• Search Research Projects
  • Search Researchers
  • How to Use
  1. Back to previous page

ANALYSIS ON DYNAMICAL DECISION MAKING UNDER UNCERTAINTY AND ITS APPLICATIONS

Research Project

Project/Area Number 13440037
Research Category

Grant-in-Aid for Scientific Research (B)

Allocation TypeSingle-year Grants
Section一般
Research Field General mathematics (including Probability theory/Statistical mathematics)
Research InstitutionTHE UNIVERSITY OF KITAKYUSHU

Principal Investigator

YOSHIDA Yuji  THE UNIV.OF KITAKYUSHU, ECONOMICS, PROFESSOR, 経済学部, 教授 (90192426)

Co-Investigator(Kenkyū-buntansha) YASUDA Masami  CHIBA UNIVERSITY, MATHEMATICS, PROFESSOR, 理学部, 教授 (00041244)
KURANO Masami  CHIBA UNIVERSITY, EDUCATION, PROFESSOR, 教育学部, 教授 (70029487)
NAKAGAMI Jun-ichi  CHIBA UNIVERSITY, MATHEMATICS, PROFESSOR, 理学部, 教授 (30092076)
IWAMOTO Seiichi  KYUSHU UNIVERSITY, ECONOMICS, PROFESSOR, 大学院・経済学研究院, 教授 (90037284)
KUMAMOTO Satoru  THE UNIV.OF KITAKYUSHU, ECONOMICS, ASS.PROFESSOR, 経済学部, 助教授 (00254623)
HIRAYAMA Katsumi  THE UNIV.OF KITAKYUSHU, ECONOMICS, ASS.PROFESSOR (00336950)
桑野 裕昭  金沢学院大学, 経営情報学部, 助教授 (30279864)
Project Period (FY) 2001 – 2004
Project Status Completed (Fiscal Year 2004)
Budget Amount *help
¥14,500,000 (Direct Cost: ¥14,500,000)
Fiscal Year 2004: ¥3,200,000 (Direct Cost: ¥3,200,000)
Fiscal Year 2003: ¥3,400,000 (Direct Cost: ¥3,400,000)
Fiscal Year 2002: ¥3,400,000 (Direct Cost: ¥3,400,000)
Fiscal Year 2001: ¥4,500,000 (Direct Cost: ¥4,500,000)
KeywordsFuzzy decision processes / Decision making / Dynamic programming / Financial engineering / Perception / Fuzzy preferences / Optimal stopping / Zero-sum game / ファジィ確率過程 / ファジィ理論 / ポートフォリオ / ファジイ確立過程 / 不変埋没原理 / ゲーム理論 / 意思決定 / 不変理没原理
Research Abstract

The aim of this research is analysis of the mathematical structure of fuzzy decision processes under uncertainty and its application to financial engineering. The main results are as follows.
(i)Optimal stopping processes in uncertain (stochastic and fuzzy) environments are studied.
(ii)Fuzzy treatments of Markov decision processes with perception are analyzed.
(iii)Zero-sum games regarding stopping/decision making in fuzzy systems are developed.
(iv)Multi-object decision making with stopping times and ordering in decision-making problems under fuzziness are discussed in uncertain environments.
(v)For these applications, American and European option models in uncertain environments are established. The reliability intervals of option prices in uncertain environments are obtained. Portfolio problems are also developed under the same conditions.
(vi)Estimation and decision making with fuzzy preferences are discussed.
These results are published by books Lecture Notes series in Springer and Birk … More hauser and by the following international journals: Fuzzy Sets and Systems, Information Sciences, European Journal of Operational Research, J. Math. Anal. Appl., J. Nonlinear Convex Analysis, Math. and Comp. Modelling, Comp. & Math. Appl., Fuzzy Optimization and Decision Making and so on. We have also presented some results at the following international conferences and workshops: SCI 2001 (Orlando in USA), IFSA/NAFIPS 2001 (Vancouver in Canada), NACA 2001 (Hirosaki), FSS 2001 (Tokyo), KES 2001 (Osaka), INFORMS 2001 (Miamiin USA), FUZZ-IEEE 2001 (Melbourne in Australia), MOPGP 2002 (Nara), IPMU 2002 (Annecy in France), IFORS 2002 (Edinburgh), OSSG 2002 (Bedlewoin in Poland), NGRA 2002 (Petrozavodsk in Russia), 9BC (Beijin in China), NACA 2002 (Hirosaki), SMPS 2002 (Warsaw in Poland), KES 2002 (Crema in Italy), Risk SM 2002 (Chamonix in France), FSKD 2002 (Singapore), IFSA 2003 (Istanbul in Turkey), EURO/INFORMS 2003 (Istanbul in Turkey), NACA 2003 (Tokyo), FUBUTEC2004 (Fontainebleau in France), IPMU2004 (Perugia in Italy), FUZZ-IEEE 2004 (Budapest in Hungary), MDAI2004 (Barcelona in Spain), KES2004 (Wellington in New Zealand) and so on. We have also held a workshop every year in the University of Kitakyushu or Chiba University.
In this research, we have analyzed the mathematical structure of decision making on dynamic systems under uncertainty and we have obtained its application to decision making in economics, management science and financial engineering. We appreciate for several professor's support to this topic : Prof.E.E.Kerre (Ghent University in Belgium), Prof.J.Kacprzyk (Polish Academy of Sciences), Prof.M.Sniedovich (University of Melbourne in Australia) etc.. Less

