Kazutoshi Yamazaki

Kazutoshi Yamazaki is a senior lecturer at the School of Mathematics and Physics, the University of Queensland. Before joining UQ in April 2022, he was an assistant professor at Osaka University and an associate professor at Kansai University. He is an applied probabilist with contributions in the field of insurance and financial mathematics and operations research. He has organised various conferences including the Probability Theory and Stochastic Processes session at the 65th AustMS 2021 annual meeting. He is also one of the organisers of Mathematics of Risk 2022, a MATRIX event to be held in December 2022. Kazutoshi obtained his PhD in Operations Research and Financial Engineering from Princeton University in 2009. Stochastic processes, probability theory; Optimal stopping, stochastic control; Multi-armed bandit, sequential hypothesis testing, change-point detection; Insurance mathematics, mathematical finance, operations research

[2026] De Finetti’s problem with fixed transaction costs and regime switching. SIAM Journal on Control and Optimization, 64 (3), 1210-1234. [2026] Optimal periodic–classical barrier strategies for spectrally negative Lévy processes. Journal of Applied Probability, 63 (3), 1-27. [2026] Mathematical modeling of rainfall and fish migration in a canal. Stochastic Analysis and Control in Energy, Environmental and Resource Management Applications. (pp. 137-159) Elsevier. [2025] Nonzero-sum optimal stopping game with continuous vs. periodic exercise opportunities. Mathematics of Operations Research, 50 (3), 1832-1867. [2025] Refraction strategies in stochastic control: optimality for a general Lévy process model. SIAM Journal on Control and Optimization, 63 (2), 727-751. [2025] A jump‐driven self