レビー過程の確率解析

代表研究者	石川保志
研究課題番号	KAKENHI-PROJECT-18540183
研究種目	基盤研究(C)
研究分野	理工系数物系科学数学基礎解析学
研究機関	愛媛大学
研究分担者	森本宏明
研究期間開始年月日	2006/4/1
研究期間終了年度	2008
研究ステータス	完了 (2008/4/1)
配分額（合計）	3,340,000 (直接経費 :2,800,000、間接経費 :540,000)
配分額（履歴）	2008年度：1,170,000 (直接経費 :900,000、間接経費 :270,000) 2007年度：1,170,000 (直接経費 :900,000、間接経費 :270,000) 2006年度：1,000,000 (直接経費 :1,000,000)
キーワード	レビー過程確率過程漸近展開確率微分方程式確率解析

研究成果

[雑誌論文] Malliavin calculus applied to mathematical finance and a new formulation of the integration-by-parts

Ishikawa, Yasushi 2009

[雑誌論文] Malliavin calculus applied to mathematical finance and a new formulation of the integration-by-parts

Ishikawa Yasushi 2009

[学会発表] Composition with distributions of Wiener-Poisson variables and its asymptotic expansion (II)

石川保志 2009

[学会発表] Composition with distributions of Wiener-Poisson variables and its asymptotic expansion(II)

石川保志 2009

[雑誌論文] Composition with distributions of Wiener-Poisson variables and its asymptotic expansion

Ishikawa, Yasushi 2009

[雑誌論文] Composition with distributions of Wiener-Poisson variables and its asymptotic expansion

Ishikawa Yasushi 2009

[図書] 基礎数学II

柳重則・大塚寛・石川保志 2008

[図書] 理工系数学入門

柳重則・大塚寛・石川保志, ほか 2008

[学会発表] Optimal Consumption Control Problem associated with Jump-Diffusion Processes

石川保志 2008

[学会発表] Composition with distributions of Wiener-Poisson variables and its asymptotic expansion(I)

石川保志 2008

[学会発表] Optimal Consumption Control Problem associated with Jump-Diffusion Processes

石川保志 2008

[雑誌論文] レビー過程に関連した確率変数の連続性と絶対連続性

Y. Ishikawa and T. Simon 2008

[学会発表] Optimal Consumption Control Problem associated with Jump-Diffusion Processes

石川保志 2008

[雑誌論文] レビー過程に関連した確率変数の連続性と絶対連続性

Ishikawa, Yasushi and Thomas, Simon 2008

[雑誌論文] Optimal stopping problem associated with jump-diffusion processes

Yasushi ISHIKAWA 2008

[雑誌論文] Optimal Consumption Control Problem associated with Jump-Diffusion Processes

Yasushi Ishikawa Hiroaki Morimoto 2008

[学会発表] Composition with distributions of Wiener-Poisson variables and its asymptotic expansion (I)

石川保志 2008

[雑誌論文] Optimal Control Problem Associated with Jump Processes

Ishikawa, Yasushi 2007

[雑誌論文] Optimal control problem associated with jump-diffusion processes and optimal stopping

Ishikawa Yasushi 2007

[学会発表] Composition with distributions of Poisson variables and its asymptotic expansion

Ishikawa Yasushi 2007

[学会発表] Composition with disthbutions of Poisson variables and its asymptotic expansion

Ishikawa Yasushi 2007

[雑誌論文] Optimal control problem associated with jump-diffusion processes and optimal stopping

Ishikawa, Yasushi 2007

[雑誌論文] Malliavin calculus applied to mathematical finance and a new formulation of the integration-by-parts

Ishikawa, Yasushi 2006

[雑誌論文] Malliavin calculus applied to mathematical finance and a new formulation of the integration-by-parts

Ishikawa, Yasushi and Kunita, Hiroshi 2006