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Development of the methods of stochastic control and filtering in mathematical finance

Research Project

Project/Area Number 20340019
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 InstitutionKansai University (2011-2012)
Osaka University (2008-2010)

Principal Investigator

NAGAI Hideo  関西大学, システム理工学部, 教授 (70110848)

Co-Investigator(Kenkyū-buntansha) KOHATSU-HIGA Arturo  立命館大学, 理工学部, 教授 (80420412)
SEKINE Jun  大阪大学, 大学院・基礎工学研究科, 教授 (50314399)
MIYAHARA Yoshio  名古屋市立大学, 名誉教授 (20106256)
KOIKE Shigeaki  東北大学, 大学院・理学研究科, 教授 (90205295)
ISHII Hitoshi  早稲田大学, 教育・総合科学学術院, 教授 (70102887)
HATA Hiroaki  静岡大学, 教育学部, 助教 (00609290)
Co-Investigator(Renkei-kenkyūsha) AIDA Shigeki  東北大学, 大学院・理学研究科, 教授 (90222455)
NAGAHATA Yukio  新潟大学, 大学院・理工学研究科, 准教授 (50397725)
TAMURA Takashi  大阪府立大学, 学術研究院, 准教授 (50437357)
KAISE Hidehiro  大阪大学, 大学院・基礎工学研究科, 准教授 (60377778)
Project Period (FY) 2008 – 2012
Project Status Completed (Fiscal Year 2012)
Budget Amount *help
¥19,370,000 (Direct Cost: ¥14,900,000、Indirect Cost: ¥4,470,000)
Fiscal Year 2012: ¥4,030,000 (Direct Cost: ¥3,100,000、Indirect Cost: ¥930,000)
Fiscal Year 2011: ¥3,770,000 (Direct Cost: ¥2,900,000、Indirect Cost: ¥870,000)
Fiscal Year 2010: ¥3,640,000 (Direct Cost: ¥2,800,000、Indirect Cost: ¥840,000)
Fiscal Year 2009: ¥3,770,000 (Direct Cost: ¥2,900,000、Indirect Cost: ¥870,000)
Fiscal Year 2008: ¥4,160,000 (Direct Cost: ¥3,200,000、Indirect Cost: ¥960,000)
Keywords大偏差確率制御 / H-J-B 方程式 / ポートフォリオ最適化 / デリバティブの価値評価 / 双対性定理 / エルゴード型確率制御 / リスク鋭感的確率制御 / 粘性解 / ロバスト性 / エルゴード型H-J-B方程式 / インサイダー取引市場モデル / ハミルトン・ヤコビ方程式 / 期待効用最大化 / リスク鋭感的価値尺度 / ポートフォリオ最適化、大偏差確率制御 / H-J-B方程式 / ダウンサイドリスク最小化 / 価値尺度 / インサイダー取引モデル / 局所最大値原理 / ハルナック不等式 / ダウンサイドリスク / リスク鋭感的制御 / 弱近似
Research Abstract

We considered the portfolio optimization problems related to expected utility maximization and valuation of the derivatives as certain kinds of stochastic control problems and developed analysis based on filtering theory and the dynamic programming principles. In particular, we obtained notable results e.g. duality theorems etc., on the large deviation control problems by bringing new aspects in considering down side risk minimization.

Report

(7 results)
  • 2012 Annual Research Report   Final Research Report ( PDF )
  • 2011 Annual Research Report
  • 2010 Annual Research Report   Self-evaluation Report ( PDF )
  • 2009 Annual Research Report
  • 2008 Annual Research Report
  • Research Products

    (130 results)

All 2013 2012 2011 2010 2009 2008 Other

All Journal Article (50 results) (of which Peer Reviewed: 50 results,  Open Access: 1 results) Presentation (77 results) (of which Invited: 15 results) Book (3 results)

  • [Journal Article] A new PDE approach to the large time asymptotics of solutions of Hamilton.Jacobi equations2013

    • Author(s)
      G.Barles, H.Ishii and H.Mitake
    • Journal Title

      Bull. Math. Sci

      Volume: (in press) Issue: 3 Pages: 363-388

    • DOI

      10.1007/s13373-013-0036-0

    • Related Report
      2012 Final Research Report
    • Peer Reviewed / Open Access
  • [Journal Article] Expected power-utility maximization under incomplete information and with Cox-process observation2013

    • Author(s)
      H. Nagai
    • Journal Title

      Appl. Math. Optimization

      Volume: 67 Issue: 1 Pages: 33-72

    • DOI

      10.1007/s00245-012-9180-2

    • Related Report
      2012 Annual Research Report 2012 Final Research Report
    • Peer Reviewed
  • [Journal Article] A market model with medium/long-term effects due to an insider2013

    • Author(s)
      Hata, Hiroaki, Kohatsu-Higa, Arturo
    • Journal Title

      Quantitative Finance

      Volume: Volume 13, Number 3 Issue: 3 Pages: 421-437

    • DOI

      10.1080/14697688.2012.695084

    • Related Report
      2012 Annual Research Report 2012 Final Research Report
    • Peer Reviewed
  • [Journal Article] Risk-sensitive asset management with Wishart autoregressive type factor model2013

    • Author(s)
      H.Hata and J.Sekine
    • Journal Title

      Journal of Mathematical Finance

      Volume: 3(1A) Issue: 01 Pages: 222-229

    • DOI

      10.4236/jmf.2013.31a021

    • Related Report
      2012 Annual Research Report 2012 Final Research Report
    • Peer Reviewed
  • [Journal Article] Downside risk minimization via a large deviations approach2012

    • Author(s)
      H. Nagai
    • Journal Title

      Annals of Applied Probability

      Volume: vol.22 Issue: 2 Pages: 608-669

    • DOI

      10.1214/11-aap781

    • Related Report
      2012 Annual Research Report 2012 Final Research Report
    • Peer Reviewed
  • [Journal Article] Down-side risk minimization under prescribed consumption level2012

    • Author(s)
      H.Nagai
    • Journal Title

      Risk and Decision Analysis

      Volume: 3 Issue: 3 Pages: 191-200

    • DOI

      10.3233/rda-2011-0058

    • Related Report
      2012 Annual Research Report 2012 Final Research Report
    • Peer Reviewed
  • [Journal Article] On the large time behavior of solutions of Hamilton-Jacobi equations associated with nonlinear boundary conditions2012

