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STUDY OF CONTROLLED INTEGRAL EQUATIONS AND MATHEMATICAL FINANCE THROUGH DYNAMIC PROGRAMMING

Research Project

Project/Area Number 17340030
Research Category

Grant-in-Aid for Scientific Research (B)

Allocation TypeSingle-year Grants
Section一般
Research Field General mathematics (including Probability theory/Statistical mathematics)
Research InstitutionKyushu University

Principal Investigator

IWAMOTO Seiichi  Kyushu University, 大学院・経済学研究院, 教授 (90037284)

Co-Investigator(Kenkyū-buntansha) YASUDA Masami  千葉大学, 普遍教育センター, 教授 (00041244)
TOKINAGA Syozo  九州大学, 大学院・経済学研究院, 教授 (30124134)
MATSUMOTO Koichi  九州大学, 大学院・経済学研究院, 准教授 (30380687)
KAWASAKI Hidefumi  九州大学, 大学院・数理学研究院, 教授 (90161306)
MAESONO Yoshihiko  九州大学, 大学院・数理学研究院, 教授 (30173701)
MARUYAMA Yukihiro  長崎大学, 経済学部, 教授 (30229629)
TSURUSAKI Kazuyoshi  長崎大学, 経済学部, 准教授 (50336145)
FUJITA Toshiharu  九州工業大学, 工学部, 准教授 (60295003)
NAKAI Toru  千葉大学, 教育学部, 教授 (20145808)
Research Collaborator SNIEDOVICH Moshe  メルボルン大学, 数学/統計, 名誉教授
Project Period (FY) 2005 – 2008
Project Status Completed (Fiscal Year 2008)
Budget Amount *help
¥16,630,000 (Direct Cost: ¥14,500,000、Indirect Cost: ¥2,130,000)
Fiscal Year 2008: ¥4,680,000 (Direct Cost: ¥3,600,000、Indirect Cost: ¥1,080,000)
Fiscal Year 2007: ¥4,550,000 (Direct Cost: ¥3,500,000、Indirect Cost: ¥1,050,000)
Fiscal Year 2006: ¥3,500,000 (Direct Cost: ¥3,500,000)
Fiscal Year 2005: ¥3,900,000 (Direct Cost: ¥3,900,000)
Keywords動的計画法 / ベルマン方程式 / 非決定性 / 制御積分方程式 / 黄金最適解 / フィボナッチ最適解 / 黄金相補双対 / フィボナッチ相補双対 / 1次解・2次解 / 停止時刻 / 非決定性最適化 / ポートフォリオ / 数理ファイナンス / 黄金最適 / フィボナッチ相補双対性 / 積分方程式 / 動的評価 / 不変埋没原理
Research Abstract

本研究では、新たに導入した「非決定性」動的計画法の機能を探るために、積分方程式に制御項を付加した制御積分方程式と数理ファイナンスにおけるオプション評価への適用可能性を調べた。また、既存の「確定的」動的計画法および「確率的」動的計画法との比較を性能面・応用面において検討した。結果として、非決定性動的計画法は既存の2つの動的計画法よりもより広範な動的最適化問題を解決し得る第3の動的計画法であることがわかった。また、制御積分方程式は非決定性動的最適化システムにおけるベルマン方程式に他ならないことが判明した。

Report

(5 results)
  • 2008 Annual Research Report   Final Research Report ( PDF )
  • 2007 Annual Research Report
  • 2006 Annual Research Report
  • 2005 Annual Research Report
  • Research Products

    (60 results)

All 2009 2008 2007 2006 2005 Other

All Journal Article (40 results) (of which Peer Reviewed: 18 results) Presentation (15 results) Book (2 results) Remarks (3 results)

  • [Journal Article] Golden optimal path in discrete-time dynamic optimization processes2009

    • Author(s)
      S. Iwamoto and M. Yasuda
    • Journal Title

      Advanced Studies in Pure Mathematics 53(S. Elaydi, K. Nishimura and M. Shishikura(Ed.)) ICDEA2006

      Pages: 99-108

    • Related Report
      2008 Final Research Report
    • Peer Reviewed
  • [Journal Article] Golden optimal path in discrete-time dynamic optimization processes2009

    • Author(s)
      S. Iwamoto
    • Journal Title

      Advanced Studies in Pure Mathematics 53

      Pages: 99-108

    • Related Report
      2008 Annual Research Report
    • Peer Reviewed
  • [Journal Article] The Fibonacci complementary duality in quadratic programming2009

    • Author(s)
      S. Iwamoto
    • Journal Title

      Proc. Intl Conf. NACA2008 (in press)

