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Basic study on noncausal stochastic differential equations

Research Project

Project/Area Number 22540157
Research Category

Grant-in-Aid for Scientific Research (C)

Allocation TypeSingle-year Grants
Section一般
Research Field General mathematics (including Probability theory/Statistical mathematics)
Research InstitutionRitsumeikan University

Principal Investigator

OGAWA Shigeyoshi  立命館大学, 理工学部, 教授 (80101137)

Project Period (FY) 2010-04-01 – 2015-03-31
Project Status Completed (Fiscal Year 2014)
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)
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
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.

Report

(5 results)
  • 2014 Final Research Report ( PDF )
  • 2013 Annual Research Report
  • 2012 Annual Research Report
  • 2011 Annual Research Report
  • 2010 Annual Research Report
  • Research Products

    (26 results)

All 2014 2013 2012 2011 2010 Other

All Journal Article (6 results) (of which Peer Reviewed: 6 results) Presentation (16 results) (of which Invited: 10 results) Book (2 results) Remarks (1 results) Patent(Industrial Property Rights) (1 results)

  • [Journal Article] Identification of pseudo ito processes from its SFCs2014

    • Author(s)
      S.Ogawa & H.Uemura
    • Journal Title

      Bulletin des Sciences Mathematiques

      Volume: 138-1 Issue: 1 Pages: 147-163

    • DOI

      10.1016/j.bulsci.2013.12.003

    • Related Report
      2013 Annual Research Report
    • Peer Reviewed
  • [Journal Article] On a stochastic Fourier transformation2013

    • Author(s)
      S.Ogawa
    • Journal Title

      Stochastics

      Volume: 85-2 Issue: 2 Pages: 286-294

    • DOI

      10.1080/17442508.2011.651621

    • Related Report
      2013 Annual Research Report 2012 Annual Research Report
    • Peer Reviewed
  • [Journal Article] On a stochastic Fourier coefficient2013

    • Author(s)
      S.Ogawa & H.Uemura
    • Journal Title

      J. of Theoretical Probability

      Volume: 18 Issue: 2 Pages: 1-13

    • DOI

      10.1007/s10959-012-0464-x

    • Related Report
      2013 Annual Research Report 2012 Annual Research Report
    • Peer Reviewed
  • [Journal Article] On a stochastic Fourier transformation2012

    • Author(s)
      S.Ogawa
    • Journal Title

      Stochastics, Taylor & Francis Groupe

      Volume: 1-9 Pages: 1-9

    • Related Report
      2011 Annual Research Report
    • Peer Reviewed
  • [Journal Article] An improved two-step regularization scheme for spot volatility estimation2011

    • Author(s)
      S.Ogawa, S.Sanfelici
    • Journal Title

      Economic Notes ; Banka Monte dei Paschi di Siena

      Volume: 40 Pages: 105-132

    • Related Report
      2011 Annual Research Report
    • Peer Reviewed
  • [Journal Article] Real-time estimation scheme for the spot cross volatility of jump diffusion processes2010

    • Author(s)
      S.Ogawa, H-L.Ngo
    • Journal Title

      Mathematics and Computers in Simulation

      Volume: Vol.80, No.9 Pages: 1962-1976

    • Related Report
      2010 Annual Research Report
    • Peer Reviewed
  • [Presentation] 非因果的関数の確率フーリエ係数について2012

    • Author(s)
      小川重義、植村英明
    • Organizer
      日本数学会2012年春季年会
    • Place of Presentation
      東京都、東京理科大
    • Year and Date
      2012-03-26
    • Related Report
      2011 Annual Research Report
  • [Presentation] On a numerical scheme for the real time estimation of volatilities2012

    • Author(s)
      S.Ogawa
    • Organizer
      IInd Congress JIPE-2012
    • Place of Presentation
      Lima (Peru) Limaカトリック大学(招待講演)
    • Year and Date
      2012-02-01
    • Related Report
      2011 Annual Research Report
  • [Presentation] Noncausal Problems and Calculus(3回連続講演)2012

    • Author(s)
      小川重義
    • Organizer
      確率論ヤングサマーセミナー
    • Place of Presentation
      旅館鈴岡 愛知県
    • Related Report
      2012 Annual Research Report
    • Invited
  • [Presentation] On a stochastic Fourier transformation2011

    • Author(s)
      S.Ogawa
    • Organizer
      ICMA (International Conference in Mathematics and Applications)-UEL2011
    • Place of Presentation
      ホーチミン(ベトナム)Ho Chi-Minh Univ.--UEL(招待講演)
    • Year and Date
      2011-12-22
    • Related Report
      2011 Annual Research Report
  • [Presentation] 確率フーリエ変換の可逆性について2011