    • Author(s)
      Guy Barles, 石井仁司, 三竹大寿
    • Journal Title

      Archive Rational Mechanic Analysis

      Volume: (印刷中) Issue: 2 Pages: 515-558

    • DOI

      10.1007/s00205-011-0484-1

    • Related Report
      2012 Annual Research Report 2012 Final Research Report
    • Peer Reviewed
  • [Journal Article] Lcal maximum principle for Lp viscosity solutions of fully nonlinear elliptic PDEs with unbounded coefficients2012

    • Author(s)
      S. Koike, A. Swiech
    • Journal Title

      Communications in Pure and Applied Analysis

      Volume: 11, No5 Issue: 5 Pages: 1897-1910

    • DOI

      10.3934/cpaa.2012.11.1897

    • Related Report
      2012 Annual Research Report 2012 Final Research Report
    • Peer Reviewed
  • [Journal Article] Weak Kyle-Back equilibrium models for Max and ArgMax2012

    • Author(s)
      Kohatsu-Higa and S. Ortiz
    • Journal Title

      SIAM Journal on Financial Mathematics

      Volume: vol.1 Issue: 1 Pages: 179-211

    • DOI

      10.1137/080739768

    • Related Report
      2012 Final Research Report
    • Peer Reviewed
  • [Journal Article] Eigenvalue problem for fully nonlinear second-order elliptic PDE on balls2012

    • Author(s)
      N. Ikoma
    • Journal Title

      Ann. Inst. H. Poincare Anal. Non Lineaire

      Volume: 29 Issue: 5 Pages: 783-812

    • DOI

      10.1016/j.anihpc.2012.04.004

    • Related Report
      2012 Annual Research Report
    • Peer Reviewed
  • [Journal Article] A pde approach to small stochastic perturbations of Hamiltonian flows2012

    • Author(s)
      H. Ishii
    • Journal Title

      J. Differential Equations

      Volume: 252 Issue: 2 Pages: 1748-1775

    • DOI

      10.1016/j.jde.2011.08.036

    • Related Report
      2011 Annual Research Report
    • Peer Reviewed
  • [Journal Article] Comparison principle for unbounded viscosity solutions of degenerate elliptic PDEs with gradient superlinear terms2011

    • Author(s)
      S. Koike, O. Ley
    • Journal Title

      Journal of Mathematical Analysis and Applications

      Volume: vol. 381 (1) Pages: 110-120

    • Related Report
      2012 Final Research Report
    • Peer Reviewed
  • [Journal Article] Asymptotics of the probability minimizing a "down-side" risk under paertial information2011

    • Author(s)
      H.Nagai
    • Journal Title

      Quantitative Finance

      Volume: Vol.11 Pages: 789-803

    • Related Report
      2012 Final Research Report
    • Peer Reviewed
  • [Journal Article] Weak KAM aspects of convex Hamilton.Jacobi equations with Neumann type boundary conditions2011

    • Author(s)
      H. Ishii
    • Journal Title

      J. Math. Pures Appl.

      Volume: 95 Issue: 1 Pages: 99-135

    • DOI

      10.1016/j.matpur.2010.10.006

    • Related Report
      2012 Final Research Report
    • Peer Reviewed
  • [Journal Article] Asymptotics of the probability minimizing "down-side" risk under partial information2011

    • Author(s)
      H.Nagai
    • Journal Title

      Quantitative Finance

      Volume: 11 Issue: 5 Pages: 789-803

    • DOI

      10.1080/14697680903341814

    • Related Report
      2011 Annual Research Report
    • Peer Reviewed
  • [Journal Article] Insider models with finite utility in markets with jumps2011

    • Author(s)
      A. Kohatsu-Higa
    • Journal Title

      Applied Mathematics and Optimization

      Volume: 64 Issue: 2 Pages: 217-255

    • DOI

      10.1007/s00245-011-9137-x

    • Related Report
      2011 Annual Research Report
    • Peer Reviewed
  • [Journal Article] Comparison principle for unbounded viscosity solutions of degenerate elliptic PDEs with gradient superlinear terms2011

    • Author(s)
      S. Koike
    • Journal Title

      Journal of Mathematical Analysis and Applications

      Volume: 381 Issue: 1 Pages: 110-120

    • DOI

      10.1016/j.jmaa.2011.03.009

    • Related Report
      2011 Annual Research Report
    • Peer Reviewed
  • [Journal Article] Asymptotics of the probability minimizing a "down-side"risk under paertial information2011

    • Author(s)
      H.Nagai
    • Journal Title

      Quantitative Finance

      Volume: (掲載確定)

    • Related Report
      2010 Annual Research Report
    • Peer Reviewed
  • [Journal Article] Jump-adapted discretization schemes for Levy-driven SDEs2011

    • Author(s)
      A.Kohatsu-Higa, P.Tankov
    • Journal Title

      Stochastic processes and their applications

      Volume: (掲載確定)

    • Related Report
      2010 Annual Research Report
    • Peer Reviewed
  • [Journal Article] Weak Harnack inequality for fully nonlinear uniformly elliptic PDE with unbounded ingredients2011

    • Author(s)
      S.Koike, O.Ley
    • Journal Title

      Journal Mathematical Analysis and Applications

      Volume: 29(掲載確定)

    • NAID

      10026998426

    • Related Report
      2010 Annual Research Report
    • Peer Reviewed
  • [Journal Article] Weak KAM aspects of convex Hamilton-Jacobi equations with Neumanntype houndary conditions2011

    • Author(s)
      H.Ishii
    • Journal Title

      J.Math.Pures Appl.

