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NAGI Hideo  長井 英生

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… Alternative Names

長井 英夫  ナガイ ヒデオ

NAGAI Hideo  長井 英夫

長井 秀生  ナカ゛イ ヒデオ

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Researcher Number 70110848
Other IDs
External Links
Affiliation (based on the past Project Information) *help 2011 – 2019: 関西大学, システム理工学部, 教授
2011 – 2016: 関西大学, 工学部, 教授
1997 – 2012: 大阪大学, 大学院・基礎工学研究科, 教授
2007 – 2011: 大阪大学, 基礎工学研究科, 教授
2007: Osaka University, graduate school of engineering science, professor … More
2005 – 2006: 大阪大学, 大学院基礎工学研究科, 教授
2003: OSAKA UNIVERSITY, GRADUATE SCHOOL OF ENGINEERING SCIENCES, PROFESSOR, 基礎工学研究科, 教授
2000 – 2001: Graduate School of Engineering Science, OSAKA UNIVERSITY Professor, 基礎工学研究科, 教授
1995 – 1999: 大阪大学, 基礎工学部, 教授
1998: 大阪大学, 大学院基礎工学研究科, 教授
1993 – 1994: 名古屋大学, 情報文化学部, 助教授
1989 – 1992: Nagoya Univ., Coll. of Gen. Educ., Ass. Prof., 教養部, 助教授
1987 – 1988: 徳島大学, 総合科学部, 助教授 Less
Review Section/Research Field
Principal Investigator
General mathematics (including Probability theory/Statistical mathematics) / General mathematics (including Probability theory/Statistical mathematics) / Foundations of mathematics/Applied mathematics / Basic analysis
Except Principal Investigator
General mathematics (including Probability theory/Statistical mathematics) / Basic analysis / 解析学 / Basic analysis / General mathematics (including Probability theory/Statistical mathematics) / Public finance/Monetary economics / 代数学・幾何学 / Global analysis / Statistical science
Keywords
Principal Investigator
リスク鋭感的確率制御 / ポートフォリオ最適化 / ベルマン方程式 / 粘性解 / ダウンサイドリスク最小化 / ハミルトン・ヤコビ方程式 / 双対性定理 / 大偏差確率制御 / ファクターモデル / エルゴード型ベルマン方程式 … More / 大偏差原理 / HJB方程式 / 非完備市場 / 加法的汎関数 / スペクトルギャップ / 対数ソボレフ不等式 / シュレーディンガー作用素 / モデルの不確かさ / 大偏差確率 / large deviation control / 期待効用最大化 / エルゴード型H-J-B方程式 / 確率制御 / 期待効用最大化問題 / 最適戦略 / フィルタリング / 特異極限 / ハルナック不等式 / 数理ファイナンス / レート関数 / リスク鋭感的微分ゲーム / 漸近的最適戦略 / 確率微分ゲーム / ベンチマーク / 有効領域 / ゲーム論的アプローチ / リスク最小化 / HJB-I 方程式 / HJB 方程式 / 最適消費・投資 / Hamilton-Jacobi equation / viscosity solutions / insider trading / transaction costs / quasi-variational inequalities / expected utility maximization problems / ブラウン運動 / Hamilton-Jacobi-Bellman方程式 / 最小エントロピー / 指数型ウィナー汎関数 / 最適制御 / べき型期待効用最大化 / 最小エントロピー測度 / スペクトル理論 / モーメント問題 / 密度関数推定 / super kernel / リスク鋭感的ポートフォリオ最大化 / 線形ガウス型市場モデル / インサイダー取引 / 取引費用 / 準変分不等式 / semi-classical limits / Critical surface models / Viscosity solutions / Exponential hedge / Log Sobolev inequalities / Maximum principle / Portfolio optimization / Bellman equations / ファインマン・カッツ汎関数 / ウィーナー空間 / コルモゴロフ方程式 / 緩和現象 / ポートフェリオ最適化 / 準古典的極限 / 界面モデル / 指数ヘッジ / 最大値原理 / additive functional / spectral gap / log Sobolev inequality / large deviation principle / Schrodinger operator / portfolio optimization / ergodic Bellman equation / risk-sensitive stochastic control / エルゴード型確率制御問題 / エルコンド型ベルマン方程式 / 対数ソポレフ不等式 / ロバストネス / H-J-B- Isaacs 方程式 / 最適消費・投資問題 / エルゴード型 H-J-B 方程式 / 最適投資・消費問題 / 双対型定理 / ダウンサイドリスク最小化リスク最小化 / optimal consumption / duality theorems / H-J-B equations / 弱近似 / リスク鋭感的制御 / ダウンサイドリスク / 局所最大値原理 / インサイダー取引モデル / 価値尺度 / H-J-B方程式 / ポートフォリオ最適化、大偏差確率制御 / リスク鋭感的価値尺度 / インサイダー取引市場モデル / ロバスト性 / エルゴード型確率制御 / デリバティブの価値評価 / H-J-B 方程式 / 大偏差確率最大化 / べき型期待効用最大化問題 / Einstein Relation / 格子気体モデル / Wonhamフィルター / リスク鋭感型準変分不等式 / 確率偏微分方程式 / 修正Zakai方程式 / リッカチ方程式 / 逆向き確率偏微分方程式 / ブレークダウン / マルコフ連鎖 / ガウス型通信路 / 単峰性 / 加法過程 / 勾配評価 / エルゴード的確率制御問題 … More
Except Principal Investigator
確率解析 / 粘性解 / ハルナック不等式 / マルコフ過程 / 対数ソボレフ不等式 / 最適制御 / 数理ファイナンス / ディリクレ形式 / 確率制御 / 完全非線形方程式 / ループ空間 / シュレーディンガー作用素 / 準古典極限 / 確率微分方程式 / 確率論 / 比較原理 / 大偏差原理 / 流体力学極限 / 符号化定理 / ガウス型通信路 / optimal control / ラプラスの方法 / Stochastic analysis / スペクトルギャップ / Dirichlet form / ブラウン運動 / リーマン多様体 / 無限粒子系 / エルゴード理論 / フラクタル / 自由境界問題 / 最適制御理論 / ABP最大値原理 / 局所最大値原理 / 弱ハルナック不等式 / 最大値原理 / ラフパス解析 / 場の量子論 / シミュレーション / Malliavin解析 / 数値解析 / 弱KAM理論 / 関数方程式 / 情報量損失 / 統計的曲率 / 統計的推測 / 再帰性 / 加法的汎関数 / 対称マルコフ過程 / 極小曲面 / 大数の法則 / large deviation / フィ-ドバック / 通信路容量 / Analytic Capacity / Logarithmic Diffusion Kernel / Stochastic Control Problem / Brownian Motion / Gaussian Channel / Self-similar Process / Markov Process / Birth-and-death Process / 標準量子限界 / ピカール集合 / ディリクレ核 / サボーディネイション / ヤン・バクスター方程式 / 特異点集合 / 有理型関数 / 加法過程 / 公理A / 組みひも群 / シュレ-ディンガ-作用素 / 自己分解可能分布 / 解析的容量 / 対数型拡散核 / 確率制御問題 / 自己相似過程 / 出生死亡過程 / Mathematical Finance / Harnack inequality / calculus of variation / uniformly elliptic equation / degenerate elliptic