| Budget Amount *help |
¥4,810,000 (Direct Cost: ¥3,700,000、Indirect Cost: ¥1,110,000)
Fiscal Year 2019: ¥650,000 (Direct Cost: ¥500,000、Indirect Cost: ¥150,000)
Fiscal Year 2018: ¥650,000 (Direct Cost: ¥500,000、Indirect Cost: ¥150,000)
Fiscal Year 2017: ¥780,000 (Direct Cost: ¥600,000、Indirect Cost: ¥180,000)
Fiscal Year 2016: ¥520,000 (Direct Cost: ¥400,000、Indirect Cost: ¥120,000)
Fiscal Year 2015: ¥2,210,000 (Direct Cost: ¥1,700,000、Indirect Cost: ¥510,000)
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| Outline of Final Research Achievements |
A new framework has been constructed for describing a real option approach by the use of the stochastic control theory, where an original fast Monte Carlo simulation technique based upon a mathematical procedure of probability measure transformation is incorporated for effectively reducing numerical efforts. In addition to our main subject, some probabilistic models have been newly developed in consideration of application to practical problems in order to apply to our framework, which can be expected to lead to wide applicability in related fields.
Further, in order to verify an applicability of our approach, it has been applied to a maintenance problem for infrastructures including ART (Alternative Risk Transfer) as a risk management technique. The result shows that an optimal solution of the problem can be obtained with high accuracy with effectively reduced computing efforts.
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