2016 Fiscal Year Final Research Report
Resolvents of stochastic processes with jumps and applications in maturity randomization
| Project/Area Number |
26800092
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| Research Category |
Grant-in-Aid for Young Scientists (B)
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| Allocation Type | Multi-year Fund |
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| Research Field |
Foundations of mathematics/Applied mathematics
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| Research Institution | Kansai University |
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Principal Investigator |
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| Project Period (FY) |
2014-04-01 – 2017-03-31
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| Keywords | レヴィー過程 / レゾルベント / 数理ファイナンス / 保険数学 / 在庫管理 |
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| Outline of Final Research Achievements |
We analyzed the resolvents of the spectrally negative Levy process and other jump processes. As an application for maturity randomization, we approximated the solution to multiple stopping problems with refraction times using the resolvents and phase-type fitting. We also obtained the resolvents of the controlled process under the (s,S)-policy and the refracted-reflected processes via the scale function, and applied them to solve optimal dividend problems and inventory control problems.
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| Free Research Field |
確率過程論、数理ファイナンス
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