Kazuhiro YASUDA

Expected power utility maximization of insurers 

Asia-Pacific Financial Markets, 31 543-577, Sep, 2024  Peer-reviewed

An expected exponential utility maximization problem for Bitcoin miners 

Japan Journal of Industrial and Applied Mathematics, 41(1) 521-543, Jan, 2024  Peer-reviewed

Effect of Zero-cost Interval in Running Cost for Stochastic Impulse Control Problems 

Transactions of the Institute of Systems, Control and Information Engineers, 32(8) 301-308, Aug, 2019  Peer-reviewed

Classical and restricted impulse control for the exchange rate under a stochastic trend model 

Journal of Economic Dynamics and Control, 91 369-390, Jun 1, 2018  Peer-reviewed

Expected exponential utility maximization of insurers with a Linear Gaussian stochastic factor model 

Scandinavian Actuarial Journal, 2018(5) 357-378, May 28, 2018  Peer-reviewed

Tuning of a Bayesian Estimator under Discrete Time Observations and Unknown Transition Density 

Theory of Stochastic Processes, 23(39)(1) 18-52, 2018  Peer-reviewed

Weak rate of convergence of the Euler-Maruyama scheme for stochastic differential equations with non-regular drift 

Journal of Computational and Applied Mathematics, 326 138-158, Dec, 2017  Peer-reviewed

On Malliavin Sensitivity Analysis with Polynomial Growth Payoff Functions under the Black-Scholes Model 

JSIAM Letters, 9 1-4, Feb, 2017  Peer-reviewed

On Classical and Restricted Impulse Stochastic Control for the Exchange Rate 

Applied Mathematics and Optimization, 74(2) 423-454, Oct, 2016  Peer-reviewed

Effects on Hedging Errors of First-to-Default Swap from Parameter Estimation Errors 

Proceedings of the 47th ISCIE International Symposium on Stochastic Systems Theory and Its Applications (electronic proceedings), 154-163, May, 2016  Peer-reviewed

Numerical Comparisons of Expected Log-Utility Maximization Problem with a Factor Model under Several Situations 

Proceedings of the 47th ISCIE International Symposium on Stochastic Systems Theory and Its Applications (electronic proceedings), 189-195, May, 2016  Peer-reviewed

On Effects of Estimations and Information for Expected Log-Utility Maximization Problems 

Proceedings of the 45th ISCIE International Symposium on Stochastic Systems Theory and Its Applications (electronic proceedings), 90-99, Aug, 2014  

Strong Consistency of Bayesian Estimator for the Ornstein-Uhlenbeck Process 

Inspired by Finance, 411-438, Nov, 2013  Peer-reviewed

An Ornstein-Uhlenbeck Type Process which Satisfies Sufficient Conditions for a Simulation-Based Filtering Procedure 

Malliavin Calculus and Stochastic Analysis, 34 173-194, Mar, 2013  Peer-reviewed

Some Numerical Results of Sensitivity Analysis for Expected Values w.r.t. Linear SDE with Long Memory 

Proceedings of the 43rd ISCIE International Symposium on Stochastic Systems Theory and Its Application (CD-ROM), paper no. SB1-4 (9 pages), May, 2012  Peer-reviewed

Testing for Levy Type Jumps in Japanese Stock Market under the Financial Crisis Using High-Frequency Data 

International Journal of Innovative Computing Information and Control, 8(3B) 2215-2223, Mar, 2012  Peer-reviewed