5 citations · 5 across the 5 of their papers we have counts for
7 papers
An arbitrage driven price dynamics of Automated Market Makers in the presence of fees
Joseph Najnudel, Shen-Ning Tung, Kazutoshi Yamazaki +1
We present a model for price dynamics in the Automated Market Makers (AMM) setting. Within this framework, we propose a reference market price following a geometric Brownian motion…
Refraction strategies in stochastic control: optimality for a general Lévy process model
Kei Noba, José Luis Pérez, Kazutoshi Yamazaki
We revisit an absolutely-continuous version of the stochastic control problem driven by a Lévy process. A strategy must be absolutely continuous with respect to the Lebesgue measur…
A Jump Ornstein-Uhlenbeck Bridge Based on Energy-optimal Control and Its Self-exciting Extension
Hidekazu Yoshioka, Kazutoshi Yamazaki
We study a version of the Ornstein-Uhlenbeck bridge driven by a spectrally-positive subordinator. Our formulation is based on a Linear-Quadratic control subject to a singular termi…
Lévy bandits under Poissonian decision times
José-Luis Pérez, Kazutoshi Yamazaki
We consider a version of the continuous-time multi-armed bandit problem where decision opportunities arrive at Poisson arrival times, and study its Gittins index policy. When drive…
Phase-type Approximation of the Gerber-Shiu Function
Kazutoshi Yamazaki
The Gerber-Shiu function provides a way of measuring the risk of an insurance company. It is given by the expected value of a function that depends on the ruin time, the deficit at…
Optimal double stopping of a Brownian bridge
Erik J. Baurdoux, Nan Chen, Budhi A. Surya +1
We study optimal double stopping problems driven by a Brownian bridge. The objective is to maximize the expected spread between the payoffs achieved at the two stopping times. We s…