      Volume: 95 Pages: 99-135

    • Related Report
      2010 Annual Research Report
    • Peer Reviewed
  • [Journal Article] Asymptotics of the probability minimizing a "down-side" risk2010

    • Author(s)
      H. Hata, H. Nagai and S.J. Sheu
    • Journal Title

      Annals of Applied Probability

      Volume: vol.20 Issue: 1 Pages: 52-89

    • DOI

      10.1214/09-aap618

    • Related Report
      2012 Final Research Report
    • Peer Reviewed
  • [Journal Article] Risk-sensitive asset management, Encyclopedia of Quantitative Finance2010

    • Author(s)
      H. Nagai
    • Journal Title

      Chichester

      Pages: 1589-15931

    • DOI

      10.1002/9780470061602.eqf14018

    • Related Report
      2012 Final Research Report
    • Peer Reviewed
  • [Journal Article] Jump-adapted discretization schemes for Levy-driven SDEs2010

    • Author(s)
      A.Kohatsu-Higa and P. Tankov
    • Journal Title

      Stochastic processes and their applications

      Volume: vol. 120 Issue: 11 Pages: 2258-2285

    • DOI

      10.1016/j.spa.2010.07.001

    • Related Report
      2012 Final Research Report
    • Peer Reviewed
  • [Journal Article] Risk-Sensitive Value Measure Method for Projects Evaluation2010

    • Author(s)
      Y. Miyahara
    • Journal Title

      Journal of Real Options and Strategy

      Volume: vol.3 Pages: 185-204

    • NAID

      130000308227

    • Related Report
      2012 Final Research Report
    • Peer Reviewed
  • [Journal Article] Asymptotics of the probability minimizing a "down-side" risk2010

    • Author(s)
      H.Hata, H.Nagai, S.J.Sheu
    • Journal Title

      Annals of Applied Probability vol.20

      Pages: 52-89

    • Related Report
      2010 Self-evaluation Report
    • Peer Reviewed
  • [Journal Article] Weak Kyle-Back equilibrium models for Max and ArgMax2010

    • Author(s)
      A.Kohatsu-Higa, S.Ortiz
    • Journal Title

      SIAM Journal on Financial Mathematics vol.1

      Pages: 179-211

    • Related Report
      2010 Self-evaluation Report
    • Peer Reviewed
  • [Journal Article] Risk-Sensitive Value Measure Method for projects Evaluation2010

    • Author(s)
      Y.Miyahara
    • Journal Title

      Journal of Real Options and Strategy vol.3

      Pages: 186-204

    • NAID

      130000308227

    • Related Report
      2010 Self-evaluation Report
    • Peer Reviewed
  • [Journal Article] Asymptotics of the probability minimizing a "down-side" risk2010

    • Author(s)
      H.Hata, H.Nagai, S.J.Sheu
    • Journal Title

      Annals of Applied probability

      Volume: 20 Pages: 52-89

    • Related Report
      2010 Annual Research Report
    • Peer Reviewed
  • [Journal Article] Risk-sensitive asset management2010

    • Author(s)
      H.Nagai
    • Journal Title

      Encyclopedia of Quantitative Finance, (ed.) R.Cont, John Wiley&Sons Ltd.Chichester

      Pages: 1589-1593

    • Related Report
      2010 Annual Research Report
    • Peer Reviewed
  • [Journal Article] Weak Kyle-Back equilibrium models for Max and Arg Max2010

    • Author(s)
      A.Kohatsu-Higa, S.Ortiz
    • Journal Title

      SIAM Journal on Financial Mathematics

      Volume: 1 Pages: 179-211

    • Related Report
      2010 Annual Research Report
    • Peer Reviewed
  • [Journal Article] Computation of Greek and multidimensional density estimation for asset price models with time-changed Brownian Motion2010

    • Author(s)
      R.Kawai, A.Kohatsu-Higa
    • Journal Title

      Applied mathematical finance

      Volume: 17 Pages: 301-321

    • Related Report
      2010 Annual Research Report
    • Peer Reviewed
  • [Journal Article] Risk-Sensitive Value Measure Method for Projects Evaluation2010

    • Author(s)
      Yoshio Miyahara
    • Journal Title

      Journal of Real Options and Strategy

      Volume: 3 Pages: 185-204

    • NAID

      130000308227

    • Related Report
      2010 Annual Research Report
    • Peer Reviewed
  • [Journal Article] Non-local Hamilton-Jacobi equations arising dislocation dynamics2010

    • Author(s)
      Hitoshi Ishii, Yutaka Matsumura
    • Journal Title

      Z.Anal.Anwend

      Volume: 29 Pages: 309-350

    • Related Report
      2010 Annual Research Report
    • Peer Reviewed
  • [Journal Article] A class of integral eqations and approximation of p- Laplace equations2010

    • Author(s)
      Hitoshi Ishii, Gou Nakamura
    • Journal Title

      Calc.Var.Patial Differential Equations

      Volume: 37 Pages: 485-552

    • Related Report
      2010 Annual Research Report
    • Peer Reviewed
  • [Journal Article] Asymptotics of the probabHity minimizing a "down-side" risk2010

    • Author(s)
      H.Hata, H.Nagai, S.J.Sheu
    • Journal Title

      Annals of Applied Probability 20

      Pages: 52-89

    • Related Report
      2009 Annual Research Report
    • Peer Reviewed
  • [Journal Article] Asymptotics of the probability minimizing a "down-side" risk under partial information2010

    • Author(s)
      H.Nagai
    • Journal Title

      Quantitative Finance (In press)

    • Related Report
      2009 Annual Research Report
    • Peer Reviewed
  • [Journal Article] Lower bounds for densities of Asian type stochastic differential equations2010

    • Author(s)
      V.Bally, A.Kohatsu-Higa
    • Journal Title

      Journal of Functional Analysis (In press)

    • Related Report
      2009 Annual Research Report
    • Peer Reviewed
  • [Journal Article] Weak Harnack inequality for fully nonlinear uniformly elliptic PDE with unbounded ingredients2009

    • Author(s)
      S.Koike and A.Swiech
    • Journal Title

      Journal of the Mathematical Society of Japan

      Volume: 61 Issue: 3 Pages: 723-755

    • DOI

      10.2969/jmsj/06130723

    • NAID

      10026998426

    • ISSN
      0025-5645, 1881-1167, 1881-2333
    • Related Report
      2012 Final Research Report
    • Peer Reviewed
  • [Journal Article] Existence of strong solutions of Pucci extremal equations with superlinear growth in Du2009

    • Author(s)
      S.Koike and A.Swiech
    • Journal Title

      Journal of the Fixed Point Theory and its Application

      Volume: 5 Pages: 291-304

    • Related Report
      2012 Final Research Report
    • Peer Reviewed
  • [Journal Article] Weak Harnack inequality for fully nonlinear uniformly elliptic PDE with unbounded ingredients2009

