| 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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| 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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