equation / fully nonlinear equation / viscosity solution / 変分問題 / ハルナックの不等式 / 変分法 / 一様楕円型方程式 / 退化楕円型方程式 / disclosure / stochastic calculus / martingales / stochastic process / Pareto improvement / risk sharing rule / spanning, condition / derivatives / 情報生成 / 市場ルール / 資産価格理論 / 取引デザイン / 市場管理機構 / 情報公開ルール / スパンニング / 幾何ブラウン運動 / パレート改善 / リスク・シェアリング / デリバティブズ / Quantum_field theory / Path integral / Log-Sobolev inequality / Witten Laplacian / Rough path analysis / Semi-classical limit / ラブラスの方法 / 弱ポアンカレ不等式 / 推移確率 / 径路積分表示 / 径路積分 / Wittenラプラシアン / asymptotic problems / level set approach / mathematical finance / curvature flow / viscosity solutions / 凸化ガウス曲率流 / 漸近問題 / 等高面法 / 曲率流 / rough path / heat kernel / Semiclassical limit / Schrodinger operator / Logarithmic Sobolev inequality / 超縮小性 / 準古典的近似 / シュレーディンガー作用書 / ラフパス / 熱核 / Infinite particles' system / Ergodic theory / Stochastic control / Random matrices / Hydrodynamic limit / Markov processes / ランダム行列 / Loop Space / Spectral Gap / Logarithmic Soboles inequality / ギッブス測度 / ディソクレ形式 / 対数リボレフ不等式 / Feynman-Kac formula / additive functional / symmetric Markov process / 大変差原理 / ファイマン-カッツ汎関数 / ディクレ形式 / ディリクレ形成 / ファインマン-カッツの公式 / Generalized linear regression model / Multidimensional sphere model / Information geometry / Circular Mechanism of likelihood / Statistical curvature / Information loss / Fisher Information / Maximum likelihood estimator / 時系列解析モデル / 尤度解析 / 局指数型分布族 / 指数型分布族 / 一般線形回帰モデル / 一般次元球面モデル / 情報量幾何学 / 尤度関数の円周機構 / フィッシャー情報量 / 最尤推定量 / Free Boundary Problem / Interface / Muskat Problem / Mittag-Leffler function / Differential Integral Equation / 境界層 / ミッタークレフラ-関数 / 微分積分方程式 / 非線形放線形偏微分方程式 / 自由境参問題 / 非線形放物形偏微分方程式 / マスカット問題 / optional stopping theorem / law of large numbers / separability for convergence / graph onvergence / random fuzzy set / random set / fuzzy martingale / fuzzy analysis / 劣マルチンゲ-ル / 優マルチンゲ-ル / Kudo-Aumann積分 / ファジィマルチンゲ-ル / ファジィマルチシゲール / デファジィフィケイション / 任意抽出定理 / 収束の可分性 / グラフ収束 / ランダムファジィ集合 / ランダム集合 / ファジィマルチンゲール / ファジィ解析 / Arithmetic-Geometric Mean Algorithm / Steffensen Iteration / Simple Pendulum / Algorithms / Discrete-Time Integrable Systems / 反復法 / 差分法 / 正定値行列 / 可解カオス系 / 可積分系 / 算術幾何平均のアルゴリズム / ステファンセン反復 / 単振り子 / アルゴリズム / 離散時間可積分系 / non-stationary statistical dynamics / Brownian motion / Riemannian manifold / quantum chaos / stochastic control / computor mathematics / genetic model / asymptotics theory / ウィナー空間 / 確率分布モデル / 非平衡統計力学 / 量子カオス / 計算数学 / 遺伝モデル / 漸近理論 / channel capacity / large deviation theorem / maximum entropy method / spectral analysis of stationary processes / information theory / 大偏差理論 / 大偏差定理 / 最大エントロピー法 / 定常過程のスペクトル解析 / 情報理論 / Mathematical Biology / Mathematical Physics / Hydrodynamical Limit / Infinite Particle Systems / Ergodic Theory / Markov Processes / Stochastic Analysis / Probability / ウィーナー空間 / 多様体 / 数理生物 / 数理物理 / Ornstein-Uhlenbeck type process / recurrent semi-group / resolvent of potential-kernels / non-integrability of sub-harmonic functions / Analytic capacity / Spectral synthetic / kernels of logarithmic type / Hunt convolution kernels / 周期軌道 / 偏微分方程式の可解性 / 調和関数の境界挙動 / 確率過程の再帰性 / 非回帰的半群 / 対数型ポテンシャル核 / オーレンスタイン・ウーレンベック型過程 / 回帰的生成半群 / ポテンシャル核のレゾルベント / 劣調和関数の非可積分性 / 解析容量 / スペクトラルシンセシス / 対数型核 / ハント合成核 / ワイヤストラスの表現公式 / 向きづけ不可能な曲面 / 回転面 / ミンコフスキー空間 / 極大部分多様体 / 隣接関係 / 加法公式 / 超幾何関数 / パンルベ方程式 / 戸田方程式 / レヴィ過程 / 動的計画原理 / 冪乗ラプラス作用素 / 分数冪ラプラス作用素 / ヘルダー連続 / 処罰法 / 弱Harnack不等式 / 平均曲率流 / 非局所作用素 / 障害問題 / 完全非線形 / 最適制御,米国,フランス,イタリア / 曲面の発展方程式,米国,フランス,イタリア / 弱KAM理論,米国,フランス,イタリア / 最適制御理論,米国,フランス,イタリア / 完全非線形偏微分方程式,米国,フランス,イタリア / 粘性解,米国,フランス,イタリア / 関数方程式,米国,フランス,イタリア / 弱KAM理論 / 完全非線形偏微分方程式 / 曲面の発展方程式 / 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 / 確立微分方程式 / 自己組織化 / 拡散方程式 / アトラクタ / 力学系 / 散逸系 / Pucci方程式 / Phragmen-Lindelov定理 / Lp粘性解 / 確率最適制御 / プラグメン・リンデレフ定理 / 楕円性 / 繰り込み / 無限次元解析 / 境界条件付きHodge-Kodaira型作用素 / ラフパス解 / アダマール変分 / ループ空間無限次元解析 / 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 / 強最大値原理 / 比較定理 / 曲率流方程式 / ハミルトン・ヤコビ方程式 / 短期記憶時系列 / 長期記憶時系列 / バハドール効率 / 比率関数 / 尤度比 / スペクトル密度関数 / 時系列回帰モデル / 時系列解析 / 生物統計 / 円周機構 / 漸近2次有効性 / 情報幾何 / 乗法的汎関数 / スカラホ-ド分解 / ヘルダー指数 / 反射壁拡散過程 / エネルギー零 / 位相作用素 / ブール超巾 / Schrodinger表現 / ユニタリ表現 / 超有限行列環 / 超有限Heisenberg群 / 超準解析学 / ブール代数値解析学 / 上半束 / 決定問題 / 多項式時間計算可能性 / 計算量 / 帰納的関数論 / リー幾何 / 接触構造 / WentzellーFreidlin型拡散過程 / 確率偏微分方程式 / ル-プ空間 / 非線式拡散方程式 / 排除過程 / GinzburgーLandauモデル / ベルマン方程式 / OrnsteinーUhlenbeck型確率過程 / 自己相似な確率過程 / 再帰性・非再帰性 / 一点への到達確率 / マルコフ連鎖 Less
  • Research Projects