    • Author(s)
      S.Koike, A.Swiech
    • Journal Title

      Journal of Mathematical Society of Japan vol.61

      Pages: 723-755

    • NAID

      10026998426

    • Related Report
      2010 Self-evaluation Report
    • Peer Reviewed
  • [Journal Article] Estimating Multidimensional Density Functions using the Malliavin-Thalmaier Formula2009

    • Author(s)
      A.Kohatsu-Higa, K.Yasuda
    • Journal Title

      SIAM Journal on Numerical Analysis 47

      Pages: 1546-1575

    • Related Report
      2009 Annual Research Report
    • Peer Reviewed
  • [Journal Article] Weak Harnack inequality for fully nonlinear uniformly elliptic PDE with unbounded ingredients2009

    • Author(s)
      S.Koike, A.Swiech
    • Journal Title

      Journal of Mathematical Society of Japan 61

      Pages: 723-755

    • NAID

      10026998426

    • Related Report
      2009 Annual Research Report
    • Peer Reviewed
  • [Journal Article] Existence of strong solutions of Pucci extremal equations with superlinear growth in Du2009

    • Author(s)
      S.Koike, A.Swiech
    • Journal Title

      Journal of the Fixed Point Theory and its Applications 5

      Pages: 291-304

    • Related Report
      2009 Annual Research Report
    • Peer Reviewed
  • [Journal Article] Option Pricing Based on Geometric Stable Processes and Minimal Entropy Martingale Measures2009

    • Author(s)
      Y.Miyahara, N.Moriwaki
    • Journal Title

      Recent Advances in Financial Engineering (Proceedings of the 2008 Daiwa International Workshop on Financial Engineering)

      Pages: 119-133

    • Related Report
      2009 Annual Research Report
    • Peer Reviewed
  • [Journal Article] PDE approach to utility maximization for market models with hidden Markov factors2008

    • Author(s)
      H. Nagai and W.J. Runggaldier:
    • Journal Title

      Progress in Probability

      Volume: vol.59 Pages: 493-506

    • Related Report
      2012 Final Research Report
    • Peer Reviewed
  • [Journal Article] PDE approach to utility maximization for market models with hidden Markov factors2008

    • Author(s)
      Hideo NAGAI
    • Journal Title

      “Progress in Probability" Seminar on stochastic analysis, random fields and applications

      Pages: 493-506

    • Related Report
      2008 Annual Research Report
    • Peer Reviewed
  • [Journal Article] Estimating Multi-dimensional density functions for random variables in Wiener space2008

    • Author(s)
      A. Kohatsu-Higa
    • Journal Title

      C. R. Math. Acad. Sci. Paris 346

      Pages: 335-338

    • Related Report
      2008 Annual Research Report
    • Peer Reviewed
  • [Journal Article] A note on the risk-premium process in an equilibrium2008

    • Author(s)
      Jun Sekine
    • Journal Title

      International Journal of Theoretical and Applied Finance 11

      Pages: 705-716

    • Related Report
      2008 Annual Research Report
    • Peer Reviewed
  • [Journal Article] Asymptotics of the probability minimizing a "down-side" risk under partial information

    • Author(s)
      H.Nagai
    • Journal Title

      Quantitative Finance 掲載予定

    • Related Report
      2010 Self-evaluation Report
    • Peer Reviewed
  • [Presentation] A PDE approach to asymptotic solutions of Hamilton-Jacobi equations2013

    • Author(s)
      H. Ishii
    • Organizer
      CAPM/Nonlinear PDE
    • Place of Presentation
      シカゴ大学数学科(Eckhart 202) (アメリカ)
    • Year and Date
      2013-02-13
    • Related Report
      2012 Final Research Report
  • [Presentation] Some remarks on large deviation estimates for controlled semi-martingales2013

    • Author(s)
      H. Nagai
    • Organizer
      2012 NCTS Workshop on Stochastic processes and Applications, NCTS
    • Place of Presentation
      Taiwan
    • Related Report
      2012 Final Research Report
  • [Presentation] Robust estimates of certain large deviation probabilities for controlled semi-martingales2013

    • Author(s)
      H. Nagai
    • Organizer
      Workshop on Stochastic Processes and Applications
    • Place of Presentation
      NCTS, National Tsing Hua University, Taiwan
    • Related Report
      2012 Annual Research Report
    • Invited
  • [Presentation] Risk-sensitive portfolio optimization problems with Levy-driven Cox-Ingersoll-Ross interest rates2012

    • Author(s)
      H.Hata
    • Organizer
      Research Seminar in Probability
    • Place of Presentation
      Academia Sinica, Taiwan
    • Year and Date
      2012-09-24
    • Related Report
      2012 Final Research Report
  • [Presentation] Large time behavior of solutions of Hamilton-Jacobi equations with the Neumann boundary condition2012

    • Author(s)
      H. Ishii
    • Organizer
      International Conference in Geometric and Nonlinear Partial Differential Equation
    • Place of Presentation
      西安交通大学 (中国)
    • Year and Date
      2012-06-13
    • Related Report
      2012 Annual Research Report 2012 Final Research Report
  • [Presentation] Applications of Risk-Sensitive Value Measure Method to Portfolio Evaluation Problems2012

    • Author(s)
      Yoshio Miyahara
    • Organizer
      Bachelier Finance Society
    • Place of Presentation
      Sydney
    • Year and Date
      2012-05-19
    • Related Report
      2012 Final Research Report
  • [Presentation] Risk-Sensitive Value Measure and its Applications2012

    • Author(s)
      Yoshio Miyahara
    • Organizer
      Workshop on Stochastic Processes and Applications, NCTS
    • Place of Presentation
      Taiwan
    • Year and Date
      2012-03-09
    • Related Report
      2012 Final Research Report
  • [Presentation] Estimates of certain large deviation probabilities for controlled semi-martingales2012

    • Author(s)
      H. Nagai
    • Organizer
      Perspective in Analysis and Probability, Conference in honor of Freddy Delbaen
    • Place of Presentation
      ETH Zurich, Switzerland
    • Related Report
      2012 Final Research Report
  • [Presentation] Large deviation estimates for controlled semi-martingales2012