Report

(5 results)
  • 2004 Annual Research Report   Final Research Report Summary
  • 2003 Annual Research Report
  • 2002 Annual Research Report
  • 2001 Annual Research Report
  • Research Products

    (104 results)

All 2005 2004 2003 2002 2001 Other

All Journal Article (64 results) Book (2 results) Publications (38 results)

  • [Journal Article] Stopping Game Problem for Dynamic Fuzzy Systems2005

    • Author(s)
      Yuji Yoshida, Masami Yasuda, Masami Kurano, Jun-ichi Nakagami
    • Journal Title

      Advances in Dynamic Games : Applications to Economics, Finance, Optimization, and Stochastic Control (edited by A.S.Nowak, K.Szajowski) (Birkhauser Boston)

      Pages: 211-221

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      2004 Final Research Report Summary
  • [Journal Article] A Fuzzy Stopping Problem with the Concept of Perception : The Finite and Infinite Horizon Cases2004

    • Author(s)
      蔵野正美(共著)
    • Journal Title

      J.Nonlinear Convex Analysis 5・3

      Pages: 233-244

    • Description
      「研究成果報告書概要(和文)」より
    • Related Report
      2004 Annual Research Report 2004 Final Research Report Summary
  • [Journal Article] A Fuzzy Stopping Problem with the Concept of Perception2004

    • Author(s)
      蔵野正美(共著)
    • Journal Title

      Fuzzy Optimization and Decision Making 第3巻

      Pages: 367-374

    • Description
      「研究成果報告書概要(和文)」より
    • Related Report
      2004 Annual Research Report 2004 Final Research Report Summary
  • [Journal Article] Stochastic Optimization of Forward Recursive Functions2004

    • Author(s)
      岩本誠一
    • Journal Title

      J.of Mathematical Analysis and Applications 253・1

      Pages: 74-83

    • Description
      「研究成果報告書概要(和文)」より
    • Related Report
      2004 Annual Research Report 2004 Final Research Report Summary
  • [Journal Article] Decision Making in a Dynamic System based on Aggregated Fuzzy Preferences2004

    • Author(s)
      吉田祐治
    • Journal Title

      Lecture Notes in Artificial Intelligence ‘Modeling Decisions for Artificial Intelligence - MDAI2004' (Springer) 第3131巻

      Pages: 239-251

    • Description
      「研究成果報告書概要(和文)」より
    • Related Report
      2004 Final Research Report Summary
  • [Journal Article] A Mean Estimation of Fuzzy Numbers by Evaluation Measures2004

    • Author(s)
      吉田祐治
    • Journal Title

      Lecture Notes in Artificial Intelligence ‘Knowledge-Based Intelligent Information and Engineering Systems, Part II' (Springer) 第3214巻

      Pages: 1222-1229

    • Description
      「研究成果報告書概要(和文)」より
    • Related Report
      2004 Annual Research Report 2004 Final Research Report Summary
  • [Journal Article] An Objective Function based on Fuzzy Preferences in Dynamic Decision Making2004

    • Author(s)
      吉田祐治(共著)
    • Journal Title

      Lecture Notes in Artificial Intelligence ‘Knowledge-Based Intelligent Information and Engineering Systems, Part II' (Springer) 第3214巻

      Pages: 1230-1236

    • Description
      「研究成果報告書概要(和文)」より
    • Related Report
      2004 Annual Research Report 2004 Final Research Report Summary
  • [Journal Article] European Call Options under Uncertainty2004

    • Author(s)
      吉田祐治
    • Journal Title

      Proceedings of the 1st Conf.On Future Business Technologies 2004 (FUBUTEC2004) 第1巻

      Pages: 40-44

    • Description
      「研究成果報告書概要(和文)」より
    • Related Report
      2004 Final Research Report Summary
  • [Journal Article] Dynamic Decision Making based on Fuzzy Preferences2004

    • Author(s)
      吉田祐治(共著)
    • Journal Title

      Proceedings of the 10th Inter.Conf.on Inform.Processing and Manag.of Uncertainty in Knowledge-Based Syst.2004 (IPMU2004) 第1巻

      Pages: 411-418

    • Description
      「研究成果報告書概要(和文)」より
    • Related Report
      2004 Final Research Report Summary
  • [Journal Article] Decision Making with an Objective Function based on Fuzzy Preferences2004

    • Author(s)
      吉田祐治(共著)
    • Journal Title

      Proceedings of the 11th IEEE Intern.Conf.on Fuzzy Systems 2004 (FUZZ-IEEE 2004) 第2巻

      Pages: 777-782

    • Description
      「研究成果報告書概要(和文)」より
    • Related Report
      2004 Final Research Report Summary
  • [Journal Article] Primitive Dynamic Programming2004

    • Author(s)
      岩本誠一
    • Journal Title

      Bulletin of Informatics and Cybernetics 第36巻

      Pages: 163-172

    • NAID

      120001014481

    • Description
      「研究成果報告書概要(和文)」より
    • Related Report
      2004 Annual Research Report 2004 Final Research Report Summary
  • [Journal Article] A Fuzzy Stopping Problem with the Concept of Perception : The Finite and Infinite Horizon Cases2004