    (46 results)
  • Research Products

    (209 results)
  • Co-Researchers

    (121 People)
  •  Game theoretical problems in mathematical models for financePrincipal Investigator

    • Principal Investigator
      Nagai Hideo
    • Project Period (FY)
      2016 – 2019
    • Research Category
      Grant-in-Aid for Scientific Research (C)
    • Research Field
      Foundations of mathematics/Applied mathematics
    • Research Institution
      Kansai University
  •  Stochastic control on a long term and its applicationsPrincipal Investigator

    • Principal Investigator
      NAGAI Hideo
    • Project Period (FY)
      2013 – 2015
    • Research Category
      Grant-in-Aid for Scientific Research (C)
    • Research Field
      Basic analysis
    • Research Institution
      Kansai University
  •  Deepening of the theory of viscosity solutions and its applications

    • Principal Investigator
      ISHII Hitoshi
    • Project Period (FY)
      2011 – 2015
    • Research Category
      Grant-in-Aid for Scientific Research (A)
    • Research Field
      Basic analysis
    • Research Institution
      Waseda University
  •  Fundamental theory for viscosity solutions of fully nonlinear equations and its applications

    • Principal Investigator
      Koike Shigeaki
    • Project Period (FY)
      2011 – 2015
    • Research Category
      Grant-in-Aid for Scientific Research (B)
    • Research Field
      Basic analysis
    • Research Institution
      Tohoku University
  •  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
  •  Development of the methods of stochastic control and filtering in mathematical financePrincipal Investigator

    • Principal Investigator
      NAGAI Hideo
    • Project Period (FY)
      2008 – 2012
    • Research Category
      Grant-in-Aid for Scientific Research (B)
    • Research Field
      General mathematics (including Probability theory/Statistical mathematics)
    • Research Institution
      Kansai University
      Osaka University
  •  Viscosity solution theory for fully nonlinear equations and its applications

    • Principal Investigator
      KOIKE Shigeaki
    • Project Period (FY)
      2008 – 2010
    • Research Category
      Grant-in-Aid for Scientific Research (B)
    • Research Field
      Basic analysis
    • Research Institution
      Saitama University
  •  Structural Analysis on Exponential Attractors for Dissipative Systems

    • Principal Investigator
      YAGI Atsushi
    • Project Period (FY)
      2008 – 2012
    • Research Category
      Grant-in-Aid for Scientific Research (B)
    • Research Field
      Global analysis
    • Research Institution
      Osaka University
  •  RESEARCH ON THE THEORY OF VISCOSITY SOLUTIONS OF DIFFERENTIAL EQUATIONS AND ITS APPLICATIONS

