YAMAZATO Makoto 山里眞

Researcher Number	00015900
Other IDs
Affiliation (based on the past Project Information) *help	2010 – 2012: 琉球大学, 理学部, 教授 2006 – 2008: 琉球大学, 理学部, 教授 1994 – 2003: 琉球大学, 理学部, 教授 1987 – 1993: 名古屋工業大学, 工学部, 助教授 1989 – 1990: 名古屋工業大学, 数学教室, 助教授 1989: Nagoya Inst. Technol., Engineering, Assistant Professor
Review Section/Research Field	Principal Investigator General mathematics (including Probability theory/Statistical mathematics) / General mathematics (including Probability theory/Statistical mathematics) Except Principal Investigator 代数学・幾何学 / General mathematics (including Probability theory/Statistical mathematics) / General mathematics (including Probability theory/Statistical mathematics) / 解析学
Keywords	Principal Investigator recurrence / Levy measure / storage process / 加法過程 / local time / hitting time / tail behavior / moment / OU type process / 再帰性 … More / インサイダー / セミマルチンゲール / レヴィ測度 / 推移確率 / 絶対連続 / skip-free process / subadditive functional / subexponentiality / submultiplicativity / モーメント / skip free process / エルゴード型 / ダム過程 / オルンシュタイン=ウーレンベック型過程 / OU型過程 / OV型過程 / 在庫過程 / 最適期待効用 / filtrationの拡大 / 相対エントロピー / filtration の拡大 / 確率論 / 対数効用 / コンペンセーター / フィルターの拡大 / 自己相似過程 / 到達時間分布 / 1次元一般化拡散過程 / OL分布 / 一般化曲座標 … More Except Principal Investigator Hitting time distribution / 確率微分方程式 / シミュレーション / Malliavin解析 / 数値解析 / 確率論 / Classification of Algebraic Surfaces / Criterion of Ruled Surfaces / Class of Algebraic Surfaces / 代数曲面のクラス / 代数曲面の分類 / 線織面の判定法 / 代数曲線のクラス / ホワイトヘッド積 / ファイバ-的ホモトピ- / ファイバ-的トポロジ- / ex-ホモトピ-論 / ファイバ-空間 / リ-群 / ホモトピ-正規性 / Average Identity Probability / Multigene Family / Infinite Allele Model / Measure Valued Diffusion / ユーエンズのサンプリング公式 / ライト・フィシャーモデル / 遺伝モデル / 無限次元拡散過程 / ユーンズのサンプリング公式 / 一致確率 / 多重遺伝子族 / 無限アリルモデル / 測度値拡散過程 / Dirichlet form / stochastic calculus / log-Sobolev inequality / mixing condition / Gibbs measure / continuum model / Dobrushin-Shlosman型混合条件 / storage process / Ginzburg-Landau連続場模型 / ディリクレ形式 / 確率解析的時間発展 / 対数ソボレフ不等式 / Dobrushin-Shlosman型の混合条件 / ギブス測度 / ギンズブルグ・ランダウ連続場模型 / Generalized diffusion process / Measure-preserving diffeomorphism / L-coprimary decomposition / L-torsion / Generalized length / 特性類 / 代数的Kー理論 / 2次形式 / クリフォ-ド代数 / 回転群 / 微分作用素 / 双1次形式 / 凸集合 / グロタンディーク群 / strongly unimodal / 局所不変多様体 / グロタンディ-ク群 / 余準素分解 / ねじれ部分加群 / 非線形偏微分方程式 / 非線形 / 誤差評価 / リスク / 確率変数 / ジャンプ型モデル / ミュレーション / 取引費用 / 制御論 / market timer現象 / インサイダー取引モデル / モンテカルロ法 / 数理ファイナンス / corner endomorphism / outer automorphism / purely infinite / 単純C^*-環 / FS性 / tensor product / slant部分多様体 / 円測地的部分多様体 / リー微分 / 等質実超曲面 / リッチテンソル / 第二基本形式 / 実超曲面 / 複素射影空間 / 代数的偏微分方程式 / 組み合せ論 / 不変式 Less

Insider problems in markets driven by semiPrincipal Investigator
- Principal Investigator
  
  YAMAZATO Makoto
- Project Period (FY)
  2010 – 2012
- Research Category
  
  Grant-in-Aid for Scientific Research (C)
- Research Field
  
  General mathematics (including Probability theory/Statistical mathematics)
- Research Institution
  University of the Ryukyus
Numerical Analysis of Jump-Models and Applications of Malliavin Calculus in Finance
- Principal Investigator
  
