Theory of infinitely divisible distributions and its application
| Project/Area Number |
20540110
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| Research Category |
Grant-in-Aid for Scientific Research (C)
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| Allocation Type | Single-year Grants |
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| Section | 一般 |
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| Research Field |
General mathematics (including Probability theory/Statistical mathematics)
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| Research Institution | Hitotsubashi University |
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Principal Investigator |
FUJITA Takahiko Hitotsubashi University, 大学院・商学研究科, 教授 (50144316)
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| Project Period (FY) |
2008 – 2010
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| Project Status |
Completed (Fiscal Year 2010)
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| Budget Amount *help |
¥3,900,000 (Direct Cost: ¥3,000,000、Indirect Cost: ¥900,000)
Fiscal Year 2010: ¥1,170,000 (Direct Cost: ¥900,000、Indirect Cost: ¥270,000)
Fiscal Year 2009: ¥1,300,000 (Direct Cost: ¥1,000,000、Indirect Cost: ¥300,000)
Fiscal Year 2008: ¥1,430,000 (Direct Cost: ¥1,100,000、Indirect Cost: ¥330,000)
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| Keywords | コーシー分布 / 逆正弦分布 / 指数分布 / ウィグナー分布 / リーマンゼータ関数 / バーゼル問題 / フルビッツゼータ関数 / オイラー公式 / 伊藤公式 / 保険数理 / ブラウン運動 / ランダムウォーク / Stock Option / Black Scholes Model / 無限分解可能分布 / Gamma Convolution / 確率論 / 一様列 / 確率分布 / p進整数 |
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| Research Abstract |
Special values of the Riemann zeta function are evaluated by various probabilistic methods. These results were reported at the various domestic and international symposium. We investigated pricing of catastrophe options and discrete HJB eqution. Exotic stock options are investigated. Also Van der Corut sequence in padic integers are researched.
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Report
(4 results)
Research Products
(45 results)
