3 papers
math.OC2026
Continuous-time multi-armed bandits under random intervention times
Kei Noba, José Luis Pérez, Kazutoshi Yamazaki +1
This paper examines multi-armed bandits with independent arms in which actions are taken at random discrete times. When an arm is operated, it must remain active for a renewal…
math.OC2025
An Inventory System with Two Supply Modes and Lévy Demand
José Luis Pérez, Kazutoshi Yamazaki, Qingyuan Zhang
This study considers a continuous-review inventory model for a single item with two replenishment modes. Replenishments may occur continuously at any time with a higher unit cost,…
math.OC2025
Optimal Periodic Double-Barrier Strategies for Spectrally Negative Lévy Processes
Kazutoshi Yamazaki, Qingyuan Zhang
We study a stochastic control problem where the underlying process follows a spectrally negative Lévy process. A controller can continuously increase the process but only decrease…