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J-GLOBAL ID：201801018482358041   Update date: Sep. 19, 2024

Yamazaki Kazutoshi

Yamazaki Kazutoshi | Yamazaki Kazutoshi
Affiliation and department：
University of Queensland School of Mathematics and Physics

About University of Queensland School of Mathematics and Physics


Job title： Senior Lecturer
Other affiliations (1)：
Homepage URL  (1)： https://sites.google.com/site/kyamazak/
Research field  (1)： Statistical science
Research theme for competitive and other funds  (10)：
  • 2024 - 2028 Deciphering sewage microbiome by metagenomics for pioneering next generation sewer infrastructure systems
  • 2024 - 2028 Extension of the Sparre-Andersen Process Theory and its Applications
  • 2019 - 2023 Limit theorems for diffusions, Levy processes and their variants with their applications
  • 2020 - 2022 Numerical analysis of continuous branching process and applications in finance
  • 2017 - 2020 周期的観測下でのパリジャン反射戦略と動的最適化
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Papers (45)：
  • Dante Mata López, Kei Noba, José-Luis Pérez, Kazutoshi Yamazaki. Optimal dividends and capital injection: A general Lévy model with extensions to regime-switching models. Insurance: Mathematics and Economics. 2024. 119. 210-225
  • Hidekazu Yoshioka, Kazutoshi Yamazaki. A Jump Ornstein-Uhlenbeck Bridge Based on Energy-Optimal Control and Its Self-Exciting Extension. IEEE Control Systems Letters. 2023. 7. 1536-1541
  • Yue He, Reiichiro Kawai, Yasutaka Shimizu, Kazutoshi Yamazaki. The Gerber-Shiu discounted penalty function: A review from practical perspectives. Insurance: Mathematics and Economics. 2022. 109. 1-28
  • Kei Noba, Kazutoshi Yamazaki. On Singular Control for Lévy Processes. Mathematics of Operations Research. 2022. 48. 3. 1213-1234
  • Savas Dayanik, Kazutoshi Yamazaki. Detection and identification of changes of hidden Markov chains: asymptotic theory. Statistical Inference for Stochastic Processes. 2022
ｍore...
MISC (6)：
  • 山崎 和俊. レヴィー過程上の最適停止問題とその応用 (特集 最適停止とその応用). オペレーションズ・リサーチ. 2015. 60. 3. 144-149
  • Yamazaki Kazutoshi. A Note on Optimal Multiple Stopping in Spectrally Negative Levy Models (Financial Modeling and Analysis). RIMS Kokyuroku. 2014. 1886. 23-33
  • Insurance and Probability. 2014. 21. 1-4
  • EGAMI Masahiko, LEUNG Tim, YAMAZAKI Kazutoshi. 2-F-5 Default Swap Games. 2011. 2011. 286-287
  • 江上 雅彦, 山崎 和俊. 2-F-6 レヴィーモデルにおける自己資本量管理問題とその解法(信用リスク). 日本オペレーションズ・リサーチ学会秋季研究発表会アブストラクト集. 2011. 2011. 288-289
ｍore...
Education (3)：
  • 2004 - 2009 Princeton University Operations Research and Financial Engineering
  • 2002 - 2004 Brown University Computer Science
  • 1998 - 2002 Brown University Applied Mathematics-Computer Science
Professional career (1)：
  • Ph.D. (Princeton University)
Work history (8)：
  • 2023/08 - 現在 Osaka University
  • 2022/04 - 現在 University of Queensland School of Mathematics and Physics
  • 2014/04 - 2022/03 Kansai University Faculty of Engineering Science, Department of Mathematics Associate Professor
  • 2013/04 - 2014/03 Kansai University Faculty of Engineering Science, Department of Mathematics Assistant Professor
  • 2009/04 - 2013/03 Osaka University 金融・保険教育研究センター Assistant Professor
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Association Membership(s) (3)：
Australian Mathematical Society ,  日本金融・証券計量・工学学会 ,  THE OPERATIONS RESEARCH SOCIETY OF JAPAN
※ Researcher’s information displayed in J-GLOBAL is based on the information registered in researchmap. For details, see here.

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