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Deriving crystallizing probability model from classical mechanics

Research Project

Project/Area Number 21740063
Research Category

Grant-in-Aid for Young Scientists (B)

Allocation TypeSingle-year Grants
Research Field General mathematics (including Probability theory/Statistical mathematics)
Research InstitutionUniversity of Tsukuba

Principal Investigator

LIANG Song  筑波大学, 数理物質系, 准教授 (60324399)

Project Period (FY) 2009 – 2012
Project Status Completed (Fiscal Year 2012)
Budget Amount *help
¥4,290,000 (Direct Cost: ¥3,300,000、Indirect Cost: ¥990,000)
Fiscal Year 2012: ¥1,040,000 (Direct Cost: ¥800,000、Indirect Cost: ¥240,000)
Fiscal Year 2011: ¥1,040,000 (Direct Cost: ¥800,000、Indirect Cost: ¥240,000)
Fiscal Year 2010: ¥1,040,000 (Direct Cost: ¥800,000、Indirect Cost: ¥240,000)
Fiscal Year 2009: ¥1,170,000 (Direct Cost: ¥900,000、Indirect Cost: ¥270,000)
Keywords確率論 / 拡散過程 / ハミルトニアン / 相対効果 / 古典力学系 / 波環境 / 理想気体 / マルコフ過程 / Black-Scholes model / implied volatility / 誤差評価
Research Abstract

Put heavy particle(s) into an ideal gas environment, a system consists of infinitely many light particles with a certain initial distribution, and assume that the interactions between particles are non-random. We are interested in the problem of the limit behavior of the heavy particle(s) when the mass of the light particles converges to 0. When there are exact two heavy particles of different types, we proved that the distribution of the considered stochastic process converges to a diffusion with reflecting; for the case where the two heavy particles are of same type with relative efficiency, we found the concrete expression of the candidate limit process by proving the convergence of the corresponding stochastic differential equation. The similar problem with wave environment is also studied for the case with one heavy particle and in one-dimension.

Report

(5 results)
  • 2012 Annual Research Report   Final Research Report ( PDF )
  • 2011 Annual Research Report
  • 2010 Annual Research Report
  • 2009 Annual Research Report
  • Research Products

    (8 results)

All 2012 2010 2009

All Journal Article (6 results) (of which Peer Reviewed: 6 results) Presentation (2 results)

  • [Journal Article] A classical mechanical model of Brownian motion with one particle coupled to a random wave field2012

    • Author(s)
      S. Kusuoka and S. Liang
    • Journal Title

      Stochastic Analysis and Applications

      Volume: Vol. 30, Issue 3 Issue: 3 Pages: 493-528

    • DOI

      10.1080/07362994.2012.668444

    • Related Report
      2012 Final Research Report
    • Peer Reviewed
  • [Journal Article] A classical mechanical model of Brownian motion with one particle coupled to a random wave field2012

    • Author(s)
      Shigeo Kusuoka, Song Liang
    • Journal Title

      Stochastic Analysis and Applications

      Volume: vol.30 Pages: 493-528

    • Related Report
      2011 Annual Research Report
    • Peer Reviewed
  • [Journal Article] classical mechanical model of Brownian motion with plural particles2010

    • Author(s)
      S. Kusuoka and S. Liang
    • Journal Title

      Reviews in Mathematical Physics

      Volume: Vol. 22, No. 7 Issue: 07 Pages: 733-838

    • DOI

      10.1142/s0129055x10004077

    • Related Report
      2012 Final Research Report
    • Peer Reviewed
  • [Journal Article] A classical mechanical model of Brownian motion with plural particles2010

    • Author(s)
      Shigeo Kusuoka, Song Liang
    • Journal Title

      Reviews in Mathematical Physics

      Volume: 22 Pages: 733-838

    • Related Report
      2010 Annual Research Report
    • Peer Reviewed
  • [Journal Article] A Formula to Compute Implied Volatility, with Error Estimate2009

    • Author(s)
      Y. Tahara and S. Liang
    • Journal Title

      Interdisciplinary Information Sciences

      Volume: 15 Issue: 2 Pages: 267-272

    • DOI

      10.4036/iis.2009.267

    • NAID

      110007317873

    • ISSN
      1340-9050, 1347-6157
    • Related Report
      2012 Final Research Report
    • Peer Reviewed
  • [Journal Article] A formula to compute implied volatility, with error estimate2009

    • Author(s)
      Song Liang, Yoshihiro Tahara
    • Journal Title

      Interdisciplinary Information Sciences 15

      Pages: 267-272

    • Related Report
      2009 Annual Research Report
    • Peer Reviewed
  • [Presentation] Stochastic Hamiltonian equation With Uniform Motion Area2012

    • Author(s)
      Song Liang
    • Organizer
      2012年度確率論シンポジウム
    • Place of Presentation
      京都大学
    • Related Report
      2012 Final Research Report
  • [Presentation] Stochastic Hamiltonian equation with uniform motion area2012

    • Author(s)
      梁松
    • Organizer
      2012年度確率論シンポジウム
    • Place of Presentation
      京都大学(京都府)
    • Related Report
      2012 Annual Research Report

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Published: 2009-04-01   Modified: 2019-07-29  

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