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Study on several problems in inifinite dimensional analysis and stochastic analysis

Research Project

Project/Area Number 16H03938
Research Category

Grant-in-Aid for Scientific Research (B)

Allocation TypeSingle-year Grants
Section一般
Research Field Basic analysis
Research InstitutionThe University of Tokyo

Principal Investigator

Aida Shigeki  東京大学, 大学院数理科学研究科, 教授 (90222455)

Project Period (FY) 2016-04-01 – 2020-03-31
Project Status Completed (Fiscal Year 2019)
Budget Amount *help
¥8,060,000 (Direct Cost: ¥6,200,000、Indirect Cost: ¥1,860,000)
Fiscal Year 2019: ¥2,080,000 (Direct Cost: ¥1,600,000、Indirect Cost: ¥480,000)
Fiscal Year 2018: ¥2,080,000 (Direct Cost: ¥1,600,000、Indirect Cost: ¥480,000)
Fiscal Year 2017: ¥2,080,000 (Direct Cost: ¥1,600,000、Indirect Cost: ¥480,000)
Fiscal Year 2016: ¥1,820,000 (Direct Cost: ¥1,400,000、Indirect Cost: ¥420,000)
Keywords確率解析 / ラフパス / 非整数ブラウン運動 / 確率微分方程式 / ラフ微分方程式 / 近似誤差分布 / 無限次元空間 / 経路依存方程式 / マリアバン解析 / 熱核 / パス空間 / 弱ポアンカレ不等式 / リッチ曲率 / 確率論 / 解析学 / 関数解析学 / 関数方程式論 / 数理物理
Outline of Final Research Achievements

We study stochastic differential equations and rough differential equations.
More precisely, the results are as follows:(1) Determination of the convergence speedof Wong-Zakai approximation solution and Euler-Maruyama solution to path-dependent SDEs including reflecting SDEs on half spaces of Euclidean spaces, (2) Determination of the asymptotic error distribution of 1-dimensional SDEs driven by fractional Brownian motion,(3) Proof of the existence of solutions to a class of path-dependent RDEs including reflected SDEs on general domains and a certain multidimensional extension of perturbed reflected SDEs. Also we study multidimensional version of the result (2).

Academic Significance and Societal Importance of the Research Achievements

確率過程論においては, セミマルチンゲールというクラスの確率過程は基本的かつ重要であり, その解析は伊藤の確率解析としてよく知られている。しかし、一方このクラスに属さない重要な確率過程(例えば非整数ブラウン運動)も数多く、それらの確率過程の解析の重要性は様々なテクノロジーの発展とともにますます高まっている。これらの確率過程の解析においてラフパス解析は必須であり、本研究では、これらの確率過程で定まる微分方程式, Rough differential equationの解の基礎的研究を行った。

Report

(5 results)
  • 2019 Annual Research Report   Final Research Report ( PDF )
  • 2018 Annual Research Report
  • 2017 Annual Research Report
  • 2016 Annual Research Report
  • Research Products

    (19 results)

All 2020 2019 2018 2017 2016 Other

All Journal Article (4 results) (of which Peer Reviewed: 4 results,  Open Access: 1 results) Presentation (9 results) (of which Int'l Joint Research: 3 results,  Invited: 6 results) Remarks (2 results) Funded Workshop (4 results)

  • [Journal Article] ERROR ANALYSIS FOR APPROXIMATIONS TO ONE-DIMENSIONAL SDES VIA THE PERTURBATION METHOD2020

    • Author(s)
      Shigeki Aida and Nobuaki Naganuma
    • Journal Title

      Osaka Journal of Mathematics

      Volume: 57 Issue: 2 Pages: 381-424

    • DOI

      10.18910/75919

    • NAID

      120006846164

    • ISSN
      00306126
    • URL

      https://ocu-omu.repo.nii.ac.jp/records/2010778

    • Related Report
      2019 Annual Research Report
    • Peer Reviewed / Open Access
  • [Journal Article] Error analysis for approximations to one-dimensional SDEs via the perturbation method2019