    • Author(s)
      小川重義
    • Organizer
      日本数学会2011年秋季年会
    • Place of Presentation
      松本市(長野)、信州大学
    • Year and Date
      2011-09-27
    • Related Report
      2011 Annual Research Report
  • [Presentation] Noncausal Problems and Calculus in Mathematical Physics2010

    • Author(s)
      S.Ogawa
    • Organizer
      Spring School on Stochastic Theory
    • Place of Presentation
      Taiwan University
    • Related Report
      2010 Annual Research Report
  • [Presentation] SFT on Wiener space and its applications to finance

    • Author(s)
      Ogawa,S
    • Organizer
      8th IMACS Seminar on Monte Carlo Methods and Applications
    • Place of Presentation
      Univ. de Savoie, Annecy France
    • Related Report
      2013 Annual Research Report
    • Invited
  • [Presentation] Noncausal problems in mathematical sciences

    • Author(s)
      Ogawa,S
    • Organizer
      Regional Seminar on Probability
    • Place of Presentation
      Univ.di Padova, Dept Math, Padova Italy
    • Related Report
      2013 Annual Research Report
    • Invited
  • [Presentation] Noncausal integral equation and stochastic Fourier transformation

    • Author(s)
      Ogawa,S
    • Organizer
      Colloquium on Probability and Finance
    • Place of Presentation
      Univ. Humboldt zu Berlin, Germany
    • Related Report
      2013 Annual Research Report
    • Invited
  • [Presentation] Identification of noncausal Ito processes from the SFCs

    • Author(s)
      小川重義、植村英明(発表者)
    • Organizer
      日本数学会秋期総合分科会
    • Place of Presentation
      愛媛大学, 松山市 愛媛県
    • Related Report
      2013 Annual Research Report
  • [Presentation] Noncausal calculus and stochastic Fourier transformation

    • Author(s)
      Ogawa,S
    • Organizer
      Colloquium on Probability and Analysis
    • Place of Presentation
      Dept of Mth. Taiwan Univ. Taipei Taiwan
    • Related Report
      2013 Annual Research Report
    • Invited
  • [Presentation] Nonausal stochastic calulus and its applications

    • Author(s)
      Ogawa,S
    • Organizer
      ISI Seminar on Probability and Statistics
    • Place of Presentation
      Division of Math. ISI Kolkata, India
    • Related Report
      2013 Annual Research Report
    • Invited
  • [Presentation] On a direct inversion formula for SFT

    • Author(s)
      Ogawa,S
    • Organizer
      ISI Seminar on Probability and Statistics
    • Place of Presentation
      Division of Math. ISI Bangalore, India
    • Related Report
      2013 Annual Research Report
    • Invited
  • [Presentation] On a stochastic Fourier transformation

    • Author(s)
      Ogawa,S
    • Organizer
      The 3rd School of Information and Randomness
    • Place of Presentation
      Puerto Montt  Chile
    • Related Report
      2012 Annual Research Report
    • Invited
  • [Presentation] Around the Fourier series method for volatility estimation

    • Author(s)
      Ogawa,S
    • Organizer
      Workshop on Finance, Stochastics and Asymptotic Analysis
    • Place of Presentation
      大阪大学基礎工学部 大阪府
    • Related Report
      2012 Annual Research Report
    • Invited
  • [Presentation] SFC and SFT in Wiener space

    • Author(s)
      Ogawa,S
    • Organizer
      The 5th Rits-Firenze Joint Seminar
    • Place of Presentation
      Firenze Italy
    • Related Report
      2012 Annual Research Report
    • Invited
  • [Book] 確率論エンサイクロペディア2012

    • Author(s)
      小川重義, 他10名余
    • Publisher
      シュプリンガー東京(印刷中)(出版確定)
    • Related Report
      2011 Annual Research Report
  • [Book] Resume of The Invited Lecture at Spring School on Stochastic Calculus2010

    • Author(s)
      S.Ogawa
    • Total Pages
      70
    • Publisher
      Math Institute of Academia Sinica in Taipei (on WEB site)
    • Related Report
      2010 Annual Research Report
  • [Remarks] 8

    • Related Report
      2013 Annual Research Report
  • [Patent(Industrial Property Rights)] ヴォラティリティの推定装置2011

    • Inventor(s)
      小川重義
    • Industrial Property Rights Holder
      小川重義・立命館
    • Industrial Property Number
      2008-016281
    • Filing Date
      2011-06-23
    • Related Report
      2011 Annual Research Report

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Published: 2010-08-23   Modified: 2019-07-29  

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