Fluctuation theory of Levy processes and applications in risk management
| Project/Area Number |
22710143
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| Research Category |
Grant-in-Aid for Young Scientists (B)
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| Allocation Type | Single-year Grants |
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| Research Field |
Social systems engineering/Safety system
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| Research Institution | Osaka University |
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Principal Investigator |
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| Project Period (FY) |
2010 – 2012
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| Project Status |
Completed (Fiscal Year 2012)
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| Budget Amount *help |
¥2,990,000 (Direct Cost: ¥2,300,000、Indirect Cost: ¥690,000)
Fiscal Year 2012: ¥910,000 (Direct Cost: ¥700,000、Indirect Cost: ¥210,000)
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)
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| Keywords | 確率論 / リスクマネジメント / レヴィー過程 / 確率制御 / 最適停止 |
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| Research Abstract |
We developed risk management models using Levy processes. In parallel to the work on the fluctuation theory of spectrally negative Levy processes, we worked on several risk management problems arising in finance and credit risk; we modeled them in terms of optimal stopping problems/games and obtained their solutions analytically and numerically.
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Report
(4 results)
Research Products
(61 results)