    • Author(s)
      H. Nagai
    • Organizer
      2012 Ajou workshop on financial economics and mathematics
    • Place of Presentation
      Suwon, Korea
    • Related Report
      2012 Annual Research Report 2012 Final Research Report
  • [Presentation] Estimates of certain large deviation probabilities for controlled semi-martingales2012

    • Author(s)
      H. Nagai
    • Organizer
      Perspective in Analysis and Probability
    • Place of Presentation
      ETH Zurich, Switzerland
    • Related Report
      2012 Annual Research Report
    • Invited
  • [Presentation] Recent Results on Integration by Parts Formulae and Applications to Greeks2012

    • Author(s)
      A. Kohatsu-Higa
    • Organizer
      Ajou Workshop in Financial Economics and Finance
    • Place of Presentation
      Suwon, Korea
    • Related Report
      2012 Annual Research Report
    • Invited
  • [Presentation] Small stochastic perturbations of Hamiltonian flows in 2D: a PDE approach2012

    • Author(s)
      H. Ishii
    • Organizer
      5th Euro-Japanese Workshop on Blow-up
    • Place of Presentation
      CIRM Luminy (マルセーユ大学)(フランス)
    • Related Report
      2012 Annual Research Report
    • Invited
  • [Presentation] Eigenvalue problem for fully nonlinear elliptic PDE on balls2012

    • Author(s)
      H. Ishii
    • Organizer
      Mostly Maximum Principle
    • Place of Presentation
      ローマ大学 (サピエンザ校)(イタリア)
    • Related Report
      2012 Annual Research Report
    • Invited
  • [Presentation] Some remarks on large deviation estimates for controlled semi-martingales2012

    • Author(s)
      H. Nagai
    • Organizer
      2012 NCTS Workshop on Stochastic processes and Applications
    • Place of Presentation
      NCTS, Taiwan
    • Related Report
      2011 Annual Research Report
    • Invited
  • [Presentation] Large time behavior of solutions of Hamilton-Jacobi equations with Neumann type BC2011

    • Author(s)
      H. Ishii
    • Organizer
      Dynamical Optimization in PDE and Geometry
    • Place of Presentation
      ボルドー大学第1,(フランス)
    • Year and Date
      2011-12-19
    • Related Report
      2012 Final Research Report
  • [Presentation] リスク鋭感的価値尺度2011

    • Author(s)
      宮原 孝夫
    • Organizer
      日本保険・年金リスク学会 第1回研究会
    • Place of Presentation
      本社セミナールーム
    • Year and Date
      2011-12-09
    • Related Report
      2012 Final Research Report
  • [Presentation] Small stochastic perturbations of Hamiltonian flows: a PDE approach2011

    • Author(s)
      H. Ishii
    • Organizer
      Sixth International Conference on Differential and Functional Differential Equations,略して,DFDE2011
    • Place of Presentation
      スチェクロフ数学研究所,モスクワ,ロシア (招待講演)
    • Year and Date
      2011-08-15
    • Related Report
      2012 Final Research Report
  • [Presentation] Long-time behavior of solutions of Hamilton-Jacobi equations with Neumann type boundary conditions2011

    • Author(s)
      H. Ishii
    • Organizer
      Riviere-Fabes symposium
    • Place of Presentation
      ミネソタ大学,ミネアポリス,米国
    • Year and Date
      2011-04-16
    • Related Report
      2012 Final Research Report
  • [Presentation] 制御項を含む大偏差確率の評価とエルゴード型H-J-B方程式2011

    • Author(s)
      長井英生
    • Organizer
      日本数学会統計数学分科会
    • Place of Presentation
      早稲田大学(特別招待講演)
    • Year and Date
      2011-03-20
    • Related Report
      2010 Annual Research Report
  • [Presentation] Asymptotic estimates of probability minimizing down-side risk and H-J-B equations of ergodic type2011

    • Author(s)
      H. Nagai
    • Organizer
      2011 Probability One Day Workshop, Academia Sinica,NCTS
    • Place of Presentation
      National Central University, Taiwan
    • Year and Date
      2011-02-23
    • Related Report
      2012 Final Research Report
  • [Presentation] Asymptotic estimates of probability minimizing down-side risk and H-J-B equations of ergodic type2011

    • Author(s)
      H.Nagai
    • Organizer
      Probability one day workshop
    • Place of Presentation
      Academia Sinica, Taiwan(招待講演)
    • Year and Date
      2011-02-23
    • Related Report
      2010 Annual Research Report
  • [Presentation] On viscosity solutions of fully nonlinear elliptic PDE with measurable and unbounded ingredients2011

    • Author(s)
      S.Koike
    • Organizer
      Nonlinear PDE's
    • Place of Presentation
      Valparaiso, Chile
    • Year and Date
      2011-01-14
    • Related Report
      2012 Final Research Report
  • [Presentation] On viscosity solutions of fully nonlinear elliptic PDE with measurable and unbounded ingredients2011

    • Author(s)
      S.Koike
    • Organizer
      Nonlinear PDEs
    • Place of Presentation
      Valparaiso・Chile
    • Year and Date
      2011-01-14
    • Related Report
      2010 Self-evaluation Report
  • [Presentation] On viscosity solutions of fully nonlinear elliptic PDE with measurable and unbounded ingredients2011

    • Author(s)
      S.Koike
    • Organizer
      Nonlinear PDE's
    • Place of Presentation
      Valparaiso, Chile(招待講演)
    • Year and Date
      2011-01-14
    • Related Report
      2010 Annual Research Report
  • [Presentation] Small stochastic perturbations of Hamiltonian flows : a PDE approach2011

    • Author(s)
      H.Ishii
    • Organizer
      Nonlinear PDE's in Valparaiso
    • Place of Presentation
      Universidad Tecnica Federico Santa Maria, Chile(招待講演)
    • Year and Date
      2011-01-14
    • Related Report
      2010 Annual Research Report
  • [Presentation] 制御項を含む大偏差確率の評価とエルゴード型H-J-B 方程式2011

    • Author(s)
      長井 英生
    • Organizer
      日本数学会秋季総合分科会 統計数学分科会
    • Place of Presentation
      信州大学、松本
    • Related Report
      2012 Final Research Report
  • [Presentation] Asymptotic estimates of Probability minimizing down-side risk and analysis of H-J-B equations of ergodic type2011