    • Principal Investigator
      ISHII Hitoshi
    • Project Period (FY)
      2006 – 2009
    • Research Category
      Grant-in-Aid for Scientific Research (A)
    • Research Field
      Basic analysis
    • Research Institution
      Waseda 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
  •  Stochastic analysis and semi-classical problems on infinite dimensional spaces

    • Principal Investigator
      AIDA Shigeki
    • Project Period (FY)
      2006 – 2008
    • Research Category
      Grant-in-Aid for Scientific Research (C)
    • Research Field
      Basic analysis
    • Research Institution
      Osaka University
  •  Max-Plus代数を用いた期待効用最大化問題の最適戦略の数値解析Principal Investigator

    • Principal Investigator
      長井 英生
    • Project Period (FY)
      2004 – 2005
    • Research Category
      Grant-in-Aid for Exploratory Research
    • Research Field
      General mathematics (including Probability theory/Statistical mathematics)
    • Research Institution
      Osaka University
  •  INTEFRATED RESEARCH FOR THE DESIGN AND CONTROL OF DERIVATIVES MARKETS

    • Principal Investigator
      NISHINA Kazuhiko
    • Project Period (FY)
      2004 – 2006
    • Research Category
      Grant-in-Aid for Scientific Research (B)
    • Research Field
      Public finance/Monetary economics
    • Research Institution
      Osaka University
  •  Expected utility maximiaation problems and stochastic controlPrincipal Investigator

    • Principal Investigator
      NAGAI HIideo
    • Project Period (FY)
      2004 – 2007
    • Research Category
      Grant-in-Aid for Scientific Research (B)
    • Research Field
      General mathematics (including Probability theory/Statistical mathematics)
    • Research Institution
      Osaka University
  •  On the study of the theory of viscosity solutions and its new developments

    • Principal Investigator
      KOIKE Shigeaki
    • Project Period (FY)
      2004 – 2007
    • Research Category
      Grant-in-Aid for Scientific Research (B)
    • Research Field
      Basic analysis
    • Research Institution
      Saitama University
  •  Research on the theory of viscosity solutions and its applications

    • Principal Investigator
      ISHII Hitoshi
    • Project Period (FY)
      2003 – 2005
    • Research Category
      Grant-in-Aid for Scientific Research (B)
    • Research Field
      Basic analysis
    • Research Institution
      Waseda University
  •  Stochastic analysis and semi-classical problem in infinite dimensional spaces

    • Principal Investigator
      AIDA Shigeki
    • Project Period (FY)
      2003 – 2005
    • Research Category
      Grant-in-Aid for Scientific Research (C)
    • Research Field
      Basic analysis
    • Research Institution
      Osaka University
  •  BELLMAN EQUATIONS OF RISK-SENRSITIVE STOCHASTIC AND THEIR APPLICATIONSPrincipal Investigator

    • Principal Investigator
      NAGAI Hideo
    • Project Period (FY)
      2001 – 2003
    • Research Category
      Grant-in-Aid for Scientific Research (B)
    • Research Field
      General mathematics (including Probability theory/Statistical mathematics)
    • Research Institution
      Osaka University
  •  部分的可観測確率制御理論の数理ファイナンスへの応用Principal Investigator

    • Principal Investigator
      長井 英生 (長井 英夫)
    • Project Period (FY)
      2000 – 2002
    • Research Category
      Grant-in-Aid for Exploratory Research
    • Research Field
      General mathematics (including Probability theory/Statistical mathematics)
    • Research Institution
      Osaka University
  •  Stochastic analysis on loop space

    • Principal Investigator
      AIDA Shigeki
    • Project Period (FY)
      2000 – 2002
    • Research Category
      Grant-in-Aid for Scientific Research (C)
    • Research Field
      Basic analysis
    • Research Institution
      Osaka University
  •  Synthetic Research of Probability Theory

    • Principal Investigator
      FUNAKI Tadahisa
    • Project Period (FY)
      1999 – 2001
    • Research Category
      Grant-in-Aid for Scientific Research (A)
    • Research Field
      General mathematics (including Probability theory/Statistical mathematics)
    • Research Institution
      The University of Tokyo
  •  Risk-sensitive stochastic control and its singular limitPrincipal Investigator

    • Principal Investigator
      NAGAI Hideo
    • Project Period (FY)
      1998 – 2000
    • Research Category
      Grant-in-Aid for Scientific Research (B).
    • Research Field
      General mathematics (including Probability theory/Statistical mathematics)
    • Research Institution
      OSAKA UNIVERSITY
  •  Siochastic Analysis on loop spaces

    • Principal Investigator
      AIDA Shigeki
    • Project Period (FY)
      1998 – 1999
    • Research Category
      Grant-in-Aid for Scientific Research (C)
    • Research Field
      Basic analysis
    • Research Institution
      Osaka University
      Tohoku University
  •  Discrete-Time Integrable Systems and Numerical Algorithms

    • Principal Investigator
      NAKAMURA Yoshimasa
    • Project Period (FY)
      1997 – 1998
    • Research Category
      Grant-in-Aid for Scientific Research (B)
    • Research Field
      General mathematics (including Probability theory/Statistical mathematics)
    • Research Institution
      Osaka University
  •  Stochastic fuzzy analysis and its applications

    • Principal Investigator
      OGURA Yukio
    • Project Period (FY)
      1997 – 1999
    • Research Category
      Grant-in-Aid for Scientific Research (B)
    • Research Field
      General mathematics (including Probability theory/Statistical mathematics)
    • Research Institution
      Saga University
  •  Studies on linear and nonlinear differential equations with time delay

