Kyoto University · Faculty of Science / Graduate School of Science · 准教授

Research keywords時間非整合性・数理ファイナンス・確率論・確率微分方程式・確率制御・確率ヴォルテラ方程式

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• Exponential ergodicity and finite-dimensional approximation for Markovian lifts of stochastic Volterra equationspreprint,
• Weak well-posedness of stochastic Volterra equations with completely monotone kernels and nondegenerate noiseThe Annals of Applied Probability,
• Linear-quadratic stochastic Volterra controls I: Causal feedback strategiesStochastic Processes and their Applications,
• Periodic portfolio selection with quasi-hyperbolic discountingpreprint,

• 無限次元確率解析に基づくマーケットモデルの無裁定条件及び完備性に関する研究
• 時間非整合性を考慮した確率制御問題に関する研究
• ヴォルテラ型確率積分方程式および関連する確率制御問題の研究

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