastic processes : an international journal devoted to time series analysis and the statistics of continuous time processes and dynamic systems (01.07.2022)
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Journal Article
Double continuation regions for American options under Poisson exercise opportunities
Palmowski, Zbigniew, Pérez, José Luis, Yamazaki, Kazutoshi
Published in Mathematical finance (01.04.2021)
Published in Mathematical finance (01.04.2021)
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Journal Article
The Leland–Toft optimal capital structure model under Poisson observations
Palmowski, Zbigniew, Pérez, José Luis, Surya, Budhi Arta, Yamazaki, Kazutoshi
Published in Finance and stochastics (01.10.2020)
Published in Finance and stochastics (01.10.2020)
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Journal Article
On the refracted–reflected spectrally negative Lévy processes
Pérez, José-Luis, Yamazaki, Kazutoshi
Published in Stochastic processes and their applications (01.01.2018)
Published in Stochastic processes and their applications (01.01.2018)
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Journal Article
Optimal dividends in the dual model under transaction costs
Bayraktar, Erhan, Kyprianou, Andreas E., Yamazaki, Kazutoshi
Published in Insurance, mathematics & economics (01.01.2014)
Published in Insurance, mathematics & economics (01.01.2014)
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Journal Article
ON OPTIMAL DIVIDENDS IN THE DUAL MODEL
Bayraktar, Erhan, Kyprianou, Andreas E., Yamazaki, Kazutoshi
Published in ASTIN Bulletin : The Journal of the IAA (01.09.2013)
Published in ASTIN Bulletin : The Journal of the IAA (01.09.2013)
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Journal Article
Fluctuation theory for level-dependent Lévy risk processes
Czarna, Irmina, Pérez, José-Luis, Rolski, Tomasz, Yamazaki, Kazutoshi
Published in Stochastic processes and their applications (01.12.2019)
Published in Stochastic processes and their applications (01.12.2019)
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Journal Article
Optimality of doubly reflected Lévy processes in singular control
Baurdoux, Erik J., Yamazaki, Kazutoshi
Published in Stochastic processes and their applications (01.07.2015)
Published in Stochastic processes and their applications (01.07.2015)
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Journal Article
REFRACTION–REFLECTION STRATEGIES IN THE DUAL MODEL
Pérez, José-Luis, Yamazaki, Kazutoshi
Published in ASTIN Bulletin : The Journal of the IAA (01.01.2017)
Published in ASTIN Bulletin : The Journal of the IAA (01.01.2017)
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Journal Article
Optimality of multi-refraction control strategies in the dual model
Czarna, Irmina, Pérez, José-Luis, Yamazaki, Kazutoshi
Published in Insurance, mathematics & economics (01.11.2018)
Published in Insurance, mathematics & economics (01.11.2018)
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Journal Article
Asymptotically optimal Bayesian sequential change detection and identification rules
Dayanik, Savas, Powell, Warren B., Yamazaki, Kazutoshi
Published in Annals of operations research (01.09.2013)
Published in Annals of operations research (01.09.2013)
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Journal Article