  ARTURO Kohatsu-higa
- Project Period (FY)
  2009 – 2011
- Research Category
  
  Grant-in-Aid for Scientific Research (B)
- Research Field
  
  General mathematics (including Probability theory/Statistical mathematics)
- Research Institution
  Ritsumeikan University
  Osaka University
Mathematical Finance : Insider Models and Applications of MalliavinCalculus
- Principal Investigator
  
  KOHATSU-HIGA Arturo
- Project Period (FY)
  2006 – 2008
- Research Category
  
  Grant-in-Aid for Scientific Research (B)
- Research Field
  
  General mathematics (including Probability theory/Statistical mathematics)
- Research Institution
  Osaka University
Enlargement of filtration generated by semimartingales and its applications to mathematical financePrincipal Investigator
- Principal Investigator
  
  YAMAZATO Makoto
- Project Period (FY)
  2006 – 2008
- Research Category
  
  Grant-in-Aid for Scientific Research (C)
- Research Field
  
  General mathematics (including Probability theory/Statistical mathematics)
- Research Institution
  University of the Ryukyus
Studies on recurrence and moments of transition probabilities of jump type Markov processesPrincipal Investigator
- Principal Investigator
  
  YAMAZATO Makoto
- Project Period (FY)
  2001 – 2003
- Research Category
  
  Grant-in-Aid for Scientific Research (C)
- Research Field
  
  General mathematics (including Probability theory/Statistical mathematics)
- Research Institution
  University of the Ryukyus
Research on several problems of stochastic processes concerning the Ginzburg-Landau continuum model
- Principal Investigator
  
  SUGIURA Makoto
- Project Period (FY)
  1999 – 2000
- Research Category
  
  Grant-in-Aid for Scientific Research (C)
- Research Field
  
  General mathematics (including Probability theory/Statistical mathematics)
- Research Institution
  University of the Ryukyus
Study of recurrence property of jump type Markov processesPrincipal Investigator
- Principal Investigator
  
  YAMAZATO Makoto
- Project Period (FY)
  1997 – 1998
- Research Category
  
  Grant-in-Aid for Scientific Research (C)
- Research Field
  
  General mathematics (including Probability theory/Statistical mathematics)
- Research Institution
  UNIVERSITY OF THE RYUKYUS
1次元一般化拡散過程の到達時間分布Principal Investigator
- Principal Investigator
  
  山里眞
- Project Period (FY)
  1996
- Research Category
  
  Grant-in-Aid for Scientific Research (C)
- Research Field
  
  General mathematics (including Probability theory/Statistical mathematics)
- Research Institution
  University of the Ryukyus
加法過程の推移確率の滑らかさとその応用Principal Investigator
- Principal Investigator
  
  山里眞
- Project Period (FY)
  1995
- Research Category
  
  Grant-in-Aid for General Scientific Research (C)
- Research Field
  
  General mathematics (including Probability theory/Statistical mathematics)
- Research Institution
  University of the Ryukyus
単純C^*-環の新しい例の構成
- Principal Investigator
  
  KODAKA Kazunori
- Project Period (FY)
  1994
- Research Category
  
  Grant-in-Aid for General Scientific Research (C)
- Research Field
  
  解析学
- Research Institution
  University of the Ryukyus
多次元加法過程の推移確率の滑らかさとその応用Principal Investigator
- Principal Investigator
  
  山里眞
- Project Period (FY)
  1993
- Research Category
  
  Grant-in-Aid for General Scientific Research (C)
- Research Field
  
  General mathematics (including Probability theory/Statistical mathematics)
- Research Institution
  Nagoya Institute of Technology
部分多様体の微分幾何学
- Principal Investigator
  
  前田定廣
- Project Period (FY)
  1992
- Research Category
  
  Grant-in-Aid for General Scientific Research (C)
- Research Field
  
  代数学・幾何学
- Research Institution
  Nagoya Institute of Technology
ヘッセ行列式が消滅する超曲面について
- Principal Investigator
  
  YAMADA Hiroshi
- Project Period (FY)
  1990
- Research Category
  
  Grant-in-Aid for General Scientific Research (C)
- Research Field
  
  代数学・幾何学
- Research Institution
  Nagoya Institute of Technology
Metrics on complex manifold
- Principal Investigator
  
