Stochastic control of Levy driven processes with application to mathematical finance
| Project/Area Number |
21686039
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| Research Category |
Grant-in-Aid for Young Scientists (A)
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| Allocation Type | Single-year Grants |
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| Research Field |
Control engineering
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| Research Institution | Osaka University (2011-2012)
Tokyo Institute of Technology (2009-2010) |
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Principal Investigator |
KASHIMA Kenji 大阪大学, 基礎工学研究科, 准教授 (60401551)
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| Research Collaborator |
KAWAI Reiichiro 英国・レスター大学, 数学科
IMURA Jun-ichi 東京工業大学, 情報理工学研究科, 教授
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| Project Period (FY) |
2009 – 2012
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| Project Status |
Completed (Fiscal Year 2012)
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| Budget Amount *help |
¥16,120,000 (Direct Cost: ¥12,400,000、Indirect Cost: ¥3,720,000)
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: ¥3,900,000 (Direct Cost: ¥3,000,000、Indirect Cost: ¥900,000)
Fiscal Year 2009: ¥4,420,000 (Direct Cost: ¥3,400,000、Indirect Cost: ¥1,020,000)
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| Keywords | 確率制御 / レヴィ過程 / 数理ファイナンス / システムバイオロジ / 最適化 / 大規模複雑系 / レヴィ課程 / 多項式計画問題 / 多項式最適化 |
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| Research Abstract |
We proposed an optimization approach to weak approximation of Levy-driven stochastic differential equations, which is a general form of many practical applications. We employ a mathematical programming framework to obtain numerically upper and lower bound estimates of the target. An advantage of our approach is that we do need no sample path generation. The effectiveness was verified through an application to mathematical finance. We also investigated analysis/design of stochastic control systems from various aspects, such as robustness of consensus dynamics overlarge-scale complex networks under stochastic noise.
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Report
(5 results)
Research Products
(22 results)