    • Author(s)
      H. Nagai
    • Organizer
      The 2nd NTH conference on Finance and Insurance Mathematics
    • Place of Presentation
      Braunschweig, Germany
    • Related Report
      2012 Final Research Report
  • [Presentation] Approximation methods for stochastic differential equations driven by Levy processes2. Seventh Seminar on Stochastic Analysis2011

    • Author(s)
      A .Kohatsu-Higa
    • Organizer
      Random Fields and Applications
    • Place of Presentation
      Ascona, Switzerland
    • Related Report
      2012 Final Research Report
  • [Presentation] Asymptotic estimates of probability minimizing down-side risk and analysis of H-J-B equations of ergodic type2011

    • Author(s)
      H.Nagai
    • Organizer
      The 2nd NTH conference on Finance and Insurance Mathematics
    • Place of Presentation
      Braunschweig, Germany
    • Related Report
      2011 Annual Research Report
    • Invited
  • [Presentation] 制御項を含む大偏差確率の評価とエルゴード型H-J-B 方程式2011

    • Author(s)
      長井 英生
    • Organizer
      日本数学会秋季総合分科会 統計数学分科会特別講演
    • Place of Presentation
      松本 信州大学
    • Related Report
      2011 Annual Research Report
    • Invited
  • [Presentation] Approximations for SDEs driven by Levy processes2011

    • Author(s)
      A. Kohatsu-Higa
    • Organizer
      Workshop Rough Paths and Numerical Integration Methods
    • Place of Presentation
      Philipps-University,Marburg
    • Related Report
      2011 Annual Research Report
    • Invited
  • [Presentation] Approximation methods for stochastic differential equations driven by Levy Processes2011

    • Author(s)
      A. Kohatsu-Higa
    • Organizer
      Seventh Seminar on Stochastic Analysis, Random Fields and Applications
    • Place of Presentation
      Ascona, Switzerland
    • Related Report
      2011 Annual Research Report
    • Invited
  • [Presentation] Estimates for the error of some simulation schemes for sde’s driven by Levy processes2011

    • Author(s)
      A. Kohatsu-Higa
    • Organizer
      35th Conference on Stochastic Processes and their Applications
    • Place of Presentation
      Oaxaca,Mexico
    • Related Report
      2011 Annual Research Report
    • Invited
  • [Presentation] Long-time behavior of solutions of Hamilton-Jacobi equations with Neumann type boundary conditions2011

    • Author(s)
      H. Ishii
    • Organizer
      Riviere-Fabes symposium
    • Place of Presentation
      ミネソタ大学,ミネアポリス,米国
    • Related Report
      2011 Annual Research Report
    • Invited
  • [Presentation] Small stochastic perturbations of Hamiltonian flows: a PDE approach2011

    • Author(s)
      H. Ishii
    • Organizer
      Sixth International Conference on Differential and Functional Differential Equations
    • Place of Presentation
      スチェクロフ数学研究所,モスクワ,ロシア
    • Related Report
      2011 Annual Research Report
    • Invited
  • [Presentation] Large time behavior of solutions of Hamilton-Jacobi equations with Neumann type BC2011

    • Author(s)
      H. Ishii
    • Organizer
      Dynamical Optimization in PDE and Geometry
    • Place of Presentation
      ボルドー,フランス
    • Related Report
      2011 Annual Research Report
    • Invited
  • [Presentation] On the ABP maximum principle for $L^p$-viscosity solutions of fully nonlinear PDE2011

    • Author(s)
      S. Koike
    • Organizer
      Nonlinear Dynamics and PDE
    • Place of Presentation
      九州大学
    • Related Report
      2011 Annual Research Report
    • Invited
  • [Presentation] Down-side risk minimization under prescribed consumption level2010

    • Author(s)
      H.Nagai
    • Organizer
      International Research Forum "What can the academic community learn from the global crisis : models, methods and transfer"
    • Place of Presentation
      Polytech University, Hong Kong, China(招待講演)
    • Year and Date
      2010-12-15
    • Related Report
      2010 Annual Research Report
  • [Presentation] Singular integral equations and convergence of their solutions top-Laplace equations2010

    • Author(s)
      H.Ishii
    • Organizer
      International Conference on Geometric and Nonlinear Partial Differential Equations
    • Place of Presentation
      Mission Beach Resort, Queensland, Australia(招待講演)
    • Year and Date
      2010-09-02
    • Related Report
      2010 Annual Research Report
  • [Presentation] A Malliavin calculus method to study SDE's with irregular drifts2010

    • Author(s)
      A.Kohatsu-Higa
    • Organizer
      ICM Satellite Conference on Probability and Stochastic Processes
    • Place of Presentation
      Indian Statistical Institute, Bangalore, India
    • Year and Date
      2010-08-13
    • Related Report
      2012 Final Research Report
  • [Presentation] A Malliavin calculus method to study SDE's with irregular drifts2010

    • Author(s)
      A.Kohatsu-Higa
    • Organizer
      IGM Satellite Conference on Probability and Stochastic Processes
    • Place of Presentation
      Indian Statistical Institute, Bangalore, India(招待講演)
    • Year and Date
      2010-08-13
    • Related Report
      2010 Annual Research Report
  • [Presentation] Approximations for SDE Driven by Levy Processes2010

    • Author(s)
      A.Kohatsu-Higa
    • Organizer
      International Workshop on Financial Engineering 2010 KIER-TMU
    • Place of Presentation
      秋葉原大ビル、東京(招待講演)
    • Year and Date
      2010-08-02
    • Related Report
      2010 Annual Research Report
  • [Presentation] A Malliavin Calculus method to study SDE's with irregular drifts2010

    • Author(s)
      A.Kohatsu-Higa
    • Organizer
      Ajou Conference on Control Theory, Financial Mathematics and Financial Engineering in honour of Alain Bensoussan
    • Place of Presentation
      Ajou University, Korea(招待講演)
    • Year and Date
      2010-07-14
    • Related Report
      2010 Annual Research Report
  • [Presentation] H-J-B equations with quadratic Hamiltonian in stochastic control and mathematical finance2010

