New development of optimal consumption and investment problems in stochastic control.

2017 Fiscal Year Final Research Report

• Project/Area Number: 15K17584
• Research Category: Grant-in-Aid for Young Scientists (B)
• Allocation Type: Multi-year Fund
• Research Field: Foundations of mathematics/Applied mathematics
• Research Institution: Shizuoka University
• Principal Investigator: Hata Hiroaki 静岡大学, 教育学部, 准教授 (00609290)
• Research Collaborator: YASUDA Kazuhiro 法政大学, 理工学部, 准教授 (80509638)
• Project Period (FY): 2015-04-01 – 2018-03-31
• Keywords: 動的計画原理 / HJB方程式 / マルチンゲール法

Outline of Final Research Achievements

The risk-sensitive portfolio optimizaion problems are solved in the following cases (1.General nonlinear stochastic factor model in the risk-seeking case, 2 The large trader and insider,3 Lognormal interest rate model).The optimal consumption problems are solved in the following cases (4.General nonlinear stochastic factor model in the risk-seeking case, 5 The partial information case).
The optimal investment problems of insurers are solved in the following cases (6.Linear Gaussian stochastic factor model, 7.General nonlinear stochastic factor model).

Free Research Field

確率制御、数理ファイナンス