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2017 Fiscal Year Final Research Report

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

Research Project

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Project/Area Number 15K17584
Research Category

Grant-in-Aid for Young Scientists (B)

Allocation TypeMulti-year Fund
Research Field Foundations of mathematics/Applied mathematics
Research InstitutionShizuoka 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

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Published: 2019-03-29  

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