    • Author(s)
      Masami Kurano, Masami Yasuda, Jun-ichi Nakagami, Yuji Yoshida
    • Journal Title

      J.Nonlinear Convex Analysis Vol.5,No.3

      Pages: 233-244

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      2004 Final Research Report Summary
  • [Journal Article] A Fuzzy Stopping Problem with the Concept of Perception2004

    • Author(s)
      Masami Kurano, Masami Yasuda, Jun-ichi Nakagami, Yuji Yoshida
    • Journal Title

      Fuzzy Optimization and Decision Making Vol.3

      Pages: 367-374

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      2004 Final Research Report Summary
  • [Journal Article] Stochastic Optimization of Forward Recursive Functions2004

    • Author(s)
      Seiichi Iwamoto
    • Journal Title

      J.of Mathematical Analysis and Applications Vol.253,No.1

      Pages: 74-83

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      2004 Final Research Report Summary
  • [Journal Article] Recursive Methods in Probability Control2004

    • Author(s)
      Seiichi Iwamoto
    • Journal Title

      Advances in Mathematical Economics Vol.6,No.1

      Pages: 55-68

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      2004 Final Research Report Summary
  • [Journal Article] European Call Options under Uncertainty2004

    • Author(s)
      Yuji Yoshida
    • Journal Title

      Proceedings of the 1st Conference on Future Business Technologies (FUBUTEC 2004) Vol.1

      Pages: 40-44

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      2004 Final Research Report Summary
  • [Journal Article] Dynamic Decision Making based on Fuzzy Preferences2004

    • Author(s)
      Yuji Yoshida, Masami Yasuda, Jun-ichi Nakagami, Masami Kurano, Satoru Kumamoto
    • Journal Title

      Proceedings of 10th Intern.Conf.on Information Processing and Management of Uncertainty in Knowledge-Based Systems, IPMU2004 Vol.1

      Pages: 411-418

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      2004 Final Research Report Summary
  • [Journal Article] Decision Making with an Objective Function based on Fuzzy Preferences2004

    • Author(s)
      Yuji Yoshida, Masami Yasuda, Jun-ichi Nakagami, Masami Kurano, Satoru Kumamoto
    • Journal Title

      Proceedings of 11^<th> to IEEE Intern.Conf.on Fuzzy Systems, FUZZ-IEEE 2004 (IEEE Press) Vol.2

      Pages: 777-782

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      2004 Final Research Report Summary
  • [Journal Article] Decision Making in a Dynamic System based on Aggregated Fuzzy Preferences2004

    • Author(s)
      Yuji Yoshida
    • Journal Title

      Lecture Notes AI 3131 : Modeling Decisions for Artificial Intelligence -MDAI200 (Springer)

      Pages: 239-251

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      2004 Final Research Report Summary
  • [Journal Article] A Mean Estimation of Fuzzy Numbers by Evaluation Measures2004

    • Author(s)
      Yuji Yoshida
    • Journal Title

      Lecture Notes AI 3214 : Knowledge-Based Intelligent Information and Engineering Systems, Part II (Springer)

      Pages: 1222-1229

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      2004 Final Research Report Summary
  • [Journal Article] An Objective Function based on Fuzzy Preferences in Dynamic Decision Making2004

    • Author(s)
      Yuji Yoshida, Masami Yasuda, Jun-ichi Nakagami, Masami Kurano, Satoru Kumamoto
    • Journal Title

      Lecture Notes AI 3214 : Knowledge-Based Intelligent Information and Engineering Systems, Part II (Springer)

      Pages: 1230-1236

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      2004 Final Research Report Summary
  • [Journal Article] Decision Making in a Dynamic System based on Aggregated Fuzzy Preferences2004

    • Author(s)
      吉田祐治
    • Journal Title

      Lecture Notes in Artificial Intelligence ‘Modeling Decisions for Artificial Intelligence -MDAI2004'(Springer) 第3131巻

      Pages: 239-251

    • Related Report
      2004 Annual Research Report
  • [Journal Article] European Call Options unde Uncertainty2004

    • Author(s)
      吉田祐治
    • Journal Title

      Proceedings of the 1st Conf. On Future Business Technologies 2004 (FUBUTEC2004) 第1巻

      Pages: 40-44

    • Related Report
      2004 Annual Research Report
  • [Journal Article] Dynamic Decision Making based on Fuzzy Preferences2004

    • Author(s)
      吉田祐治(共著)
    • Journal Title

      Proceedings of the 10th Inter. Conf. on Inform. Processing and Manag. of Uncertainty in Knowledge-Based Syst. 2004 (IPMU2004) 第1巻

      Pages: 411-418

    • Related Report
      2004 Annual Research Report
  • [Journal Article] Decision Making with an Objective Function based on Fuzzy Preferences2004

    • Author(s)
      吉田祐治(共著)
    • Journal Title

      Proceedings of the 11th IEEE Intern.Conf. on Fuzzy Systems 2004(FUZZ-IEEE 2004) 第2巻

      Pages: 777-782

    • Related Report
      2004 Annual Research Report
  • [Journal Article] A Discrete-Time European Options Model under Uncertainty in Financial Engineering2003

