Search Results - "Yamazaki, Kazutoshi"

Inventory Control for Spectrally Positive Lévy Demand Processes by Yamazaki, Kazutoshi

“…A new approach to solve the continuous-time stochastic inventory problem using the fluctuation theory of Lévy processes is developed. This approach involves…”
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Phase-type fitting of scale functions for spectrally negative Lévy processes by Egami, Masahiko, Yamazaki, Kazutoshi

“…We study the scale function of the spectrally negative phase-type Lévy process. Its scale function admits an analytical expression and so do a number of its…”
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The Gerber-Shiu discounted penalty function: A review from practical perspectives by He, Yue, Kawai, Reiichiro, Shimizu, Yasutaka, Yamazaki, Kazutoshi

“…The Gerber-Shiu function provides a unified framework for the evaluation of a variety of risk quantities. Ever since its establishment, it has attracted…”
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Contraction Options and Optimal Multiple-Stopping in Spectrally Negative Lévy Models by Yamazaki, Kazutoshi

“…This paper studies the optimal multiple-stopping problem arising in the context of the timing option to withdraw from a project in stages. The profits are…”
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Detection and identification of changes of hidden Markov chains: asymptotic theory by Dayanik, Savas, Yamazaki, Kazutoshi

“…This paper revisits a unified framework of sequential change-point detection and hypothesis testing modeled using hidden Markov chains and develops its…”
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On the optimality of periodic barrier strategies for a spectrally positive Lévy process by Pérez, José-Luis, Yamazaki, Kazutoshi

“…We study the optimal dividend problem in the dual model where dividend payments can only be made at the jump times of an independent Poisson process. In this…”
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Double continuation regions for American options under Poisson exercise opportunities by Palmowski, Zbigniew, Pérez, José Luis, Yamazaki, Kazutoshi

“…We consider the Lévy model of the perpetual American call and put options with a negative discount rate under Poisson observations. Similar to the continuous…”
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The Leland–Toft optimal capital structure model under Poisson observations by Palmowski, Zbigniew, Pérez, José Luis, Surya, Budhi Arta, Yamazaki, Kazutoshi

“…This paper revisits the optimal capital structure model with endogenous bankruptcy, first studied by Leland (J. Finance 49:1213–1252, 1994 ) and Leland and…”
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On the refracted–reflected spectrally negative Lévy processes by Pérez, José-Luis, Yamazaki, Kazutoshi

“…We study a combination of the refracted and reflected Lévy processes. Given a spectrally negative Lévy process and two boundaries, it is reflected at the lower…”
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Optimality of Hybrid Continuous and Periodic Barrier Strategies in the Dual Model by Pérez, José-Luis, Yamazaki, Kazutoshi

“…Avanzi et al. (ASTIN Bull 46(3): 709–746, 2016 ) recently studied an optimal dividend problem where dividends are paid both periodically and continuously with…”
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Optimal dividends in the dual model under transaction costs by Bayraktar, Erhan, Kyprianou, Andreas E., Yamazaki, Kazutoshi

“…We analyze the optimal dividend payment problem in the dual model under constant transaction costs. We show, for a general spectrally positive Lévy process, an…”
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Optimality of doubly reflected Lévy processes in singular control by Baurdoux, Erik J., Yamazaki, Kazutoshi

“…We consider a class of two-sided singular control problems. A controller either increases or decreases a given spectrally negative Lévy process so as to…”
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Optimality of multi-refraction control strategies in the dual model by Czarna, Irmina, Pérez, José-Luis, Yamazaki, Kazutoshi

“…We consider the multi-refraction strategies in two equivalent versions of the optimal dividend problem in the dual (spectrally positive Lévy) model. The first…”
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Mixed periodic-classical barrier strategies for Lévy risk processes by Pérez, José-Luis, Yamazaki, Kazutoshi

“…Given a spectrally-negative Lévy process and independent Poisson observation times, we consider a periodic barrier strategy that pushes the process down to a…”
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Asymptotically optimal Bayesian sequential change detection and identification rules by Dayanik, Savas, Powell, Warren B., Yamazaki, Kazutoshi

“…We study the joint problem of sequential change detection and multiple hypothesis testing. Suppose that the common distribution of a sequence of i.i.d. random…”
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On optimal joint reflective and refractive dividend strategies in spectrally positive Lévy models by Avanzi, Benjamin, Pérez, José-Luis, Wong, Bernard, Yamazaki, Kazutoshi

“…The expected present value of dividends is one of the classical stability criteria in actuarial risk theory. In this context, numerous papers considered…”
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Games of singular control and stopping driven by spectrally one-sided Lévy processes by Hernández-Hernández, Daniel, Yamazaki, Kazutoshi

“…We study a zero-sum game where the evolution of a spectrally one-sided Lévy process is modified by a singular controller and is terminated by the stopper. The…”
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On the Continuous and Smooth Fit Principle for Optimal Stopping Problems in Spectrally Negative Lévy Models by Egami, Masahiko, Yamazaki, Kazutoshi

“…We consider a class of infinite time horizon optimal stopping problems for spectrally negative Lévy processes. Focusing on strategies of threshold type, we…”
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On optimal periodic dividend and capital injection strategies for spectrally negative Lévy models by Noba, Kei, Pérez, José-Luis, Yamazaki, Kazutoshi, Yano, Kouji

“…De Finetti’s optimal dividend problem has recently been extended to the case when dividend payments can be made only at Poisson arrival times. In this paper we…”
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American step-up and step-down default swaps under Lévy models by Leung, Tim, Yamazaki, Kazutoshi

“…This paper studies the valuation of a class of default swaps with the embedded option to switch to a different premium and notional principal anytime prior to…”
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