| 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)
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| 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)
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| 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
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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
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