Study of rough path theory
| Project/Area Number |
22740061
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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 |
General mathematics (including Probability theory/Statistical mathematics)
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| Research Institution | Nagoya University |
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Principal Investigator |
INAHAMA Yuzuru 名古屋大学, 多元数理科学研究科, 准教授 (80431998)
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| Project Period (FY) |
2010-04-01 – 2014-03-31
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| Project Status |
Completed (Fiscal Year 2013)
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| Budget Amount *help |
¥3,770,000 (Direct Cost: ¥2,900,000、Indirect Cost: ¥870,000)
Fiscal Year 2013: ¥910,000 (Direct Cost: ¥700,000、Indirect Cost: ¥210,000)
Fiscal Year 2012: ¥910,000 (Direct Cost: ¥700,000、Indirect Cost: ¥210,000)
Fiscal Year 2011: ¥910,000 (Direct Cost: ¥700,000、Indirect Cost: ¥210,000)
Fiscal Year 2010: ¥1,040,000 (Direct Cost: ¥800,000、Indirect Cost: ¥240,000)
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| Keywords | ラフパス理論 / 確率微分方程式 / マリアヴァン解析 / 大偏差原理 / 漸近展開 / ラフパス / フラクショナル・ブラウン運動 / ラプラス近似 / フラクショナルブラウン運動 |
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| Research Abstract |
I have studied rough path theory for these four years. This theory is a "de-randomization" of Ito's theory of stochastic differential equation and looks like real analysis, rather than probability theory. I studied probabilistic aspects of this rapidly growing research area, in particular, asymptotic theorems
such as large deviation principle and Laplace-type asymptotic expansions.
Using Malliavin calculus as a tool, I write a few papers on this topic.
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Report
(5 results)
Research Products
(33 results)