    • Principal Investigator
      KAMETAKA Yoshinori
    • Project Period (FY)
      1997 – 1998
    • Research Category
      Grant-in-Aid for Scientific Research (C)
    • Research Field
      解析学
    • Research Institution
      Osaka University
  •  Research of Information-geometric Properties in Statistical Estimation Theory

    • Principal Investigator
      INAGAKI Nobuo
    • 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
      Osaka University
  •  Symmetric Markov processes and Dirichlet forms

    • Principal Investigator
      TAKEDA Masayoshi
    • Project Period (FY)
      1997 – 1999
    • Research Category
      Grant-in-Aid for Scientific Research (C)
    • Research Field
      General mathematics (including Probability theory/Statistical mathematics)
    • Research Institution
      TOHOKU UNIVERSITY
      Osaka University
  •  指数型分布族及び局所漸近指数型分布族の情報量幾何的特性の研究

    • Principal Investigator
      INAGAKI Nobuo
    • Project Period (FY)
      1996
    • Research Category
      Grant-in-Aid for Scientific Research (C)
    • Research Field
      General mathematics (including Probability theory/Statistical mathematics)
    • Research Institution
      Osaka University
  •  リスク鋭感的確率制御問題の研究Principal Investigator

    • Principal Investigator
      長井 英生
    • Project Period (FY)
      1996
    • Research Category
      Grant-in-Aid for Scientific Research (C)
    • Research Field
      General mathematics (including Probability theory/Statistical mathematics)
    • Research Institution
      Osaka University
  •  大偏差原理と統計学

    • Principal Investigator
      TANIGUCHI Masanobu
    • Project Period (FY)
      1996
    • Research Category
      Grant-in-Aid for Scientific Research (C)
    • Research Field
      Statistical science
    • Research Institution
      Osaka University
  •  マルコフ過程の汎関数の分解とその応用

    • Principal Investigator
      FUKUSHIMA Masatoshi
    • 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
      Osaka University
  •  Probability theory related to analysis and geometry

    • Principal Investigator
      OGURA Yukio
    • Project Period (FY)
      1995 – 1996
    • Research Category
      Grant-in-Aid for Scientific Research (A)
    • Research Field
      General mathematics (including Probability theory/Statistical mathematics)
    • Research Institution
      Saga University
  •  無限小解析学の数理物理学への応用

    • Principal Investigator
      小澤 正直
    • Project Period (FY)
      1994
    • Research Category
      Grant-in-Aid for General Scientific Research (C)
    • Research Field
      General mathematics (including Probability theory/Statistical mathematics)
    • Research Institution
      Nagoya University
  •  CO-OPERATIVE RESEARCH ON PROBABILITY THEORY

    • Principal Investigator
      SHIGA Tokuzo
    • Project Period (FY)
      1994
    • Research Category
      Grant-in-Aid for Co-operative Research (A)
    • Research Field
      General mathematics (including Probability theory/Statistical mathematics)
    • Research Institution
      TOKYO INSTITUTE OF TECHNOLOGY
  •  帰納的関数論の計算量問題への応用

    • Principal Investigator
      篠田 壽一
    • 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 University
  •  Study of Information Theory Based on Probability Theory

    • Principal Investigator
      IHARA Shunsuke
    • Project Period (FY)
      1993 – 1995
    • Research Category
      Grant-in-Aid for General Scientific Research (B)
    • Research Field
      General mathematics (including Probability theory/Statistical mathematics)
    • Research Institution
      Nagoya University
  •  リーの球面接触構造とその力学への応用

    • Principal Investigator
      佐藤 肇
    • Project Period (FY)
      1992
    • Research Institution
      Nagoya University
  •  エルゴード型ベルマン方程式の研究Principal Investigator

    • Principal Investigator
      長井 英生
    • Project Period (FY)
      1992 – 1993
    • Research Category
      Grant-in-Aid for General Scientific Research (C)
    • Research Field
      General mathematics (including Probability theory/Statistical mathematics)
    • Research Institution
      Nagoya University
  •  マルコフ過程とその応用

    • Principal Investigator
      ICHIHARA Kanji
    • Project Period (FY)
      1991
    • Research Category
      Grant-in-Aid for General Scientific Research (C)
    • Research Field
      General mathematics (including Probability theory/Statistical mathematics)
    • Research Institution
      Nagoya University
  •  流体力学極限の確率過程論的研究

    • Principal Investigator
      FUNAKI Tadahisa
    • Project Period (FY)
      1991
    • Research Category
      Grant-in-Aid for General Scientific Research (C)
    • Research Field
      General mathematics (including Probability theory/Statistical mathematics)
    • Research Institution
      Nagoya University
  •  Potential-kernels of logarithmic type and their applications

    • Principal Investigator
      ITO Masayuki
    • Project Period (FY)
      1991 – 1992
    • Research Category
      Grant-in-Aid for General Scientific Research (B)
    • Research Field
      解析学
    • Research Institution
      Nagoya University
  •  情報理論の研究

    • Principal Investigator
      IHARA Shunsuke
    • Project Period (FY)
      1990
    • Research Category
      Grant-in-Aid for General Scientific Research (C)
    • Research Field
      General mathematics (including Probability theory/Statistical mathematics)
    • Research Institution
      Nagoya University
  •  擬リーマン多様体の部分多様体と調和写像の研究

    • Principal Investigator
      石原 徹
    • Project Period (FY)
      1988
    • Research Category
      Grant-in-Aid for General Scientific Research (C)
    • Research Field
      代数学・幾何学
    • Research Institution
      The University of Tokushima
  •  ソリトン理論にあらわれる微分方程式の研究

