New development of optimal consumption and investment problems in stochastic control.
| Project/Area Number |
15K17584
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| Research Category |
Grant-in-Aid for Young Scientists (B)
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| Allocation Type | Multi-year Fund |
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| Research Field |
Foundations of mathematics/Applied mathematics
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| Research Institution | Shizuoka University |
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Principal Investigator |
Hata Hiroaki 静岡大学, 教育学部, 准教授 (00609290)
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| Research Collaborator |
YASUDA Kazuhiro 法政大学, 理工学部, 准教授 (80509638)
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| Project Period (FY) |
2015-04-01 – 2018-03-31
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| Project Status |
Completed (Fiscal Year 2017)
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| Budget Amount *help |
¥2,860,000 (Direct Cost: ¥2,200,000、Indirect Cost: ¥660,000)
Fiscal Year 2017: ¥780,000 (Direct Cost: ¥600,000、Indirect Cost: ¥180,000)
Fiscal Year 2016: ¥910,000 (Direct Cost: ¥700,000、Indirect Cost: ¥210,000)
Fiscal Year 2015: ¥1,170,000 (Direct Cost: ¥900,000、Indirect Cost: ¥270,000)
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| Keywords | 動的計画原理 / HJB方程式 / マルチンゲール法 / 確率制御 / 最適投資問題 / 動的計画法 / FBSDEアプローチ / 最適消費投資問題 / 最適消費・投資問題 |
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| Outline of Final Research Achievements |
The risk-sensitive portfolio optimizaion problems are solved in the following cases (1.General nonlinear stochastic factor model in the risk-seeking case, 2 The large trader and insider,3 Lognormal interest rate model).The optimal consumption problems are solved in the following cases (4.General nonlinear stochastic factor model in the risk-seeking case, 5 The partial information case).
The optimal investment problems of insurers are solved in the following cases (6.Linear Gaussian stochastic factor model, 7.General nonlinear stochastic factor model).
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Report
(4 results)
Research Products
(20 results)