    • Author(s)
      Yuji Yoshida
    • Journal Title

      Multi-Objective Programming and Goal-Programming' (edited by T.Tanino, T, Tanaka, M.Inuiguchi)(Springer, Heidelberg)

      Pages: 415-420

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      2004 Final Research Report Summary
  • [Journal Article] The Valuation of European Options in Uncertain Environment2003

    • Author(s)
      Yuji Yoshida
    • Journal Title

      European Journal of Operational Research Vol.145,No.1

      Pages: 221-229

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      2004 Final Research Report Summary
  • [Journal Article] A Discrete-Time Model of American Put Option in an Uncertain Environment2003

    • Author(s)
      Yuji Yoshida
    • Journal Title

      European Journal of Operational Research Vol.151,No.1

      Pages: 153-166

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      2004 Final Research Report Summary
  • [Journal Article] Markov Decision Processes with Fuzzy Rewards2003

    • Author(s)
      Masami Kurano, Masami Yasuda, Jun-ichi Nakagami, Yuji Yoshida
    • Journal Title

      J.Nonlinear Convex Analysis Vol.4,No.1

      Pages: 105-115

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      2004 Final Research Report Summary
  • [Journal Article] Continuous-Time Fuzzy Decision Processes with Discounted Rewards2003

    • Author(s)
      Yuji Yoshida
    • Journal Title

      Fuzzy Sets and Systems Vol.139,No.2

      Pages: 333-348

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      2004 Final Research Report Summary
  • [Journal Article] Fuzzy Stopping Problems in a Continuous-Time Fuzzy Stochastic System2003

    • Author(s)
      Yuji Yoshida, Masami Yasuda, Jun-ichi Nakagami, Masami Kurano
    • Journal Title

      Fuzzy Sets and Systems Vol.139,No.2

      Pages: 349-362

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      2004 Final Research Report Summary
  • [Journal Article] A Multi-Objective Optimal Stopping Problem in a Stochastic and Fuzzy Environment2003

    • Author(s)
      Yuji Yoshida, Masami Yasuda, Jun-ichi Nakagami, Masami Kurano
    • Journal Title

      Computers and Mathematics with Applications Vol.46,No.7

      Pages: 1165-1172

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      2004 Final Research Report Summary
  • [Journal Article] A Discrete-Time Portfolio Selection with Uncertainty of Stock Prices2003

    • Author(s)
      Yuji Yoshida, Masami Yasuda, Jun-ichi Nakagami, Masami Kurano
    • Journal Title

      Lecture Notes in Artificial Intelligence 2715 : Fuzzy Sets and Systems - IFSA2003 (Springer)

      Pages: 245-252

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      2004 Final Research Report Summary
  • [Journal Article] Markov Decision Processes with Fuzzy Rewards2003

    • Author(s)
      Masami Kurano, Masami Yasuda, Jun-ichi Nakagami, Yuji Yoshida
    • Journal Title

      Proceedings of Inter.Conf.on Nonlinear Analysis and Convex Analysis (NACA2001)(Yokohama Publ.)

      Pages: 221-232

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      2004 Final Research Report Summary
  • [Journal Article] Optimal Stopping in Fuzzy Stochastic Processes and its Application to Option Pricing in Financial Engineering2002

    • Author(s)
      Yuji Yoshida
    • Journal Title

      Soft Methods in Probability, Statistics and Data Analysis (edited by P.Grzegorzewski, O.Hryniewicz, M.-A.Gil) (Physica-Verlag, Springer, Heidelberg)

      Pages: 244-251

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      2004 Final Research Report Summary
  • [Journal Article] A Fuzzy Ordering on Multi-Dimensional Fuzzy Sets induced from Convex Cones2002

    • Author(s)
      Yuji Yoshida, Etienne E.Kerre
    • Journal Title

      Fuzzy Sets and Systems Vol.130,No.3

      Pages: 343-355

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      2004 Final Research Report Summary
  • [Journal Article] An Approach to Stopping Problems of a Dynamic Fuzzy System2002

    • Author(s)
      Masami Kurano, Masami Yasuda, Jun-ichi Nakagami, Yuji Yoshida
    • Journal Title

      Fuzzy Sets and Systems Vol.131,No.2

      Pages: 225-233

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      2004 Final Research Report Summary
  • [Journal Article] Fuzzy Stopping in Continuous-Time Dynamic Fuzzy Systems2002

    • Author(s)
      Yuji Yoshida
    • Journal Title

      Fuzzy Sets and Systems Vol.132,No.3

      Pages: 291-301

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      2004 Final Research Report Summary
  • [Journal Article] A Fuzzy Decision Making Model of American Option Pricing in Financial Engineering2002

    • Author(s)
      Yuji Yoshida
    • Journal Title

      Proceedings of 6th Joint Conference on Inform.Sciences JCIS 2002 (FT&T 2002)(JCIS Ass.)