    • Related Report
      2008 Annual Research Report
    • Peer Reviewed
  • [Journal Article] Golden complementary dual in quadratic optimization2008

    • Author(s)
      A. Kira and S. Iwamoto
    • Journal Title

      Lecture Notes in Artificial Intelligence Vol.5285

      Pages: 191-202

    • Related Report
      2008 Final Research Report
    • Peer Reviewed
  • [Journal Article] Golden complementary dual in quadratic optimization2008

    • Author(s)
      S. Iwamoto
    • Journal Title

      Lecture Notes in Artificial Intelligence 5285

      Pages: 191-202

    • Related Report
      2008 Annual Research Report
    • Peer Reviewed
  • [Journal Article] 経済動学を高校数学で-経済数学へのプレリュード(VII)-2008

    • Author(s)
      岩本誠一
    • Journal Title

      経済学研究(九大経済学会) 別冊第14

      Pages: 39-49

    • Related Report
      2008 Annual Research Report
  • [Journal Article] 数理経済学研究センター2008年度会長挨拶(in English)2008

    • Author(s)
      S. Iwamoto
    • Journal Title

      数理経済学研究センター会報 32

      Pages: 1-3

    • Related Report
      2008 Annual Research Report
  • [Journal Article] ジャンプ過程を含む変数で記述される評価関数の最適化と資源配分変更を用いたValue at Risk 制御への応用2008

    • Author(s)
      池田欽一
    • Journal Title

      電子情報通信学会A論文誌 J91 A

      Pages: 360-372

    • Related Report
      2008 Annual Research Report
    • Peer Reviewed
  • [Journal Article] ジャンプ過程を含む変数で記述される評価関数の最適化と企業間取引における製造・販売リアルオプション価格の評価への応用2008

    • Author(s)
      池田欽一
    • Journal Title

      情報処理学会論文誌 : 数理モデル化と応用 49

      Pages: 8-21

    • Related Report
      2008 Annual Research Report
    • Peer Reviewed
  • [Journal Article] Infinite stage nondeterministic stopped decision processes and maximum linear equation2008

    • Author(s)
      T. Fujita
    • Journal Title

      Bulletin of the Kyushu Institute of Technology 55

      Pages: 15-24

    • NAID

      120002440964

    • Related Report
      2008 Annual Research Report
  • [Journal Article] Deterministic decision process under range constraint through all stages2008

    • Author(s)
      T. Fujita
    • Journal Title

      Proceedings of Modeling Decisions for Artificial Intelligence 5

      Pages: 50-60

    • Related Report
      2008 Annual Research Report
    • Peer Reviewed
  • [Journal Article] Golden optimal path in discrete-time dynamic optimization processes2008

    • Author(s)
      Selichi Iwamoto, el. al.
    • Journal Title

      Proceedings of The International Conference on Differential Equations and Applications(ICDEAO6)

    • Related Report
      2007 Annual Research Report
    • Peer Reviewed
  • [Journal Article] Golden duality in dynamic optimization2008

    • Author(s)
      Seiichi Iwamoto, et. al.
    • Journal Title

      Proceedings of Rosen Workshop"Mathematics, Technology and Education"(MTE2008 Ibaraki) 2

      Pages: 35-47

    • Related Report
      2007 Annual Research Report
    • Peer Reviewed
  • [Journal Article] 黄金・白銀・青銅-数と比と形と率と2008

    • Author(s)
      岩本 誠一, 他
    • Journal Title

      経済学研究(九大経済学会) 74

    • NAID

      110007153257

    • Related Report
      2007 Annual Research Report
  • [Journal Article] The Golden optimum solution in quadratic programming2007

    • Author(s)
      S. Iwamoto
    • Journal Title

      Proceedings of the International Conference on Nonlinear Analysis and Convex Analysis(W. Takahashi and T. Tanaka(Ed.))(Yokohama Publishers)

      Pages: 109-205

    • Related Report
      2008 Final Research Report
    • Peer Reviewed
  • [Journal Article] Golden optimal policy in calculus of variation and dynamic programming2007

    • Author(s)
      S. Iwamoto
    • Journal Title

      Advances in Mathematical Economics 10

      Pages: 65-89

    • Related Report
      2008 Final Research Report
    • Peer Reviewed
  • [Journal Article] 動学的最適化における黄金最適政策、小特集 : 経済分析と最適化の数理2007

