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 in which actions are taken at random discrete times. The model consists of independent arms. When an arm is operated, it must remain act…
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…