2011 Fiscal Year Final Research Report
Risk analysis based on stochastic dynamical systems theory
| Project/Area Number |
21540140
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| Research Category |
Grant-in-Aid for Scientific Research (C)
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| Allocation Type | Single-year Grants |
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| Section | 一般 |
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| Research Field |
General mathematics (including Probability theory/Statistical mathematics)
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| Research Institution | Nagoya City University |
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Principal Investigator |
MISAWA Tetsuya 名古屋市立大学, 大学院・経済学研究科, 教授 (10190620)
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| Co-Investigator(Kenkyū-buntansha) |
MIYAHARA Yoshio 名古屋市立大学, 大学院・経済学研究科, 名誉教授 (20106256)
MIYAUCHI Hajime 熊本大学, 大学院・自然科学研究科, 准教授 (20181977)
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| Project Period (FY) |
2009 – 2011
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| Keywords | 確率力学系 / リスク / ランダムNPVプロビットモデル / 効用無差別価格 / リスク鋭感的価値尺度 / リアルオプション / 供給信頼度 / 電力市場価格 |
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| Research Abstract |
The present study focuses to the problem of project value evaluation with risk in a framework of stochastic dynamical systems theory. The results obtained in this work are as follows :(1) We have shown that the risk-sensitive value measure related to utility indifference pricing which is regarded as a sort of expected invariance for stochastic systems has many superior properties.(2) We have examined that a random NPV moments probit model derived from a simplification of the risk-sensitive value measure is suited to practical use through the application to a project value evaluation problem of thermal power plant.(3) As some issues related to the theme of the present research, we have formulated a symplectic numerical scheme for stochastic Hamiltonian dynamical systems and investigated electric power market prices and the long-term reliability of power system quantitatively.
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Research Products
(57 results)