  KATO Akikuni
- Project Period (FY)
  1989 – 1991
- Research Category
  
  Grant-in-Aid for General Scientific Research (C)
- Research Field
  
  代数学・幾何学
- Research Institution
  Nagoya Institute of Technology
Stochastic Differential Equations and Their Applications
- Principal Investigator
  
  SHIMIZU Akinobu
- Project Period (FY)
  1987 – 1988
- Research Category
  
  Grant-in-Aid for General Scientific Research (C)
- Research Field
  
  General mathematics (including Probability theory/Statistical mathematics)
- Research Institution
  Nagoya Institute of Technology
Structure of Algebraic Varieties
- Principal Investigator
  
  TAKEMOTO Fumio, 竹本史夫
- Project Period (FY)
  1987 – 1989
- Research Category
  
  Grant-in-Aid for General Scientific Research (C)
- Research Field
  
  代数学・幾何学
- Research Institution
  Nagoya Institute of Technology

All 2012 2011 2010 2009 2008 2007 2006

All Journal Article Presentation

[Journal Article] Remarks on a convergence theorem for stochastic processes on D[0, infinity) having monotone sample paths2012
- Author(s)
  M.Yamazato
- Journal Title
  
  IMS Cooperative Research Report
  
  Pages: 74-86
- Data Source
  KAKENHI-PROJECT-22540145
[Journal Article] Insider models with finite utility in jumps2012
- Author(s)
  A. Kohatsu-Higa, M.Yamazato
- Journal Title
  
  Applied Mathematics Optimizations
  
  Volume: Vol. 64 Pages: 17-2
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-22540145
[Journal Article] Remarks on a convergence theorem for stochastic processes on Definfinity2012
- Author(s)
  Makoto Yamazato
- Journal Title
  
  having monotone sample paths, Cooperative Research Report
  
  Volume: Vol. 275 Pages: 74-86
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-22540145
[Journal Article] Absolute continuity conditions for multivariate infinitely divisible distributions and their applications2012
- Author(s)
  Makoto Yamazato
- Journal Title
  
  Theory of Probability and its Applications
  
  Volume: 56 Issue: 2 Pages: 299-312
- DOI
  10.1137/s0040585x97985406
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-22540145, KAKENHI-PROJECT-24340022
[Journal Article] Insider models with finite utility in markets with jumps2011
- Author(s)
  A. Kohatsu-Higa
- Journal Title
  
  Applied Mathematics and Optimization
  
  Volume: 64 Issue: 2 Pages: 217-255
- DOI
  10.1007/s00245-011-9137-x
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-20340019, KAKENHI-PROJECT-21340024
[Journal Article] Absolute continuity of multidimensional infinitely divisible distributions with an application2011
- Author(s)
  Makoto Yamazato
- Journal Title
  
  Cooperative Research Report
  
  Volume: 262 Pages: 80-93
- Data Source
  KAKENHI-PROJECT-22540145
[Journal Article] Insider models with finite utility in markets with jumps2011
- Author(s)
  A.Kohatsu-Higa, M.Yamazato
- Journal Title
  
  Applied Mathematics & Optimization
  
  Volume: 64 Pages: 217-255
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-22540145
[Journal Article] Absolute contmultidimensional infinitely distributions with an applCooperative Research Report2011
- Author(s)
  Makoto Yamazato
- Volume
  262
- Pages
  80-93
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-22540145
[Journal Article] On a J_1-convergence theorem for stochastic processes on D[0, ∞) having monotone sample paths and its applications2009
- Author(s)
  M. Yamazato
- Journal Title
  
  RIMS kokyuroku 1620
  
  Pages: 109-118
- Data Source
  KAKENHI-PROJECT-18540133
[Journal Article] On a $J_1$ convergence t heorem for stochastic processes on $D[0,\infty)$ having monotone sample paths and its applications2009
- Author(s)
  M. Yamazato
- Journal Title
  
  The 8-th Workshop on Stochastic Numerics. RIMS kokyuroku 1620
  
  Pages: 109-118
- Data Source
  KAKENHI-PROJECT-18340029
[Journal Article] On a J_1 convergence theorem for stochastic processes on D(0, ∞)having monotone sample paths and its applications.2009
- Author(s)
  Makoto Yamazato
- Journal Title
  
  RIMS kokyuroku 1620
  
  Pages: 109-118
- Data Source
  KAKENHI-PROJECT-18540133
[Journal Article] On a $J_1$ convergence theorem for stochastic processes on $D[0, \infty)$ having monotone sample paths and its applications2009
- Author(s)
  M. Yamazato
- Journal Title
  