      Pages: 133-136

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      2004 Final Research Report Summary
  • [Journal Article] Decision Making for American Options with Uncertainty of Stock Prices in Financial Engineering2002

    • Author(s)
      Yuji Yoshida, Masami Yasuda, Jun-ichi Nakagami, Masami Kurano
    • Journal Title

      Proceedings of 9th Inter Conf.on Infor.Proc.& Manag.of Uncertainty in Knowledge-Based Systems (IPMU 2002)(ESIA- Universite de Savoie) Vol.1

      Pages: 463-469

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      2004 Final Research Report Summary
  • [Journal Article] American Put Option Models with Uncertainty of Stock Prices in Financial Engineering2002

    • Author(s)
      Yuji Yoshida, Masami Yasuda, Jun-ichi Nakagami, Masami Kurano
    • Journal Title

      Proceedings of 10th International Symposium on Dynamic Games and Applications (ISDG 2002)

      Pages: 891-897

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      2004 Final Research Report Summary
  • [Journal Article] A Matrix Game and its Applications to Fuzzy Matrix Game and Interval Stochastic Game2002

    • Author(s)
      Masami Kurano, Masami Yasuda, Jun-ichi Nakagami, Yuji Yoshida
    • Journal Title

      Proceedings of 9th Bellman Continuum International Workshop on Uncertain Systems and Soft Computing (9BC 2002) Vol.2

      Pages: 116-123

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      2004 Final Research Report Summary
  • [Journal Article] Optimal Stopping in Fuzzy Environment2002

    • Author(s)
      Seiichi Iwamoto
    • Journal Title

      Proceedings of 9th Bellman Continuum International Workshop on Uncertain Systems and Soft Computing (9BC 2002) Vol.2

      Pages: 264-269

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      2004 Final Research Report Summary
  • [Journal Article] Stochastic Dynamic Programming with Range and Ratio Criteria2002

    • Author(s)
      K.Tsurusaki, T.Ueno, S.Iwamoto
    • Journal Title

      Proceedings of 9th Bellman Continuum International Workshop on Uncertain Systems and Soft Computing (9BC 2002) Vol.2

      Pages: 22-28

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      2004 Final Research Report Summary
  • [Journal Article] Minimization of Variance on Markov Chain2002

    • Author(s)
      T.Ueno, T.Fujita, S.Iwamoto
    • Journal Title

      Proceedings of 9th Bellman Continuum International Workshop on Uncertain Systems and Soft Computing (9BC 2002) Vol.2

      Pages: 192-198

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      2004 Final Research Report Summary
  • [Journal Article] Controlled Markov Chains with Utility Functions2002

    • Author(s)
      S.Iwamoto, T.Ueno, T.Fujita
    • Journal Title

      Proceedings of International Workshop on "Markov Processes and Controlled Markov Chains"

      Pages: 135-148

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      2004 Final Research Report Summary
  • [Journal Article] Discrete-Time American Options Evaluated by Weighting Functions2002

    • Author(s)
      Yuji Yoshida, Masami Yasuda, Jun-ichi Nakagami, Masami Kurano
    • Journal Title

      Proceedings of 5th Inter. Conference of Knowledge-Based Intelligent Engineering Systems (KES 2002) Vol.1

      Pages: 255-259

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      2004 Final Research Report Summary
  • [Journal Article] The Pricing of American Put Option under Uncertainty of Stock Prices2002

    • Author(s)
      Yuji Yoshida, Masami Yasuda, Jun-ichi Nakagami, Masami Kurano
    • Journal Title

      Proceedings of 2nd Euro-Jap.Workshop on Stoch. Risk Modelling for Finance, Insurance, Production and Reliab. (EJWSM 2002)

      Pages: 534-542

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      2004 Final Research Report Summary
  • [Journal Article] Dynamic Decision Making in Fuzzy and Stochastic Environments2002

    • Author(s)
      Yuji Yoshida
    • Journal Title

      Proceedings of 1st Inter.Conf.on Fuzzy Sys.and Knowledge Discovery (FSKD02) (Nanyang) Vol.1

      Pages: 86-89

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      2004 Final Research Report Summary
  • [Journal Article] Pricing of American Put Option with Uncertainty of Stock Prices by Weighting Functions2002

    • Author(s)
      Yuji Yoshida, Masami Yasuda, Jun-ichi Nakagami, Masami Kurano
    • Journal Title

      Proceedings of 1st Inter.Conf.on Fuzzy Systems and Knowledge Discovery (FSKD02) (Nanyang) Vol.2

      Pages: 519-523

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      2004 Final Research Report Summary
  • [Journal Article] Order Relations and a Monotone Convergence Theorem in the Class of Fuzzy Sets on R^n2001

    • Author(s)
      Masami Kurano, Masami Yasuda, Jun-ichi Nakagami, Yuji Yoshida
    • Journal Title

      Dynamical Aspects in Fuzzy Decision Making' (edited by Yuji Yoshida) (Physica-Verlag, Springer, Heidelberg)

      Pages: 187-212

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      2004 Final Research Report Summary
  • [Journal Article] A Zero-Sum Stopping Game in a Continuous-Time Dynamic Fuzzy System2001

    • Author(s)
      Yuji Yoshida
    • Journal Title

      Mathematical & Computer Modelling Vol.34,No.5-6

      Pages: 603-614

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      2004 Final Research Report Summary
  • [Journal Article] Multicriteria Optimal Stopping of a Fuzzy and Stochastic System2001

    • Author(s)
      Yuji Yoshida
    • Journal Title

      Mathematical & Computer Modelling Vol.34,No.5-6

      Pages: 615-622

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      2004 Final Research Report Summary
  • [Journal Article] Fuzzy Decision-Making through Three Dynamic Programming Approaches2001

