Kazutoshi Yamazaki

Kazutoshi Yamazaki is a Senior Lecturer in Financial Mathematics at the School of Mathematics and Physics, University of Queensland, a position he assumed in April 2022. Prior to joining UQ, he served as Associate Professor at Kansai University and Assistant Professor at Osaka University. Yamazaki earned his PhD in Operations Research and Financial Engineering from Princeton University in 2009. His earlier degrees include an MS in Computer Science from Brown University in 2004 and a BS in Applied Mathematics-Computer Science from Brown University in 2002. As an applied probabilist, he has made contributions in insurance mathematics, financial mathematics, and operations research. Yamazaki's research specializations encompass stochastic processes, probability theory, optimal stopping, stochastic control, multi-armed bandits, sequential hypothesis testing, and change-point detection. His work addresses key challenges in Lévy processes, optimal dividend and capital injection strategies, pricing of American options under Poissonian exercise opportunities, and fluctuation theory for level-dependent Lévy risk processes.

With 54 works listed in UQ eSpace spanning 2008 to 2025, Yamazaki maintains a strong publication record in top-tier journals. Prominent recent publications include 'Nonzero-sum optimal stopping game with continuous vs. periodic exercise opportunities' (Mathematics of Operations Research, 2025, with José Luis Pérez and Neofytos Rodosthenous), 'Refraction strategies in stochastic control: optimality for a general Lévy process model' (SIAM Journal on Control and Optimization, 2025, with Kei Noba and José Luis Pérez), 'On stochastic control under poissonian intervention: optimality of a barrier strategy in a general Lévy model' (Journal of Applied Probability, 2025, with Kei Noba), 'Optimal dividends and capital injection: a general Lévy model with extensions to regime-switching models' (Insurance: Mathematics and Economics, 2024, with Dante Mata López, Kei Noba, and José-Luis Pérez), 'The Gerber-Shiu discounted penalty function: a review from practical perspectives' (Insurance: Mathematics and Economics, 2023, with Yue He, Reiichiro Kawai, and Yasutaka Shimizu), and 'Double continuation regions for American options under Poisson exercise opportunities' (Mathematical Finance, 2021, with Zbigniew Palmowski and José Luis Pérez). Yamazaki has also organized the Probability Theory and Stochastic Processes session at the 65th Australian Mathematical Society annual meeting in 2021 and co-organized Mathematics of Risk 2022, a MATRIX event. He is a member of the Australian Mathematical Society.

Professional Email: k.yamazaki@uq.edu.au