    • Author(s)
      岩本誠一
    • Journal Title

      三田学会雑誌(慶應義塾経済学会) 99巻

      Pages: 101-125

    • NAID

      40015405981

    • Related Report
      2008 Final Research Report
  • [Journal Article] 動学的最適化における黄金最適政策2007

    • Author(s)
      岩本 誠一
    • Journal Title

      『三田学会雑誌』(慶鷹義塾経済学会) 99

      Pages: 101-125

    • NAID

      120005440916

    • Related Report
      2007 Annual Research Report
  • [Journal Article] 最適化「ダ・ヴィンチ・コード」-経済数学へのプレリュード(VI)2007

    • Author(s)
      岩本 誠一
    • Journal Title

      経済学研究(九大経済学会) 別冊第13

      Pages: 45-52

    • Related Report
      2007 Annual Research Report
    • Peer Reviewed
  • [Journal Article] Golden optimal Policy in calculus of variation and dynamic programming2007

    • Author(s)
      Seiichi Iwamoto
    • Journal Title

      Advances in Mathematical Economics 10

      Pages: 65-89

    • Related Report
      2007 Annual Research Report
    • Peer Reviewed
  • [Journal Article] 最適値関数に表れる黄金比2007

    • Author(s)
      岩本 誠一, 他
    • Journal Title

      京大数理研講究録「最適化ro9題における確率モデルの展開と応用」 1559

      Pages: 56-66

    • Related Report
      2007 Annual Research Report
  • [Journal Article] Golden quadruplet: optimization-inequality-identity-operator2007

    • Author(s)
      Seiichi lwamoto
    • Journal Title

      Lecture Notes in Computer Science 4617

      Pages: 14-23

    • Related Report
      2007 Annual Research Report
    • Peer Reviewed
  • [Journal Article] Golden ratio appears in discrete-time dynamic optimization processes2007

    • Author(s)
      Akifumi Kira, el. al.
    • Journal Title

      Proceedings of Kosen Workshop"Mathematics, Technology and Education"(MTE2006 Ibaraki) 1

    • Related Report
      2007 Annual Research Report
    • Peer Reviewed
  • [Journal Article] The Golden optimum solution in quadratic programming2007

    • Author(s)
      Seiichi Iwamoto
    • Journal Title

      Proceedings of the International Conference on Nonlinear Analysis and Convex Analysis 4

    • Related Report
      2006 Annual Research Report
  • [Journal Article] Positively bi-tone sequential decision process2007

    • Author(s)
      Yukihiro Maruyama
    • Journal Title

      Proceedings of the International Conference on Nonlinear Analysis and Convex Analysis 4

    • Related Report
      2006 Annual Research Report
  • [Journal Article] On Golden inequalities, "The Development of Information and Decision Processes"2006

    • Author(s)
      S. Iwamoto and A. Kira
    • Journal Title

      京大数理研講究録1504

      Pages: 168-176

    • NAID

      110004735025

    • Related Report
      2008 Final Research Report
  • [Journal Article] Golden optimal values in discrete-time dynamic optimization processes, "The Development of Probability Models on Optimization Problems"2006

    • Author(s)
      S. Iwamoto and M. Yasuda
    • Journal Title

      京大数理研講究録1559

      Pages: 56-66

    • NAID

      110006279810

    • Related Report
      2008 Final Research Report
  • [Journal Article] 黄金最適解を鑑賞する--経済数学へのプレリュード(V)--2006

    • Author(s)
      岩本 誠一
    • Journal Title

      経済学研究(九大経済学会) 別冊 第12号

      Pages: 39-43

    • Related Report
      2006 Annual Research Report
  • [Journal Article] Dynamic programming creates the Golden ratio, too2006

    • Author(s)
      Seiichi Iwamoto
    • Journal Title

      京大数理研講究録「不確実性の下での意思決定と数理モデル」 1477

      Pages: 136-140

    • Related Report
      2006 Annual Research Report
  • [Journal Article] The Golden trinity --- optimality, inequality, identity ---2006

    • Author(s)
      Seiichi Iwamoto
    • Journal Title

      京大数理研講究録「経済の数理解析」 1488

      Pages: 1-14

    • Related Report
      2006 Annual Research Report
  • [Journal Article] on Golden inequalities2006

    • Author(s)
      Seiichi Iwamoto
    • Journal Title

      京大数理研講究録「情報決定過程の展開」 1504

      Pages: 168-176

    • Related Report
      2006 Annual Research Report
  • [Journal Article] 黄金最適解を鑑賞する--経済数学へのプレリュード(V)--2006

    • Author(s)
      岩本 誠一
    • Journal Title

      経済学研究(九大経済学会) 別冊第12号(in press)