    • Author(s)
      Seiichi Iwamoto
    • Journal Title

      International Journal of Fuzzy Systems Vol.3,No.4

      Pages: 520-526

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      2004 Final Research Report Summary
  • [Journal Article] Recursive Method in Stochastic Optimization under Compound Criteria2001

    • Author(s)
      Seiichi Iwamoto
    • Journal Title

      Advances in Mathematical Economics Vol.3

      Pages: 63-82

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      2004 Final Research Report Summary
  • [Journal Article] A Class of Dual Fuzzy Dynamic Programs2001

    • Author(s)
      Seiichi Iwamoto
    • Journal Title

      Applied Mathematics and Computation Vol.120,No.1/3

      Pages: 91-108

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      2004 Final Research Report Summary
  • [Journal Article] An Optimistic Decision-Making in Fuzzy Environment2001

    • Author(s)
      T.Fujita, Seiichi Iwamoto
    • Journal Title

      Applied Mathematics and Computation Vol.120,No.1/3

      Pages: 123-137

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      2004 Final Research Report Summary
  • [Journal Article] On Markov Policies for Minimax Decision Processes2001

    • Author(s)
      Seiichi Iwamoto, K.Tsurusaki, T.Fujita
    • Journal Title

      Journal of Mathematical Analysis and Applications Vol.253,No.1

      Pages: 58-78

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      2004 Final Research Report Summary
  • [Journal Article] American Option Pricing under Uncertainty2001

    • Author(s)
      Yuji Yoshida
    • Journal Title

      Proceedings of 5^<th> World Multi-conference on Systemics, Cybernetics and Informatics (SCI 2001) (IIIS Press) Vol.10

      Pages: 141-146

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      2004 Final Research Report Summary
  • [Journal Article] Option Pricing in a Stochastic and Fuzzy Environment2001

    • Author(s)
      Yuji Yoshida
    • Journal Title

      Proceedings of joint 9^<th> World Congress of Inter.Fuzzy System Assoc.and 20^<th> North America Fuzzy Information Society (IFSA/NAFIPS 2001) (IEEE Press) Vol.1

      Pages: 592-597

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      2004 Final Research Report Summary
  • [Journal Article] Stopping Game Problem for Fuzzy Stochastic Systems2001

    • Author(s)
      Yuji Yoshida, Masami Yasuda, Jun-ichi Nakagami, Masami Kurano
    • Journal Title

      Proceedings of 5^<th> Intern.Conf.on Knowledge-Based Intell.Inform.Systems and Allied Tech. (KES 2001) (IOS Press) Vol.1

      Pages: 802-806

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      2004 Final Research Report Summary
  • [Journal Article] Option Pricing under Uncertainty in Financial Engineering2001

    • Author(s)
      Yuji Yoshida
    • Journal Title

      Proceedings of 5th Intern.Conf.on Knowledge-Based Intell.Inform.Systems and Allied Tech.(KES 2001) (IOS Press) Vol.1

      Pages: 807-811

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      2004 Final Research Report Summary
  • [Journal Article] A Fuzzy Treatment of Markov Decision Processes under Uncertain Transition Probabilities2001

    • Author(s)
      Masami Kurano, Masami Yasuda, Jun-ichi Nakagami, Yuji Yoshida
    • Journal Title

      Proceedings of 17^<th> Fuzzy Systems Symposium (FSS 2001)

      Pages: 197-2001

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      2004 Final Research Report Summary
  • [Journal Article] Option Pricing Models for Fuzzy Decision Making in Financial Engineering2001

    • Author(s)
      Yuji Yoshida
    • Journal Title

      Proceedings of 10^<th> IEEE Intern.Conf.on Fuzzy Systems (FUZZ-IEEE 2001) (IEEE Press) Vol.2

      Pages: 960-963

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      2004 Final Research Report Summary
  • [Book] Stopping Game Problem for Dynamic Fuzzy Systems (Chapter 10 : Advances in Dynamic Games : Applications to Economics, Finance, Optimization and Stochastic Control) (A.S.Nowak, K.Szajowski編集)2005

    • Author(s)
      吉田祐治(共著)
    • Publisher
      Birkhauser
    • Description
      「研究成果報告書概要(和文)」より
    • Related Report
      2004 Final Research Report Summary
  • [Book] Stopping Game Problem for Dynamic Fuzzy Systems (Chapter 10 : Advances in Dynamic Games : Applications to Economics, Finance, Optimization, and Stochastic Control)(A.S.Nowak, K.Szajowski編集)2005

    • Author(s)
      吉田祐治(共著)
    • Publisher
      Birkhauser
    • Related Report
      2004 Annual Research Report
  • [Publications] 吉田祐治: "The Valuation of European Options in Uncertain Environment"European Journal of Operational Research. 145・1. 221-229 (2003)

    • Related Report
      2003 Annual Research Report
  • [Publications] 蔵野正美(共著): "Markov Decision Processes with Fuzzy Rewards"J. Nonlinear Convex Analysis. 4・1. 105-115 (2003)

    • Related Report
      2003 Annual Research Report
  • [Publications] 吉田祐治: "A Discrete-Time Model of American Put Option in an Uncertain Environment"European Journal of Operational Research. 151・1. 153-166 (2003)

