44 citations · 231 across the 45 of their papers we have counts for
Showing 2013 · math.OCShow all
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math.OC2013
Asymptotic theory of sequential detection and identification in the hidden Markov models
Savas Dayanik, Kazutoshi Yamazaki
We consider a unified framework of sequential change-point detection and hypothesis testing modeled by means of hidden Markov chains. One observes a sequence of random variables wh…
math.OC2013
Games of singular control and stopping driven by spectrally one-sided Levy processes
Daniel Hernandez-Hernandez, Kazutoshi Yamazaki
We study a zero-sum game where the evolution of a spectrally one-sided Levy process is modified by a singular controller and is terminated by the stopper. The singular controller m…
math.OC2013★ 10 cited
Inventory Control for Spectrally Positive Levy Demand Processes
Kazutoshi Yamazaki
A new approach to solve the continuous-time stochastic inventory problem using the fluctuation theory of Levy processes is developed. This approach involves the recent developments…