    • Related Report
      2005 Annual Research Report
  • [Journal Article] Positively bitone sequential decision process2006

    • Author(s)
      Yukihiro.Maruyama
    • Journal Title

      Proceedings of The Fourth International Conference on Nonlinear Analysis and Convex Analysis 4(in press)

    • Related Report
      2005 Annual Research Report
  • [Journal Article] Cross dual on the Golden optimum solutions, 「経済の数理解析」2005

    • Author(s)
      S. Iwamoto
    • Journal Title

      京大数理研講究録1443

      Pages: 27-43

    • Related Report
      2008 Final Research Report
  • [Journal Article] Prominent Books and Articles in the 20th Century : Richard E.Bellman2005

    • Author(s)
      S. Iwamoto
    • Journal Title

      Dynamic Programming(Japanese), Information Processing(Society of Japan) Vol.46

      Pages: 842-842

    • Related Report
      2008 Final Research Report
    • Peer Reviewed
  • [Journal Article] ナッシュ均衡を求める--経済数学へのプレリュード(IV)2005

    • Author(s)
      岩本 誠一
    • Journal Title

      経済学研究(九大経済学会) 別冊第11号

      Pages: 35-41

    • Related Report
      2005 Annual Research Report
  • [Journal Article] Dog chases rabbit -- an invariant imbedding --2005

    • Author(s)
      Seiichi Iwamoto
    • Journal Title

      経済学研究(九大経済学会) 71・4

      Pages: 75-89

    • NAID

      110006263597

    • Related Report
      2005 Annual Research Report
  • [Journal Article] 「20世紀の名著・名論」Richard E.Bellman, Dynamic Programming2005

    • Author(s)
      岩本 誠一
    • Journal Title

      情報処理(学会誌) 46・7

      Pages: 842-842

    • Related Report
      2005 Annual Research Report
  • [Journal Article] Neural network rule extraction by using the genetic programming and applications to explanatory classification2005

    • Author(s)
      Sozo Tokinaga et al.
    • Journal Title

      IEICE Trans.Fundamentals E88-A・10

      Pages: 2627-2635

    • Related Report
      2005 Annual Research Report
  • [Journal Article] The Fibonacci complementary duality in quadratic programming

    • Author(s)
      S. Iwamoto and A. Kira
    • Journal Title

      Proceedings of the International Conference on Nonlinear Analysis and Convex Analysis(NACA2007, Taiwan)(W. Takahashi and T. Tanaka(Ed.)) (in press)

    • Related Report
      2008 Final Research Report
    • Peer Reviewed
  • [Presentation] Double versus triple competitive processes : non-deterministic model2008

    • Author(s)
      岩本 誠一
    • Organizer
      京大数理解析研究所研究集会「経済の数理解析」
    • Place of Presentation
      京大会館・京都市
    • Year and Date
      2008-11-29
    • Related Report
      2008 Annual Research Report
  • [Presentation] Golden optimal processes on three dynamics : deterministic, stochastic and non-deterministic2008

    • Author(s)
      岩本 誠一
    • Organizer
      京大数理解析研究所研究集会「経済の数理解析」
    • Place of Presentation
      京大会館・京都市
    • Year and Date
      2008-11-29
    • Related Report
      2008 Annual Research Report
  • [Presentation] Golden complementary dual in quadratic optimization2008

    • Author(s)
      A. Kira
    • Organizer
      The Fifth Intl Conf. MDAI
    • Place of Presentation
      Catalonia, Spain
    • Year and Date
      2008-10-30
    • Related Report
      2008 Annual Research Report
  • [Presentation] ベルマン方程式入門2008

    • Author(s)
      岩本 誠一
    • Organizer
      第12計画数学研究集会「数理的決定における解析と展開」
    • Place of Presentation
      県民文化会館・和歌山市
    • Year and Date
      2008-10-18
    • Related Report
      2008 Annual Research Report
  • [Presentation] 美しい最適解を求めて : (I)黄金図形一長方形からハートまで-、(II)On Fibonacci Complementary Duality2008

    • Author(s)
      岩本 誠一
    • Organizer
      日本OR学会九州支部「最適化と数理のORセミナー」
    • Place of Presentation
      九州大・経済学部
    • Year and Date
      2008-10-04
    • Related Report
      2008 Annual Research Report
  • [Presentation] The Fibonacci optimal control processes-- dual and reversal--2008