    • Author(s)
      H.Nagai
    • Organizer
      Ajou Conference on Control Theory and Financial Engineering in honor of Professor Bensoussan
    • Place of Presentation
      Ajou University, Korea(招待講演)
    • Year and Date
      2010-07-08
    • Related Report
      2010 Annual Research Report
  • [Presentation] The Neumann problem for Hamilton-Jacobi equations in view of weak KAM2010

    • Author(s)
      H. Ishii
    • Organizer
      5th Pacific RIM
    • Place of Presentation
      Stanford University, USA
    • Year and Date
      2010-07-01
    • Related Report
      2012 Final Research Report
  • [Presentation] The Neumann problem for Hamilton-Jacobi equations in view of weak KAM2010

    • Author(s)
      H.Ishii
    • Organizer
      5th Pacific RIM
    • Place of Presentation
      Stanford University, USA(招待講演)
    • Year and Date
      2010-07-01
    • Related Report
      2010 Annual Research Report
  • [Presentation] Weak Harnack inequality for fully nonlinear PDEs with unbounded ingredients2010

    • Author(s)
      S. Koike
    • Organizer
      Positivity: A key to fully nonlinear equations Conference
    • Place of Presentation
      サレルノ, イタリア
    • Year and Date
      2010-06-02
    • Related Report
      2012 Final Research Report
  • [Presentation] Weak Harnack inequality for fully nonlinear PDEs with unbounded ingredients2010

    • Author(s)
      S.Koike
    • Organizer
      Positivity : A key to fully nonlinear equations Conference
    • Place of Presentation
      サレルノ,イタリア(招待講演)
    • Year and Date
      2010-06-02
    • Related Report
      2010 Annual Research Report
  • [Presentation] Robust estimates of certain large deviation probabilities for controlled semi-martingales2010

    • Author(s)
      H. Nagai
    • Organizer
      Workshop on Stochastic Processes and Applications, NCTS
    • Place of Presentation
      National Tsing Hua University, Taiwan
    • Related Report
      2012 Final Research Report
  • [Presentation] Down-side risk minimization under prescribed consumption level2010

    • Author(s)
      H. Nagai
    • Organizer
      International Research Forum "What can the academic community learn from the global crisis: models, methods and transfer"
    • Place of Presentation
      Polytech University, Hong Kong
    • Related Report
      2012 Final Research Report
  • [Presentation] H-J-B equations with quadratic Hamiltonian in stochastic control and mathematical finence2010

    • Author(s)
      H. Nagai
    • Organizer
      Ajou Conference on Control Therory and Financial Engineering in honor of Professor Bensoussan
    • Place of Presentation
      Ajou Univ., Korea
    • Related Report
      2012 Final Research Report
  • [Presentation] 完全非線形楕円型偏微分方程式の$L^p$粘性解について1・22010

    • Author(s)
      小池茂昭
    • Organizer
      研究集会「微分方程式の総合的研究」
    • Place of Presentation
      京都大学(招待講演)
    • Related Report
      2010 Annual Research Report
  • [Presentation] Large deviations controls for long-term investment2009

    • Author(s)
      J. Sekine
    • Organizer
      Workshop on Risk Measures and Robust Optimization in Finance Nov. 19, 2009 Institute of Mathematical Sciences
    • Place of Presentation
      National University of Singapore,Singapore
    • Year and Date
      2009-11-19
    • Related Report
      2012 Final Research Report
  • [Presentation] Large deviations controls for long-term investment2009

    • Author(s)
      J.Sekine
    • Organizer
      Workshop on Risk Measures and Robust Optimization in Finance
    • Place of Presentation
      Institute of Mathematical Sciences, National University of Singapore Singapore
    • Year and Date
      2009-11-19
    • Related Report
      2009 Annual Research Report
  • [Presentation] Risk-sensitive control, large deviation control and down-side risk minimization2009

    • Author(s)
      Nagai
    • Organizer
      Mathmetical finance and related topics related to economics and engineering
    • Place of Presentation
      Kansai Seminar House, Kyoto
    • Year and Date
      2009-08-13
    • Related Report
      2012 Final Research Report 2009 Annual Research Report
  • [Presentation] Risk-sensitive control, large deviation control and down-side risk minimization2009

    • Author(s)
      H.Nagai
    • Organizer
      Mathematical finance and related topics related to economics and engineering
    • Place of Presentation
      Kyoto seminar House, Japan
    • Year and Date
      2009-08-13
    • Related Report
      2010 Self-evaluation Report
  • [Presentation] Some asymptotic results for probability maximizing/minimizing portfolios2009

    • Author(s)
      J. Sekine
    • Organizer
      Congress: Stochastic Analysis for and from Finance
    • Place of Presentation
      京都リサーチパーク
    • Year and Date
      2009-08-07
    • Related Report
      2012 Final Research Report
  • [Presentation] Mathematical finance and related topics related to economics and engineering2009

    • Author(s)
      J.Sekine
    • Organizer
      Congress : Stochastic Analysis for and from Finance
    • Place of Presentation
      京都リサーチパーク
    • Year and Date
      2009-08-07
    • Related Report
      2010 Self-evaluation Report
  • [Presentation] Some asymptotic results for probabnity maximizing/minimizing portfbhos2009

    • Author(s)
      J.Sekine
    • Organizer
      Congress : Stochastic Analysis for and from Finance
    • Place of Presentation
      京都リサーチパーク
    • Year and Date
      2009-08-07
    • Related Report
      2009 Annual Research Report
  • [Presentation] Down-side risk minimization as large deviation control2009

    • Author(s)
      H.Nagai
    • Organizer
      1st PRIMA Congress" July 6, 2009 Univ. New South Wales
    • Place of Presentation
      Sydney, Australia
    • Year and Date
      2009-07-06
    • Related Report
      2012 Final Research Report
  • [Presentation] Down-side risk minimization as large deviation control2009

    • Author(s)
      H.Nagai
    • Organizer
      1st PRIMA Congress
    • Place of Presentation
      Univ. New South Wales, Sydney, Australia
    • Year and Date
      2009-07-06
    • Related Report
      2009 Annual Research Report
  • [Presentation] Approximations for SDE's driven by Levy processes2009

