Stochastic control on a long term and its applications
| Project/Area Number |
25400150
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| Research Category |
Grant-in-Aid for Scientific Research (C)
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| Allocation Type | Multi-year Fund |
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| Section | 一般 |
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| Research Field |
Basic analysis
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| Research Institution | Kansai University |
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Principal Investigator |
NAGAI Hideo 関西大学, システム理工学部, 教授 (70110848)
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| Co-Investigator(Renkei-kenkyūsha) |
Sekine Jun 大阪大学, 基礎工学研究科, 教授 (50314399)
Takeda Masayoshi 東北大学, 理学研究科, 教授 (30179650)
Ichihara Naoyuki 青山学院大学, 理工学部, 准教授 (70452563)
Hata Hiroaki 静岡大学, 教育学部, 助教 (00609290)
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| Project Period (FY) |
2013-04-01 – 2016-03-31
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| Project Status |
Completed (Fiscal Year 2015)
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| Budget Amount *help |
¥4,810,000 (Direct Cost: ¥3,700,000、Indirect Cost: ¥1,110,000)
Fiscal Year 2015: ¥1,040,000 (Direct Cost: ¥800,000、Indirect Cost: ¥240,000)
Fiscal Year 2014: ¥2,600,000 (Direct Cost: ¥2,000,000、Indirect Cost: ¥600,000)
Fiscal Year 2013: ¥1,170,000 (Direct Cost: ¥900,000、Indirect Cost: ¥270,000)
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| Keywords | large deviation control / H-J-B equations / duality theorems / optimal consumption / ダウンサイドリスク最小化リスク最小化 / 大偏差確率 / 双対型定理 / エルゴード型H-J-B方程式 / 最適投資・消費問題 / ダウンサイドリスク最小化 / モデルの不確かさ / エルゴード型 H-J-B 方程式 / 最適消費・投資問題 / 双対性定理 / H-J-B- Isaacs 方程式 / ロバストネス |
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| Outline of Final Research Achievements |
We have obtained certain duality theorems on large deviation estimates for controlled semi-martingales. Then, we have extended the results to the cases which correspond to the theorems for the robust large deviation estimates in actual financial models when admitting model unceratainty. Here, key analysis was that of the H-J-B equations of ergodic type and its derivatives for the corresponding dual problems, and by regarding them as the H-J-B equations of certain stochstic differential games, the estimates were obtained. On the other hand, we obtained the existence and uniqueness theorems for the solutions to the H-J-B equations of optimal consumption-investment, and verification theorems.
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Report
(4 results)
Research Products
(12 results)
