Basic study on noncausal stochastic differential equations
| Project/Area Number |
22540157
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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 | Ritsumeikan University |
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Principal Investigator |
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| Project Period (FY) |
2010-04-01 – 2015-03-31
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| Project Status |
Completed (Fiscal Year 2014)
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| Budget Amount *help |
¥3,380,000 (Direct Cost: ¥2,600,000、Indirect Cost: ¥780,000)
Fiscal Year 2013: ¥780,000 (Direct Cost: ¥600,000、Indirect Cost: ¥180,000)
Fiscal Year 2012: ¥780,000 (Direct Cost: ¥600,000、Indirect Cost: ¥180,000)
Fiscal Year 2011: ¥780,000 (Direct Cost: ¥600,000、Indirect Cost: ¥180,000)
Fiscal Year 2010: ¥1,040,000 (Direct Cost: ¥800,000、Indirect Cost: ¥240,000)
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| Keywords | 非因果的確率解析 / 非因果的確率微積分方程式 / ブラウン粒子方程式 / 確率フーリエ変換 / 非因果的確率システム / 非因果的確率微分方程式 / 非因果的システム / 確率数値解析 / 確率微分方程式 / 確率フーリエ解析 |
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| Outline of Final Research Achievements |
The main sujects are; study on (1) the noncausal stochastic integral, (2) noncausal stochastic integral or differential equations, (3) BPE(Brownian particle equations),(4) SFT(stochastic Fourier transformation).
The results are; (1) relation between Ogawa intgeral and the symmetric integral is clarified, (2) Solution by SFT of the stochastic integral equation of Fredholm type. (3) study of solutions of BPE and applications (eg. establishment of a noncausal Girsanov's theorem),(4) study of SFT, the question of its invertibility in various cases.
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Report
(5 results)
Research Products
(26 results)