    • Author(s)
      A.Kohatsu-Higa
    • Organizer
      Third Conference on Numerical Methods in Finance
    • Place of Presentation
      Paris, France
    • Year and Date
      2009-04-15
    • Related Report
      2012 Final Research Report
  • [Presentation] Approximations for SDE's driven by Levy processes2009

    • Author(s)
      A.Kohatsu-Higa
    • Organizer
      Third Conference on Numerical Methods in Finance
    • Place of Presentation
      ENPC, Paris, France
    • Year and Date
      2009-04-15
    • Related Report
      2010 Self-evaluation Report 2009 Annual Research Report
  • [Presentation] エルゴード的確率制御から大偏差確率制御へ"-数理ファイナンスに現われる時間大域的問題を巡って-2009

    • Author(s)
      長井 英生
    • Organizer
      日本数学会 総合講演
    • Place of Presentation
      東京大学
    • Year and Date
      2009-03-27
    • Related Report
      2012 Final Research Report
  • [Presentation] “エルゴート的確率制御から大偏差確率制御へ"-数理ファイナンスに現われる時間大域的問題を巡って-2009

    • Author(s)
      長井 英生
    • Organizer
      日本数学会 総合講演
    • Place of Presentation
      東京大学
    • Year and Date
      2009-03-27
    • Related Report
      2008 Annual Research Report
  • [Presentation] Large deviation control arising from optimal investment2008

    • Author(s)
      H.Nagai
    • Organizer
      Plenary talk at Conference on quantitative methods in finance
    • Place of Presentation
      Sydney, Australia
    • Year and Date
      2008-12-18
    • Related Report
      2012 Final Research Report
  • [Presentation] Large deviation control arising from optimal investment2008

    • Author(s)
      H.Nagai
    • Organizer
      Conference on quantitative methods in finance
    • Place of Presentation
      Sydney, Australia
    • Year and Date
      2008-12-18
    • Related Report
      2010 Self-evaluation Report
  • [Presentation] Large deviation control arising from optimal investment2008

    • Author(s)
      Hideo NAGAI
    • Organizer
      Plenary talk at Conference on quantitativemethods in finance
    • Place of Presentation
      Sydney, Australia
    • Year and Date
      2008-12-18
    • Related Report
      2008 Annual Research Report
  • [Presentation] 数理ファイナンスの現状に関する若干の展望と床制約を置いた長時間ポートフォリオ最適化に関する考察2008

    • Author(s)
      関根 順
    • Organizer
      日本数学会 特別講演
    • Place of Presentation
      日東京工業大学
    • Year and Date
      2008-09-24
    • Related Report
      2012 Final Research Report
  • [Presentation] 数理ファイナンスの現状に関する若干の展望と床制約を置いた長時間ポートフォリオ最適化に関する考察2008

    • Author(s)
      関根 順
    • Organizer
      日本数学会 特別講演
    • Place of Presentation
      東京工業大学
    • Year and Date
      2008-09-24
    • Related Report
      2008 Annual Research Report
  • [Presentation] Asymptotics of the probability minimizing a downside risk and risk-sensitive dynamic asset allocation under partial information2008

    • Author(s)
      H.Nagai
    • Organizer
      The fifth Colloquium on BSDEs and Finance,and Applications
    • Place of Presentation
      Le Mans, France
    • Year and Date
      2008-06-19
    • Related Report
      2012 Final Research Report
  • [Presentation] Exponential Indifference Pricing and Hedging with Basis Risk and Partial Information for Conditionally Linear Models2008

    • Author(s)
      J. Sekine
    • Organizer
      The fifth colloquium on ``Backward Stochastic Differential Equations, Finance and Applications
    • Place of Presentation
      Le Mans, France
    • Year and Date
      2008-06-19
    • Related Report
      2012 Final Research Report
  • [Presentation] Asymptotics of the probability minimizing a downside risk andrisk-sensi tive dynamic asset allocation under partial information2008

    • Author(s)
      Hideo NAGAI
    • Organizer
      The fifth Colloquium on BSDEs and Finance, and Applications
    • Place of Presentation
      Le Mans, France
    • Year and Date
      2008-06-19
    • Related Report
      2008 Annual Research Report
  • [Presentation] Exponential Indifference Pricing and Hedging with Basis Riskand Partial Information for Conditionally Linear Models2008

    • Author(s)
      Jun Sekine
    • Organizer
      The fifth colloquium on “Backward Stochastic Differential Equations. Finance and Applications"
    • Place of Presentation
      Le Mans, France
    • Year and Date
      2008-06-19
    • Related Report
      2008 Annual Research Report
  • [Presentation] 数理ファイナンスに現われる変分不等式2008

    • Author(s)
      小池茂昭
    • Organizer
      ファイナンスのための数理ワークショップ
    • Place of Presentation
      早稲田大学
    • Year and Date
      2008-04-25
    • Related Report
      2008 Annual Research Report
  • [Presentation] A semigroup approach for weak approximations with an application to infinite activity Levy driven SDEs2008

    • Author(s)
      A. Kohatsu-Higa
    • Organizer
      Workshop on Numerics and Stochastics
    • Place of Presentation
      Helsinki Universi ty of Technology
    • Related Report
      2008 Annual Research Report
  • [Presentation] Weak Kyle-Back models for the max and argmax.2008

    • Author(s)
      A. Kohatsu-Higa
    • Organizer
      Third General Amamef Conference.
    • Place of Presentation
      Pitesti, Romania.
    • Related Report
      2008 Annual Research Report
  • [Book] Option pricing in incomplete markets": Modeling based on geometric Levy processes and minimal entropy martingale measures2012

    • Author(s)
      Y. Miyahara
    • Total Pages
      185
    • Publisher
      Imperial College Press
    • Related Report
      2012 Final Research Report
  • [Book] Option pricing in Incomplete Markets: Modeling Based on Geometric Levy Processes and Minimal Entropy Martingale Measures2012

    • Author(s)
      Y. Miyahara
    • Total Pages
      185
    • Publisher
      Imperial College Press
    • Related Report
      2011 Annual Research Report
  • [Book] Encyclopedia of Quantitative Finance2010

    • Author(s)
      H.Nagai (分担執筆)
    • Publisher
      Wiley(In press)
    • Related Report
      2009 Annual Research Report

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Published: 2008-04-01   Modified: 2023-03-16  

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