  The 8-th Workshop on Stochastic Numerics. RIMS kokyuroku 1620
  
  Pages: 109-118
- Data Source
  KAKENHI-PROJECT-18340029
[Journal Article] Enlargement of filtrations with random times for processes with jumps.2008
- Author(s)
  A. Kohatsu-Higa, M. Yamazato.
- Journal Title
  
  Stochastic Proc. Appl. 118
  
  Pages: 1136-1158
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-18540133
[Journal Article] Enlargement of filtrations with random times for processes with jumps2008
- Author(s)
  A. Kohatsu-Higa, M. Yamazato
- Journal Title
  
  Stochastic Proc. Appl 118
  
  Pages: 1136-1158
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-18540133
[Journal Article] Enlargement of filtrations with random times for processes with jumps2008
- Author(s)
  A. Kohatsu-Higa. and M.Yamazato
- Journal Title
  
  Stochastic Processes and their applications vol.118
  
  Pages: 1136-1158
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-18340029
[Journal Article] Enlargement of filtrations with random times for processes with jumps2008
- Author(s)
  A. Kohatsu-Higa. and M. Yamazato
- Journal Title
  
  To appear in Stochastic Processes and their applications (in press)
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-18540133
[Journal Article] Insider problems for markets driven by L\'evy processes2007
- Author(s)
  A. Kohatsu-Higa, M. Yamazato
- Journal Title
  
  Harmonic, wavelet and p-adic analysis 2
  
  Pages: 363-381
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-18540133
[Journal Article] Insider problems for markets driven by Levy processes2007
- Author(s)
  A.Kohatsu-Higa, M.Yamazato
- Journal Title
  
  Abstract and Applied Analysis 2(To appear)
- Data Source
  KAKENHI-PROJECT-18540133
[Journal Article] de Finetti's theorem for o-finite measures on R∞＼{0}2007
- Author(s)
  K.Yamauchi, M.yamazato
- Journal Title
  
  Ryukyu Mathematical Journal 19
  
  Pages: 129-136
- Data Source
  KAKENHI-PROJECT-18540133
[Journal Article] A convolution approach to multivariate Bessel processes2007
- Author(s)
  T. V. Nguyen, S. Ogawa, M. Yamazato
- Journal Title
  
  Stochastic processes and applications to mathematical finance 4
  
  Pages: 233-244
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-18540133
[Journal Article] A convolution approach to multivariate Bessel processes2007
- Author(s)
  T. V. Nguyen, S. Ogawa, M. Yamazato
- Journal Title
  
  Stochastic processes and applications to mathematical finance, World Sci. Publ., Hackensack, NJ
  
  Pages: 233-244
- Data Source
  KAKENHI-PROJECT-18340029
[Journal Article] Insider problems for markets driven by L\'evy processes, Harmonic2007
- Author(s)
  A. Kohatsu-Higa, M. Yamazato
- Journal Title
  
  wavelet and p-adic analysis, World Sci. Publ., Hackensack. NJ
- Data Source
  KAKENHI-PROJECT-18340029
[Journal Article] Topics related to gamma processes2006
- Author(s)
  M. Yamazato
- Journal Title
  
  Stochastic processes and applications to mathematical finance 3
  
  Pages: 157-182
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-18540133
[Journal Article] de Finetti's theorem for $\sigma$-finite measures on $\mathbb{R}^{\infty\backslash\{0\}}$2006
- Author(s)
  K. Yamauchi, M. Yamazato
- Journal Title
  
  Ryukyu Math. J 19
  
  Pages: 129-136
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-18340029
[Journal Article] Topics related to gamma processes2006
- Author(s)
  M. Yamazato
- Journal Title
  
  Stochastic processes and applications to mathematical finance, World Sci. Publ., Hackensack, NJ
  
  Pages: 157-182
- Data Source
  KAKENHI-PROJECT-18340029
[Journal Article] de Finetti's theorem for σ-finite measures on R ∞2006
- Author(s)
  K. Yamauchi, M. Yamazato
- Journal Title
  
  Ryukyu Math. J 19
  
  Pages: 129-136
- Data Source
  KAKENHI-PROJECT-18540133
[Journal Article] A convolution approach to the multivariate Bessel processes2006
- Author(s)
  S. Ogawa, V. T. Nguyen and M. Yamazato
- Journal Title
  
