| Budget Amount *help |
¥4,550,000 (Direct Cost: ¥3,500,000、Indirect Cost: ¥1,050,000)
Fiscal Year 2018: ¥1,040,000 (Direct Cost: ¥800,000、Indirect Cost: ¥240,000)
Fiscal Year 2017: ¥1,040,000 (Direct Cost: ¥800,000、Indirect Cost: ¥240,000)
Fiscal Year 2016: ¥1,170,000 (Direct Cost: ¥900,000、Indirect Cost: ¥270,000)
Fiscal Year 2015: ¥1,300,000 (Direct Cost: ¥1,000,000、Indirect Cost: ¥300,000)
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| Outline of Final Research Achievements |
Through the study of nonlinear partial differential equations arising in the mathematical finance, we establish several results on nonlinear analysis. To be precise, we propose a risk estimation model for an insurer due to the epidemic outbreaks and estimate its risk. Next, we analyze the optimal portfolio problem in discrete processes with two independent random variables; we derive the discrete analogue of the famous Ito formula and prove the convergence from discrete to continuous setting. Finally, we apply the evolution of copulas to the analysis of foreign exchange rate and show the validity of the concept of evolution of copulas.
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