2012 Fiscal Year Final Research Report
Development of Markov decision processes for the dynamic risk management
| Project/Area Number |
22540112
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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 | Chiba University |
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Principal Investigator |
YASUDA Masami 千葉大学, 理学研究科, 名誉教授 (00041244)
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| Co-Investigator(Kenkyū-buntansha) |
OHTSUBO Yoshio 高知大学, 自然科学系, 教授 (20136360)
NAKAI Toru 千葉大学, 教育学部, 教授 (20145808)
NAKAGAMI Junichi 千葉大学, 理学研究科, 教授 (30092076)
KURUSHIMA Aiko 上智大学, 経済学部, 准教授 (30408728)
FUJITA Toshiharu 九州工業大学, 工学研究科, 准教授 (60295003)
HORIGUCHI Masayuki 神奈川大学, 工学部, 准教授 (90366401)
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| Project Period (FY) |
2010 – 2012
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| Keywords | マルコフ決定過程 / 動的計画法 / 数理ファイナンス / リスク管理測度 / 一般効用利得関数 |
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| Research Abstract |
Dynamic risk management is one of the recent topics related the classical Markov decision Process which has been discussed by mathematical analysis, numerical analysis and the applied aspect of the theory. It includes Statistics, Economics and the technological application also. In this research we had applied the theory to Mathematical finance with uncertain elements for Risk management. The recursive relation and uncertainty in the theory has the new aspect and our aim is to develop for these of general utility functions.
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