44 citations · 231 across the 45 of their papers we have counts for
4 papers · 1 filter
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…
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…
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…
Optimal dividends in the dual model under transaction costs
Erhan Bayraktar, Andreas Kyprianou, Kazutoshi Yamazaki
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 optimal strategy is…