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Research on Markov processes via stochastic analysis

Research Project

Project/Area Number 15H03624
Research Category

Grant-in-Aid for Scientific Research (B)

Allocation TypeSingle-year Grants
Section一般
Research Field Basic analysis
Research InstitutionKyoto University

Principal Investigator

Shigekawa ichiro  京都大学, 理学研究科, 教授 (00127234)

Co-Investigator(Kenkyū-buntansha) 矢野 孝次  京都大学, 理学研究科, 准教授 (80467646)
Research Collaborator Kumagai Takashi  
Hino Masanori  
Aida Shigeki  
Project Period (FY) 2015-04-01 – 2019-03-31
Project Status Completed (Fiscal Year 2018)
Budget Amount *help
¥15,730,000 (Direct Cost: ¥12,100,000、Indirect Cost: ¥3,630,000)
Fiscal Year 2018: ¥3,380,000 (Direct Cost: ¥2,600,000、Indirect Cost: ¥780,000)
Fiscal Year 2017: ¥3,380,000 (Direct Cost: ¥2,600,000、Indirect Cost: ¥780,000)
Fiscal Year 2016: ¥3,380,000 (Direct Cost: ¥2,600,000、Indirect Cost: ¥780,000)
Fiscal Year 2015: ¥5,590,000 (Direct Cost: ¥4,300,000、Indirect Cost: ¥1,290,000)
Keywords確率解析 / マルコフ半群 / エルゴード性 / スペクトル / 対数ソボレフ不等式 / スペクトルギャップ / マルコフ過程 / Dirichlet 形式 / 1次元拡散過程 / 超縮小性
Outline of Final Research Achievements

We conducted research on Markov processes using stochastic analysis methods for cases of various state spaces, such as Euclid space, Riemannian manifold, and infinite dimensional space such as Wiener space and path space. In the case of the one-dimensional diffusion process, the spectrum of the Kolmogorov diffusion process was determined in the framework of supersymmetry. Also, in the case of Kummer process, spectra were determined in Zygmundt space or Orlicz space.
Furthermore, we characterized the ultracontractivity using the asymmetric Dirichlet form and applied to the asymptotic behavior of the fundamental solution in the case of compact Riemannian manifolds. We also constructed a non-symmetric diffusion process on the Wiener space as a typical example of an infinite dimensional space.

Academic Significance and Societal Importance of the Research Achievements

拡散過程の研究を行ったが、これらは数理ファイナンス、保険数学に関連するものが含まれる。また拡散過程の不変測度として、統計に表れる分布が出てくるので、統計への応用の道も開かれる。

Report

(5 results)
  • 2018 Annual Research Report   Final Research Report ( PDF )
  • 2017 Annual Research Report
  • 2016 Annual Research Report
  • 2015 Annual Research Report
  • Research Products

    (13 results)

All 2019 2018 2017 2016 2015 Other

All Journal Article (6 results) (of which Int'l Joint Research: 1 results,  Peer Reviewed: 6 results,  Open Access: 3 results) Presentation (5 results) (of which Int'l Joint Research: 2 results,  Invited: 2 results) Remarks (2 results)

  • [Journal Article] A non-symmetric diffusion process on the Wiener space2018

    • Author(s)
      Ichiro Shigekawa
    • Journal Title

      Math. J. Okayama Univ.

      Volume: 60 Pages: 137-153

    • NAID

      120006469112

    • Related Report
      2017 Annual Research Report
    • Peer Reviewed / Open Access
  • [Journal Article] Logarithmic Sobolev Inequality and Exponential Convergence of a Markovian Semigroup in the Zygmund Space2018

    • Author(s)
      Ichiro Shigekawa
    • Journal Title

      Entropy

      Volume: 20 Issue: 4 Pages: 220-220

    • DOI

      10.3390/e20040220

    • NAID

      120006502657

    • Related Report
      2017 Annual Research Report
    • Peer Reviewed / Open Access
  • [Journal Article] Weak convergence of h-transforms for one-dimensional diffusions2017

    • Author(s)
      Yano, Kouji; Yano, Yuko; Yen, Ju-Yi
    • Journal Title

      Statist. Probab. Lett.

      Volume: 122 Pages: 152-156

    • DOI

      10.1016/j.spl.2016.11.007

    • NAID

      120006323765

    • Related Report
      2016 Annual Research Report
    • Peer Reviewed / Open Access / Int'l Joint Research
  • [Journal Article] Ultracontractivity for non-symmetric Markovian semigroups2015

    • Author(s)
      Ichiro Shigekawa
    • Journal Title

      Festschrift Masatoshi Fukushima

      Volume: なし Pages: 527-551

    • Related Report
      2015 Annual Research Report
    • Peer Reviewed
  • [Journal Article] Functional limit theorems for processes pieced together from excursions2015

    • Author(s)
      Kouji Yano
    • Journal Title

      J. Math. Soc. Japan

      Volume: 67

    • NAID

      130005108960

    • Related Report
      2015 Annual Research Report
    • Peer Reviewed
  • [Journal Article] Functions of locally bounded variation on Wiener spaces2015

    • Author(s)
      Masanori Hino
    • Journal Title

      Festschrift Masatoshi Fukushima

      Volume: なし

    • Related Report
      2015 Annual Research Report
    • Peer Reviewed
  • [Presentation] 1次元拡散過程とスペクトル2019

    • Author(s)
      重川 一郎
    • Organizer
      関西確率論セミナー
    • Related Report
      2018 Annual Research Report
  • [Presentation] Kolmogorov-Pearson diffusions and hypergeometric functions2017

    • Author(s)
      重川一郎
    • Organizer
      確率解析とその周辺
    • Related Report
      2017 Annual Research Report
  • [Presentation] Kolmogorov 拡散過程のスペクトル2016

    • Author(s)
      重川一郎
    • Organizer
      確率解析とその周辺
    • Place of Presentation
      九州大学
    • Year and Date
      2016-11-10
    • Related Report
      2016 Annual Research Report
  • [Presentation] Toward stochastic differential calculus based on measurable Riemannian structures2015

    • Author(s)
      Masanori Hino
    • Organizer
      Stochastic Analysis
    • Place of Presentation
      京都大学数理解析研究所
    • Year and Date
      2015-09-10
    • Related Report
      2015 Annual Research Report
    • Int'l Joint Research / Invited
  • [Presentation] Ultracontractivity for non-symmetric Markovian semigroups2015

    • Author(s)
      Ichiro Shigekawa
    • Organizer
      German-Japanese bilateral research project, 2015 "Stochastic Snalysis and Application"
    • Place of Presentation
      東北大学
    • Year and Date
      2015-08-31
    • Related Report
      2015 Annual Research Report
    • Int'l Joint Research / Invited
  • [Remarks] Ichiro SHIGEKAWA's Home Page

    • URL

      https://www.math.kyoto-u.ac.jp/~ichiro/index_j.html

    • Related Report
      2018 Annual Research Report 2017 Annual Research Report 2015 Annual Research Report
  • [Remarks] Ichiro SHIGEKAWA's Home Page

    • URL

      https://www.math.kyoto-u.ac.jp/̃ichiro/index_j.html

    • Related Report
      2016 Annual Research Report

URL: 

Published: 2015-04-16   Modified: 2020-03-30  

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