    • Author(s)
      S. Iwamoto
    • Organizer
      Asian Conference on Nonlinear Analysis and Optimization (NAO-Asia2008)
    • Place of Presentation
      Matsue, Japan
    • Year and Date
      2008-09-15
    • Related Report
      2008 Annual Research Report
  • [Presentation] Fibobacci Complementary Duality in Optimization2008

    • Author(s)
      A. Kira
    • Organizer
      The Thirteenth International Conference on Fibonacci Numbers and Their Applications
    • Place of Presentation
      University of Patras, Patras, Greece
    • Year and Date
      2008-07-08
    • Related Report
      2008 Final Research Report
  • [Presentation] Fibonacci complementary duality in optimization2008

    • Author(s)
      A. Kira
    • Organizer
      The 13-th Intl Conf. on Fibonacci Numbers and Their Applications
    • Place of Presentation
      Patras, Greece
    • Year and Date
      2008-07-08
    • Related Report
      2008 Annual Research Report
  • [Presentation] The Golden optimal traiecfories in continuous dynamic optimisation2007

    • Author(s)
      Seiichi lwamoto, et. al.
    • Organizer
      Institute for Operations Research and the Management Sciences(INFORMS)
    • Place of Presentation
      San Juan, Puerto Rico
    • Year and Date
      2007-07-08
    • Related Report
      2007 Annual Research Report
  • [Presentation] Optimal solution is Fibonacci in quadratic programming2007

    • Author(s)
      Akifumi Kira, et. al.
    • Organizer
      Institute for Operations Research and the Management Sciences(INFORMS)
    • Place of Presentation
      San Juan, Puerto Rico
    • Year and Date
      2007-07-08
    • Related Report
      2007 Annual Research Report
  • [Presentation] The Fibonacci Complementary Duality in Quadratic Programming2007

    • Author(s)
      S. Iwamoto
    • Organizer
      The Fifth International Conference on Nonlinear Analysis and Convex Analysis(NACA07)
    • Place of Presentation
      National Tsing-Hua University, Hsinchu Taiwan
    • Year and Date
      2007-06-01
    • Related Report
      2008 Final Research Report
  • [Presentation] The Fibonacci complementary duality in quadratic proSramming2007

    • Author(s)
      Seiichi Iwamoto, et. al.
    • Organizer
      The Fifth International Conference on Nonlinear Analysis and Convex Analysis(NACAO7)
    • Place of Presentation
      国立台湾精華大学(新竹)
    • Year and Date
      2007-06-01
    • Related Report
      2007 Annual Research Report
  • [Presentation] Golden Optimal Path in Discrete-Time Dynamic Optimization Processes2006

    • Author(s)
      S. Iwamoto
    • Organizer
      The 15-th International Conference on Difference Equations and Applications(ICDEA 2006)
    • Place of Presentation
      Kyoto University, Kyoto
    • Year and Date
      2006-07-25
    • Related Report
      2008 Final Research Report
  • [Presentation] Dynamic Pricing of Pacific Option2005

    • Author(s)
      S. Iwamoto
    • Organizer
      The Seventeenth Triennial Conference of the International Federation of Operational Research Societies(IFORS2005)
    • Place of Presentation
      Hilton Hawaiian Village Beach Resort and Spa.
    • Year and Date
      2005-07-13
    • Related Report
      2008 Final Research Report
  • [Presentation] The Golden Optimum Solution in Quadratic Programming2005

    • Author(s)
      S. Iwamoto
    • Organizer
      The Fourth International Conference on Nonlinear Analysis and Convex Analysis(NACA05)
    • Place of Presentation
      Okinawa Convention Center, Okinawa
    • Year and Date
      2005-07-01
    • Related Report
      2008 Final Research Report
  • [Book] 経済・経営情報リテラシーの基礎2008

    • Author(s)
      時永祥三・高木昇・池田欽一
    • Total Pages
      190
    • Publisher
      九州大学出版会
    • Related Report
      2008 Final Research Report
  • [Book] 情報経済のマクロ分析2008

    • Author(s)
      時永祥三・呂健軍
    • Total Pages
      232
    • Publisher
      九州大学出版会
    • Related Report
      2008 Final Research Report
  • [Remarks]

    • URL

      http://www.en.kyushu-u.ac.jp/iwamoto/

    • Related Report
      2008 Final Research Report
  • [Remarks]

    • URL

      http://www.en.kyushu-u.ac.jp/iwamoto/

    • Related Report
      2008 Annual Research Report
  • [Remarks]

    • URL

      http://www.en.kyushu-u.ac.jp/iwamoto/

    • Related Report
      2007 Annual Research Report

URL: 

Published: 2005-04-01   Modified: 2016-04-21  

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