    • Principal Investigator
      亀高 惟倫
    • Project Period (FY)
      1987
    • Research Category
      Grant-in-Aid for General Scientific Research (C)
    • Research Field
      解析学
    • Research Institution
      The University of Tokushima
  •  Study of Stochastic Processes

    • Principal Investigator
      SATO Ken-iti
    • Project Period (FY)
      1987 – 1989
    • Research Category
      Grant-in-Aid for General Scientific Research (B)
    • Research Field
      General mathematics (including Probability theory/Statistical mathematics)
    • Research Institution
      Nagoya University

All 2019 2018 2017 2016 2015 2014 2013 2012 2011 2010 2009 2008 2007 2006 2005 2004 2003 Other

All Journal Article Presentation Book

  • [Book] Encyclopedia of Quantitative Finance2010

    • Author(s)
      H.Nagai (分担執筆)
    • Publisher
      Wiley(In press)
    • Data Source
      KAKENHI-PROJECT-20340019
  • [Journal Article] Risk-Sensitive Stochastic Control2019

    • Author(s)
      Hideo Nagai
    • Journal Title

      Encyclopedia of Systems and Control

      Volume: 2 Pages: 1-7

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-16K05284
  • [Journal Article] An optimal consumption problem for general factor models2018

    • Author(s)
      Hiroaki Hata, Hideo Nagai and Shuenn-jyi Sheu
    • Journal Title

      SIAM Journal on Control and Optimization

      Volume: 56 Issue: 5 Pages: 3149-3183

    • DOI

      10.1137/17m1135864

    • Peer Reviewed / Int'l Joint Research
    • Data Source
      KAKENHI-PROJECT-16K05284
  • [Journal Article] Large deviation estimates for controlled semi-martingales2015

    • Author(s)
      Hideo Nagai
    • Journal Title

      Interdisciplinary Mathematical Sciences,

      Volume: 17 Pages: 453-478

    • Peer Reviewed / Acknowledgement Compliant
    • Data Source
      KAKENHI-PROJECT-25400150
  • [Journal Article] Robust estimates of certain large deviation probabilities for controlled semi-martingales2015

    • Author(s)
      Hideo Nagai
    • Journal Title

      Banach Center Publications

      Volume: 105 Pages: 161-194

    • DOI

      10.4064/bc105-0-11

    • Peer Reviewed / Acknowledgement Compliant
    • Data Source
      KAKENHI-PROJECT-25400150
  • [Journal Article] Large deviation estimates for controlled semi-martingales2015

    • Author(s)
      Hideo Nagai
    • Journal Title

      Interdisciplinary Mathematical Scineces

      Volume: 7 Pages: 453-478

    • Peer Reviewed / Acknowledgement Compliant
    • Data Source
      KAKENHI-PROJECT-25400150
  • [Journal Article] Metastability for parabolic equations with drift: part I2015

    • Author(s)
      Hitoshi Ishii, Panagiotis E. Souganidis
    • Journal Title

      Indiana Univ. Math. J.

      Volume: 64 Issue: 3 Pages: 875-913

    • DOI

      10.1512/iumj.2015.64.5559

    • Peer Reviewed / Acknowledgement Compliant
    • Data Source
      KAKENHI-PROJECT-23244015
  • [Journal Article] H-J-B Equations of Optimal Consumption-Investment and Verification Theorems2015

    • Author(s)
      Hideo Nagai
    • Journal Title

      Appl. Math. Optim.

      Volume: 71 Issue: 2 Pages: 279-311

    • DOI

      10.1007/s00245-014-9258-0

    • Peer Reviewed / Acknowledgement Compliant
    • Data Source
      KAKENHI-PROJECT-23244015, KAKENHI-PROJECT-25400150
  • [Journal Article] Expected log-utility maximization under incomplete information and with Cox-process observation2014

    • Author(s)
      K.Fujimoto, H. Nagai and W.J. Runggaldier
    • Journal Title

      Asia-Pacific Financial Markets

      Volume: 21 Issue: 1 Pages: 35-66

    • DOI

      10.1007/s10690-013-9176-1

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-25400150
  • [Journal Article] Downside risk minimization: Large deviation estimates for controlled semi-martingale2013

    • Author(s)
      H. Nagai
    • Journal Title

      Real Options, Ambiguity, Risk and Insurance, Studies in Probability, OPtimization and Statistics

      Volume: 5 Pages: 208-231

    • Data Source
      KAKENHI-PROJECT-25400150
  • [Journal Article] Expected power-utility maximization under incomplete information and with Cox-process observation2013

    • Author(s)
      H. Nagai
    • Journal Title

      Appl. Math. Optimization

      Volume: 67 Issue: 1 Pages: 33-72

    • DOI

      10.1007/s00245-012-9180-2

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-20340019, KAKENHI-PROJECT-23244015, KAKENHI-PROJECT-25400150
  • [Journal Article] Downside risk minimization via a large deviations approach2012

    • Author(s)
      H. Nagai
    • Journal Title

      Annals of Applied Probability

      Volume: vol.22 Issue: 2 Pages: 608-669

    • DOI

      10.1214/11-aap781

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-20340019, KAKENHI-PROJECT-21340024, KAKENHI-PROJECT-23244015
  • [Journal Article] Down-side risk minimization under prescribed consumption level2012

    • Author(s)
      Hideo Nagai
    • Journal Title

      Risk and Decision Analysis

      Volume: (未定)(掲載確定)

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-23244015
  • [Journal Article] Down-side risk minimization under prescribed consumption level2012

    • Author(s)
      H.Nagai
    • Journal Title

      Risk and Decision Analysis

      Volume: 3 Issue: 3 Pages: 191-200

    • DOI

      10.3233/rda-2011-0058

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-20340019, KAKENHI-PROJECT-23244015
  • [Journal Article] Asymptotics of the probability minimizing a "down-side" risk under paertial information2011