    • Related Report
      2003 Annual Research Report
  • [Publications] 吉田祐治: "Continuous-Time Fuzzy Decision Processes with Discounted Rewards"Fuzzy Sets and Systems. 139・2. 333-348 (2003)

    • Related Report
      2003 Annual Research Report
  • [Publications] 吉田祐治(共著): "Fuzzy Stopping Problems in Continuous-Time Fuzzy Stochastic Systems"Fuzzy Sets and Systems. 139・2. 349-362 (2003)

    • Related Report
      2003 Annual Research Report
  • [Publications] 吉田祐治(共著): "A Multi-Objective Fuzzy Stopping in a Stochastic and Fuzzy Environment"Computers and Mathematics with Applications. 46・7. 1165-1172 (2003)

    • Related Report
      2003 Annual Research Report
  • [Publications] 蔵野正美(共著): "Markov Decision Processes with Fuzzy Rewards"Proceedings of Inter. Conf. on Nonlinear Analysis and Convex Analysis, (NACA2001). 第1巻. 116-123 (2003)

    • Related Report
      2003 Annual Research Report
  • [Publications] 岩本誠一: "Recursive methods in probability control"Advances in Mathematical Economics. 6・1. 55-68 (2004)

    • Related Report
      2003 Annual Research Report
  • [Publications] 岩本誠一: "制御差分方程式について"日本OR学会誌. 第50巻. 57-75 (2003)

    • Related Report
      2003 Annual Research Report
  • [Publications] 吉田祐治(共著): "Multi-Objective Programming and Goal-Programming (Chapter III-6: A Discrete-Time European Options Model under Uncertainty in Financial Engineering)(T.Tanino, T.Tanaka and M.Inuiguchi 編集)"Physica-Verlag, Springer. 426(415-420) (2003)

    • Related Report
      2003 Annual Research Report
  • [Publications] 吉田祐治(共著): "Fuzzy Sets and Systems-IFSA2003 (A Discrete-Time Portfolio Selection with Uncertainty of Stock Prices)(T.Bilgic, B.De Baets, O.Kaynac 編集)"Lecture Notes in Artificial Intelligence 2715, Springer. 735(245-252) (2003)

    • Related Report
      2003 Annual Research Report
  • [Publications] 吉田祐治: "Optimal Stopping Models in a Stochastic and Fuzzy Environment"Information Sciences. 142・1-4. 89-101 (2002)

    • Related Report
      2002 Annual Research Report
  • [Publications] 吉田祐治(共著): "A Fuzzy Ordering on Multi-Dimensional Fuzzy Sets induced from Convex Cones"Fuzzy Sets and Systems. 130・3. 343-355 (2002)

    • Related Report
      2002 Annual Research Report
  • [Publications] 蔵野正美(共著): "An Approach to Stopping Problems of a Dynamic Fuzzy System"Fuzzy Sets and Systems. 131・2. 225-233 (2002)

    • Related Report
      2002 Annual Research Report
  • [Publications] 吉田祐治: "Fuzzy Stopping in Continuous-Time Dynamic Fuzzy Systems"Fuzzy Sets and Systems. 132・3. 291-301 (2002)

    • Related Report
      2002 Annual Research Report
  • [Publications] 吉田祐治(共著): "Decision Making for American Options with Uncertainty of Stock Prices in Financial Engineering"Proceedings of 9th Inter Conf. on Infor. Proc. & Manag. of Uncertainty in Knowledge-Based Syst. (IPMU 2002), ESIA-Universite de Savoie. 第1巻. 463-469 (2002)

    • Related Report
      2002 Annual Research Report
  • [Publications] 吉田祐治(共著): "American Put Option Models with Uncertainty of Stock Prices in Financial Engineering"Proceedings of 10th International Symposium on Dynamic Games and Applications (ISDG 2002). 第1巻. 891-897 (2002)

    • Related Report
      2002 Annual Research Report
  • [Publications] 蔵野正美(共著): "A Matrix Game and its Applications to Fuzzy Matrix Game and Interval Stochastic Game"Proceedings of 9th Bellman Continuum International Workshop on Uncertain Systems and Soft Computing (9BC 2002). 116-123 (2002)

    • Related Report
      2002 Annual Research Report
  • [Publications] 吉田祐治(共著): "Discrete-Time American Options Evaluated by Weighting Functions"Proceedings of 5th International Conference of Knowledge-Based Intelligent Engineering Systems (KES 2002). 第1巻. 255-259 (2002)

    • Related Report
      2002 Annual Research Report
  • [Publications] 吉田祐治(共著): "The Pricing of American Put Option under Uncertainty of Stock Prices"Proceedings of 2nd Euro-Japan Workshop on Stochastic Risk Modelling for Finance, Insurance, Production and Reliability (EJWSM 2002). 534-542 (2002)

    • Related Report
      2002 Annual Research Report
  • [Publications] 吉田祐治: "Dynamic Decision Making in Fuzzy and Stochastic Environments"Proceedings of 1st International Conference on Fuzzy Systems and Knowledge Discovery (FSKD 2002). 第2巻. 86-89 (2002)

    • Related Report
      2002 Annual Research Report
  • [Publications] 吉田祐治(共著): "Pricing of American Put Option with Uncertainty of Stock Prices by Weighting Functions"Proceedings of 1st International Conference on Fuzzy Systems and Knowledge Discovery (FSKD 2002). 第2巻. 519-523 (2002)