  Proceedings of the 6^<th> Ritsumeikan Conference on Stochastic Processes & Applications to Mathematical Finance
  
  Pages: 233-245
- Data Source
  KAKENHI-PROJECT-18340029
[Presentation] Remarks on a convergence theorem for stochastic processes on [D, ￥infty) having monotone sample paths2011
- Author(s)
  Makoto Yamazato
- Organizer
  Problems on infinitely divisible processes
- Place of Presentation
  統計数理研究所
- Year and Date
  2011-11-11
- Data Source
  KAKENHI-PROJECT-22540145
[Presentation] Absolute continuity of multidimensional infinitely divisible distributions with an application2010
- Author(s)
  Makoto Yamazato
- Organizer
  無限分解可能過程に関する諸問題(15)
- Place of Presentation
  統計数理研究所(東京都)
- Year and Date
  2010-10-22
- Data Source
  KAKENHI-PROJECT-22540145
[Presentation] Absolute continuity of multidimensional infinitely divisible distributions and applications2010
- Author(s)
  M. Yamazato
- Organizer
  Workshop & spring school on stochastic calculus and applicaiotns
- Place of Presentation
  Sinica(Taiwan)
- Year and Date
  2010-04-15
- Data Source
  KAKENHI-PROJECT-21340024
[Presentation] Absolute continuity of multidimensional infinitely divisible distributions and applications2010
- Author(s)
  Makoto Yamazato
- Organizer
  Workshop & spring school on stochastic calculus and Applicaiotns
- Place of Presentation
  Institute of Mathematics, Academia Sinica, Taiwan(招待講演)
- Year and Date
  2010-04-15
- Data Source
  KAKENHI-PROJECT-21340024
[Presentation] 多次元無限分解可能分布の絶対連続生について2009
- Author(s)
  山里眞
- Organizer
  無限分解可能過程に関連する諸問題
- Place of Presentation
  統計数理研究所
- Year and Date
  2009-11-20
- Data Source
  KAKENHI-PROJECT-21340024
[Presentation] On a $J_1$ convergence theorem for stochastic processes on $D[0,\infty)$ having monotone sample paths and its applications2008
- Author(s)
  M. Yamazato
- Organizer
  The 8-th Workshop on Stochastic Numerics
- Place of Presentation
  RIMS Kyoto, Japan
- Data Source
  KAKENHI-PROJECT-18340029
[Presentation] On a J_1 convergence theorem for stochastic processes on D [0, ∞) having monotone sample paths and its applications2008
- Author(s)
  Makoto Yamazato
- Organizer
  The 8-th Workshop on stochastic Numerics
- Place of Presentation
  京都大学数理解析研究所
- Year and Date
  2008-07-08
- Data Source
  KAKENHI-PROJECT-18540133
[Presentation] On a $J_1$ convergence theorem for stochastic processes on $D[0, \infty)$ having monotone sample paths and its applications.2008
- Author(s)
  M. Yamazato
- Organizer
  The 8-th Workshop on stochastic Numerics. RIMS
- Place of Presentation
  京都
- Year and Date
  2008-06-27
- Data Source
  KAKENHI-PROJECT-18340029
[Presentation] First passage times for storage processes A survey2006
- Author(s)
  M. Yamazato
- Organizer
  Workshop on Mathematical Finance and Stochastic Control
- Place of Presentation
  Osaka university (Holiday in Kyoto)
- Data Source
  KAKENHI-PROJECT-18340029

1. CHEN Chunhang (00264466)

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38. 日熊隆則 (10218737)

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39. 石川弘 (70044980)

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results
40. 志賀博雄 (40128484)

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results
41. 印南信宏 (20160145)

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results
42. 竹内義浩 (10206956)

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results
43. 石戸谷公直 (80133130)

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results
44. 林栄一 (80024173)

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results

YAMAZATO Makoto 山里 眞

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Insider problems in markets driven by semiPrincipal Investigator

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Enlargement of filtration generated by semimartingales and its applications to mathematical financePrincipal Investigator

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Studies on recurrence and moments of transition probabilities of jump type Markov processesPrincipal Investigator

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Study of recurrence property of jump type Markov processesPrincipal Investigator

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1次元一般化拡散過程の到達時間分布Principal Investigator

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加法過程の推移確率の滑らかさとその応用Principal Investigator

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多次元加法過程の推移確率の滑らかさとその応用Principal Investigator

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YAMAZATO Makoto 山里眞