    • Author(s)
      Shigeki Aida and Nobuaki Naganuma
    • Journal Title

      Osaka Journal of Mathematics

      Volume: 印刷中

    • NAID

      120006846164

    • Related Report
      2018 Annual Research Report
    • Peer Reviewed
  • [Journal Article] THE RATES OF THE $L^p$-CONVERGENCE OF THE EULER-MARUYAMA AND WONG-ZAKAI APPROXIMATIONS OF PATH-DEPENDENT STOCHASTIC DIFFERENTIAL EQUATIONS UNDER THE LIPSCHITZ CONDITION2018

    • Author(s)
      Shigeki Aida, Takanori Kikuchi, Seiichiro Kusuoka
    • Journal Title

      Tohoku Mathematical Journal, Second Series

      Volume: 70 Issue: 1 Pages: 65-95

    • DOI

      10.2748/tmj/1520564419

    • ISSN
      0040-8735, 2186-585X
    • Year and Date
      2018-03-30
    • Related Report
      2017 Annual Research Report
    • Peer Reviewed
  • [Journal Article] Semi-classical limit of Schr\"odinger operators in infinite dimensional spaces2016

    • Author(s)
      Shigeki Aida
    • Journal Title

      Sugaku Expositions

      Volume: 29

    • Related Report
      2016 Annual Research Report
    • Peer Reviewed
  • [Presentation] On a certain class of path-dependent stochastic differential equations2019

    • Author(s)
      会田茂樹
    • Organizer
      Japanese-German Open conference on stochastic analysis 2019
    • Related Report
      2019 Annual Research Report
    • Int'l Joint Research / Invited
  • [Presentation] On a certain class of path-dependent stochastic differential equations2019

    • Author(s)
      Shigeki Aida
    • Organizer
      New Directions in Stochastic Analysis: Rough Paths, SPDEs and Related Topics
    • Related Report
      2018 Annual Research Report
    • Int'l Joint Research / Invited
  • [Presentation] 経路依存確率微分方程式について2018

    • Author(s)
      会田茂樹
    • Organizer
      確率解析とその応用
    • Related Report
      2018 Annual Research Report
    • Invited
  • [Presentation] Rough differential equations containing path-dependent bounded variation terms2018

    • Author(s)
      Shigeki Aida
    • Organizer
      Workshop on Mathematical finance and related issues
    • Related Report
      2017 Annual Research Report
    • Invited
  • [Presentation] Asymptotics of spectral gaps on infinite dimensional spaces2017

    • Author(s)
      Shigeki Aida
    • Organizer
      Tokyo-Seoul conference in Mathematics --Probability Theory--
    • Related Report
      2017 Annual Research Report
  • [Presentation] Asymptotics of spectral gaps on loop spaces2017

    • Author(s)
      Shigeki Aida
    • Organizer
      Metric Measure spaces and Ricci curvature
    • Related Report
      2017 Annual Research Report
    • Invited
  • [Presentation] Support theorem for reflected diffusion processes2016

    • Author(s)
      Shigeki Aida
    • Organizer
      RIMS研究集会「確率論シンポジウム」
    • Related Report
      2016 Annual Research Report
  • [Presentation] Rough differential equations containing path-dependent bounded variation terms2016

    • Author(s)
      Shigeki Aida
    • Organizer
      研究集会「確率解析とその周辺」
    • Related Report
      2016 Annual Research Report
  • [Presentation] Reflecetd rough differential equations via controlled paths2016

    • Author(s)
      Shigeki Aida
    • Organizer
      Rough paths, Regularity structures and related topics
    • Related Report
      2016 Annual Research Report
    • Int'l Joint Research / Invited
  • [Remarks] 会田茂樹のページ

    • URL

      https://www.ms.u-tokyo.ac.jp/~aida/index-j.html

    • Related Report
      2019 Annual Research Report 2018 Annual Research Report
  • [Remarks] 会田茂樹のページ

    • URL

      http://www.ms.u-tokyo.ac.jp/~aida/index-j.html

    • Related Report
      2017 Annual Research Report 2016 Annual Research Report
  • [Funded Workshop] 確率解析とその周辺2019

    • Related Report
      2019 Annual Research Report
  • [Funded Workshop] 確率解析とその周辺2018

    • Related Report
      2018 Annual Research Report
  • [Funded Workshop] 確率解析とその周辺2017

    • Related Report
      2017 Annual Research Report
  • [Funded Workshop] 確率解析とその周辺2016

    • Related Report
      2016 Annual Research Report

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Published: 2016-04-21   Modified: 2021-02-19  

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