    • Author(s)
      H.Nagai
    • Journal Title

      Quantitative Finance

      Volume: Vol.11 Pages: 789-803

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-20340019
  • [Journal Article] Asymptotics of the probability minimizing a "down-side"risk under paertial information2011

    • Author(s)
      H.Nagai
    • Journal Title

      Quantitative Finance

      Volume: (掲載確定)

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-20340019
  • [Journal Article] Asymptotics of the probability minimizing "down-side" risk under partial information2011

    • Author(s)
      H.Nagai
    • Journal Title

      Quantitative Finance

      Volume: 11 Issue: 5 Pages: 789-803

    • DOI

      10.1080/14697680903341814

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-20340019, KAKENHI-PROJECT-23244015
  • [Journal Article] Asymptotics of the probability minimizing a "down-side" risk under partial information2011

    • Author(s)
      Hideo Nagai
    • Journal Title

      Quantitative Finance

      Volume: (In press)

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-21340024
  • [Journal Article] Asymptotics of the probability minimizing a "down-side" risk2010

    • Author(s)
      Hiroaki Hata, Hideo Nagai, Shuenn-Jyi Sheu
    • Journal Title

      Annals of Applied Probability

      Volume: Vol.20 No.1 Pages: 52-89

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-21340024
  • [Journal Article] Risk-sensitive asset management2010

    • Author(s)
      H.Nagai
    • Journal Title

      Encyclopedia of Quantitative Finance, (ed.) R.Cont, John Wiley&Sons Ltd.Chichester

      Pages: 1589-1593

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-20340019
  • [Journal Article] Asymptotics of the probability minimizing a "down-side" risk2010

    • Author(s)
      H.Hata, H.Nagai, S.J.Sheu
    • Journal Title

      Annals of Applied Probability vol.20

      Pages: 52-89

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-20340019
  • [Journal Article] Asymptotics of the probability minimizing a "down-side" risk2010

    • Author(s)
      H.Hata, H.Nagai, S.J.Sheu
    • Journal Title

      Annals of Applied Probability 20

      Pages: 52-89

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-21340024
  • [Journal Article] Asymptotics of the probability minimizing a "down-side" risk2010

    • Author(s)
      H.Hate, H.Nagai, S.J.Sheu
    • Journal Title

      Ann.Appl.Probab. 20

      Pages: 52-89

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-18204009
  • [Journal Article] Risk-sensitive asset management, Encyclopedia of Quantitative Finance2010

    • Author(s)
      H. Nagai
    • Journal Title

      Chichester

      Pages: 1589-15931

    • DOI

      10.1002/9780470061602.eqf14018

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-20340019
  • [Journal Article] Asymptotics of the probability minimizing a "down-side"risk2010

    • Author(s)
      H.Hata, H.Nagai, S.-J.Shue
    • Journal Title

      Ann.Appl.Probab.

      Volume: 20 Pages: 109-114

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-20340026
  • [Journal Article] Asymptotics of the probability minimizing a "down-side" risk under partial information2010

    • Author(s)
      H.Nagai
    • Journal Title

      Quantitative Finance (In press)

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-21340024
  • [Journal Article] Risk-sensitive asset management2010

    • Author(s)
      H.Nagai
    • Journal Title

      Encyclopedia of Quantitative Finance (In press)

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-21340024
  • [Journal Article] Asymptotics of the probability minimizing a down-side risk2010

    • Author(s)
      H. Hata, H. Nagai, S.-J. Sheu
    • Journal Title

      Ann. Appl. Probab

      Volume: 20巻 Pages: 52-89

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-20340026
  • [Journal Article] Risk-sensitive asset management2010

    • Author(s)
      Hideo Nagai
    • Journal Title

      Encyclopedia of Quantitative Finance, Cont, R.(ed.).John Wiley & Sons Ltd.Chichester, UK

      Pages: 1589-1593

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-21340024
  • [Journal Article] Asymptotics of the probability minimizing a "down-side" risk2010

    • Author(s)
      H.Hata, H.Nagai, S.J.Sheu
    • Journal Title

      Annals of Applied probability

      Volume: 20 Pages: 52-89

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-20340019
  • [Journal Article] Asymptotics of the probabHity minimizing a "down-side" risk2010

    • Author(s)
      H.Hata, H.Nagai, S.J.Sheu
    • Journal Title

      Annals of Applied Probability 20

      Pages: 52-89

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-20340019
  • [Journal Article] Asymptotics of the probability minimizing a "down-side" risk2010

    • Author(s)
      H. Hata, H. Nagai and S.J. Sheu
    • Journal Title

      Annals of Applied Probability

      Volume: vol.20 Issue: 1 Pages: 52-89

    • DOI

      10.1214/09-aap618

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-20340019
  • [Journal Article] Asymptotics of the probability minimizing a "down-side" risk under partial information2010

    • Author(s)
      H.Nagai
    • Journal Title

      Quantitative Finance (In press)

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-20340019
  • [Journal Article] PDE approach to utility maximization for market models with hidden Markov factors2009

    • Author(s)
      H. Nagai, et al.
    • Journal Title

      Progress in Probability

      Pages: 493-506

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-18340029
  • [Journal Article] PDE approach to utility maximization for market models with hidden Markov factors2008

    • Author(s)
      H. Nagai, W. J. Runggaldier
    • Journal Title

      “Progress in Probability" Seminar on stochastic analysis

      Pages: 493-506

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-18204009
  • [Journal Article] PDE approach to utility maximization for market models with hidden Markov Factors2008

    • Author(s)
      H., Nagai, W.J., Runggaldier
    • Journal Title

      Progress in Probability" Seminar on stochastic analysis, random fields and applications, edited by Dalang, R.C., et. al. Birkhauser

