2015 Fiscal Year Final Research Report
Study of risk-averse limits in stochastic control and robust models
| Project/Area Number |
25400137
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| Research Category |
Grant-in-Aid for Scientific Research (C)
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| Allocation Type | Multi-year Fund |
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| Section | 一般 |
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| Research Field |
Basic analysis
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| Research Institution | Osaka University |
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Principal Investigator |
Kaise Hidehiro 大阪大学, 基礎工学研究科, 准教授 (60377778)
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| Project Period (FY) |
2013-04-01 – 2016-03-31
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| Keywords | 確率制御 / 確率論 / 数理ファイナンス / 動的計画偏微分方程式 / 粘性解 |
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| Outline of Final Research Achievements |
Robust models to uncertainty such as noises in systems attract a lot of attentions in theories and applications. In this project, we considered risk-averse limits of problems in mathematical finance and their generalizations of stochastic controls. We succeeded in deriving robust models and developing dynamic programming methods. We also studied optimal control problems for path-dependent systems related to robust models.
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| Free Research Field |
確率制御
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