| Budget Amount *help |
¥4,160,000 (Direct Cost: ¥3,200,000、Indirect Cost: ¥960,000)
Fiscal Year 2011: ¥910,000 (Direct Cost: ¥700,000、Indirect Cost: ¥210,000)
Fiscal Year 2010: ¥1,040,000 (Direct Cost: ¥800,000、Indirect Cost: ¥240,000)
Fiscal Year 2009: ¥1,040,000 (Direct Cost: ¥800,000、Indirect Cost: ¥240,000)
Fiscal Year 2008: ¥1,170,000 (Direct Cost: ¥900,000、Indirect Cost: ¥270,000)
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| Research Abstract |
Max-plus algebra is obtained by replacing the conventional addition and multiplication with maximum and the addition in reals, respectively. Using max-plus algebra in continuous-time and continuum-state control problems, we obtained new results on structures of solutions and characterizations of value functions for dynamic programming partial differential equations in stochastic and deterministic controls. These results are based on max-plus methodology. We also formulated optimal consumption and investment problems in mathematical finance by max-plus probabilistic point of view and characterized optimal values.
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