    • Related Report
      2002 Annual Research Report
  • [Publications] 岩本誠一: "Optimal stopping in fuzzy environment"Proceedings of 9th Bellman Continuum : International Workshop on Uncertain Systems and Soft Computing (9BC). 第2巻. 264-269 (2002)

    • Related Report
      2002 Annual Research Report
  • [Publications] 吉田祐治(共著): "Soft Methods in Probability, statistics and Data Analysis (Chapter 24 Optimal Stopping in Fuzzy Stochastic Processes and its Application to Option Pricing in Financial Engineering)"Physica-Verlag, Springer (P.Grzegorzewski, O.Hryniewicz and M.-A.Gil 編集). 372(244-251) (2002)

    • Related Report
      2002 Annual Research Report
  • [Publications] 吉田祐治: "A Zero-Sum Stopping Game in a Continuous-Time Dynamic Fuzzy System"Mathematical and Computer Modelling. 34・5-6. 603-614 (2001)

    • Related Report
      2001 Annual Research Report
  • [Publications] 吉田祐治: "Multicriteria Optimal Stopping of a Fuzzy and Stochastic System"Mathematical and Computer Modelling. 34・5-6. 615-622 (2001)

    • Related Report
      2001 Annual Research Report
  • [Publications] 桑野裕昭: "Fuzzy Multiobjective Programming Problems with Possibility Measures"Proceedings of 5^<th> Intern. Conf. on Knowledge-Based Intell. Inform. Systems and Allied Tech., KES 2001, IOS Press. 第1巻. 788-791 (2001)

    • Related Report
      2001 Annual Research Report
  • [Publications] 岩本誠一: "Fuzzy Decision-Making under Threshold Membership Criterion"Proceedings of 5^<th> Intern. Conf. on Knowledge-Based Intell. Inform. Systems and Allied Tech., KES 2001, IOS Press. 第1巻. 797-801 (2001)

    • Related Report
      2001 Annual Research Report
  • [Publications] 吉田祐治(共著): "Stopping Game Problem for Fuzzy Stochastic Systems"Proceedings of 5^<th> Intern. Conf. on Knowledge-Based Intell. Inform. Systems and Allied Tech., KES 2001, IOS Press. 第1巻. 802-806 (2001)

    • Related Report
      2001 Annual Research Report
  • [Publications] 吉田祐治: "Option Pricing under Uncertainty in Financial Engineering"Proceedings of 5^<th> Intern. Conf. on Knowledge-Based Intell. Inform. Systems and Allied Tech., KES 2001, IOS Press. 第1巻. 807-811 (2001)

    • Related Report
      2001 Annual Research Report
  • [Publications] 蔵野正美(共著): "A Fuzzy Treatment of Markov Decision Processes under Uncertain Transition Probabilities"Proceedings of 17^<th> Fuzzy Systems Symposium, FSS 2001. 197-200 (2001)

    • Related Report
      2001 Annual Research Report
  • [Publications] 岩本誠一: "Recursive Method in Stochastic Optimization under Compound Criteria"Advances in Mathematical Economics. 第3巻. 63-82 (2001)

    • Related Report
      2001 Annual Research Report
  • [Publications] 吉田祐治: "American Option Pricing under Uncertainty"Proceedings of 5^<th> World Multiconference on Systemics, Cybernetics and Informatics, SCI 2001, IIIS Press. 第10巻. 141-146 (2001)

    • Related Report
      2001 Annual Research Report
  • [Publications] 吉田祐治: "Option Pricing in a Stochastic and Fuzzy Environment"Proceedings of Joint 9^<th> World Congress of Intern. Fuzzy System Assoc. and 20^<th> North America Fuzzy Infor. Soc., IFSA/NAFIPS 2001, IEEE Press. 第1巻. 592-597 (2001)

    • Related Report
      2001 Annual Research Report
  • [Publications] 吉田祐治: "Option Pricing Models for Fuzzy Decision Making in Financial Engineering"Proceedings of 10^<th> IEEE Intern. Conf. on Fuzzy Systems, FUZZ-IEEE 2001, IEEE Press. 第2巻. 960-963 (2001)

    • Related Report
      2001 Annual Research Report
  • [Publications] 岩本誠一(共著): "On Markov Policies for Minimax Decision Processers"Journal of Mathematical Analysis and Applicatioons. 第253巻. 58-78 (2001)

    • Related Report
      2001 Annual Research Report
  • [Publications] 蔵野正美(共著): "Dynamical Aspects in Fuzzy Decision Making (Chapter 9 : Order Relations and a Monotone Convergence Theorem in the Class of Fuzzy Sets on R^n)"Physica-Verlag, Springer(吉田祐治 編集). 240(187-212) (2001)

    • Related Report
      2001 Annual Research Report
  • [Publications] 岩本誠一: "Dynamical Aspects in Fuzzy Decision Making (Chapter 2 : Fuzzy Dynamic Programming in the Stochastic Environment)"Physica-Verlag, Springer(吉田祐治 編集). 240(27-52) (2001)

    • Related Report
      2001 Annual Research Report

URL: 

Published: 2001-04-01   Modified: 2016-04-21  

Information User Guide FAQ News Terms of Use Attribution of KAKENHI

Powered by NII kakenhi