      Pages: 493-506

    • Description
      「研究成果報告書概要(欧文)」より
    • Data Source
      KAKENHI-PROJECT-16340025
  • [Journal Article] Runggaldier : PDE approach to utility maximization for market models with hidden Markov factors,"Progress in Probability" Seminar on stochastic analysis2008

    • Author(s)
      H. Nagai and W.J.
    • Journal Title

      random fields and applications, edited by Dalang, R.C. et al. Birkhauser

      Pages: 493-506

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-18340029
  • [Journal Article] PDE approach to utility maximization for market models with hidden Markov factors2008

    • Author(s)
      Hideo NAGAI,.
    • Journal Title

      ゛Progress in Probability゛ Seminar on stochastic analysis, random fields and applicatiops, ed, Dalang, R.

      Pages: 493-506

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-16340025
  • [Journal Article] PDE approach to utility maximization for market models with hidden Markov factors2008

    • Author(s)
      H. Nagai,.
    • Journal Title

      "Progress in Probability" Seminar on stochastic analysis, random fields and applications,

      Pages: 493-506

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-18340029
  • [Journal Article] PDE approach to utility maximization for market models with hidden Markov factors2008

    • Author(s)
      H. Nagai and W.J. Runggaldier:
    • Journal Title

      Progress in Probability

      Volume: vol.59 Pages: 493-506

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-20340019
  • [Journal Article] PDE approach to utility maximization for market models with hidden Markov factors2008

    • Author(s)
      H.Nagai, W.J.Runggaldier
    • Journal Title

      random fields and applications, edited by Dalang, R.C., et. al.

      Pages: 493-506

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-18204009
  • [Journal Article] PDE approach to utility maximization for market models with hidden Markov Factors2008

    • Author(s)
      Hideo NAGAI, et. al.
    • Journal Title

      "Progress in Probability" Seminar on stochastic analysis, random fields and applications, ed. Dalang, R., et. al.

      Pages: 493-506

    • Description
      「研究成果報告書概要(和文)」より
    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-16340025
  • [Journal Article] PDE approach to utility maximization for market models with hidden Markov factors2008

    • Author(s)
      Hideo NAGAI
    • Journal Title

      “Progress in Probability" Seminar on stochastic analysis, random fields and applications

      Pages: 493-506

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-20340019
  • [Journal Article] PDE approach to utility maximization for market models with hidden Markov factors2008

    • Author(s)
      H. Nagai, W. J. Runggaldier
    • Journal Title

      Seminar on Stochastic Analysis, Random Fields and Applications V

      Volume: 59巻 Pages: 493-506

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-20340026
  • [Journal Article] A remark on Impulse control problems with risk-sensitive criteria,2007

    • Author(s)
      H. Nagai
    • Journal Title

      Stochastic Processes and Applications to Mathematical Finance

      Pages: 219-232

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-18340029
  • [Journal Article] A remark on Impulse control problems with risk-sensitive criteria2007

    • Author(s)
      H., Nagai
    • Journal Title

      Eds. J. Akahori, S. Ogawa and S. Watanabe, "Stochastic Processes and Applications to Mathematical Finance" World Scientific

      Pages: 219-232

    • Description
      「研究成果報告書概要(欧文)」より
    • Data Source
      KAKENHI-PROJECT-16340025
  • [Journal Article] A remark on lmpulse cpntrol problems with risk-sensitive criteria2007

    • Author(s)
      H.Nagai
    • Journal Title

      "'Stochastic Processes and Applications to Mathematlcal Finance", Eds.J.Akahori, S.Ogawa and S.Watanabe, World Scientific

      Pages: 219-232

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-18204009
  • [Journal Article] Stopping problems of certain multiplicative functionals and optimal investment with transaction costs2007

    • Author(s)
      H. Nagai
    • Journal Title

      Applied Mathematics and Optimization 55

      Pages: 359-384

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-18340029
  • [Journal Article] Stopping problems of certain multiplicative functionals and optimal investment with transaction costs2007

    • Author(s)
      Nagai H.
    • Journal Title

      Applied Mathematics and Optimization

    • Description
      「研究成果報告書概要(欧文)」より
    • Data Source
      KAKENHI-PROJECT-16330060
  • [Journal Article] Stopping problems of certain multiplicativ functionals and optimalinvestment with transaction costs2007

    • Author(s)
      Hideo NAGAI
    • Journal Title

      Applied Mathematics and Optimization 55

      Pages: 359-384

    • Description
      「研究成果報告書概要(和文)」より
    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-16340025
  • [Journal Article] Stopping problems of certain multiplicative functionals and optimal investment with transaction costs2007

    • Author(s)
      H.Nagai
    • Journal Title

      Appl.Math.Optim. 55

      Pages: 359-384

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-18204009
  • [Journal Article] Stopping problems of certain multiplicative functionals and optimal investment with transaction costs2007

    • Author(s)
      H.Nagai
    • Journal Title

      Applied Mathematics and Optimization (in press)

    • Data Source
      KAKENHI-PROJECT-18340029
  • [Journal Article] PDE approach to utility maximization for market models with hidden Markov factors2007

    • Author(s)
      Nagai H., W.J.Runggaldier
    • Journal Title

      Progress in Probability, Birkhauser (近刊) (to appear in 2007)(確定)

    • Data Source
      KAKENHI-PROJECT-16330060
  • [Journal Article] A remark on Impulse control problems with risk-sensitive criteria2007

    • Author(s)
      Hideo NAGAI
    • Journal Title

      "Stochastic Processes and Applications to Mathematical Finance", Eds. J. Akahori, et. al., World Scientific

      Pages: 219-232

    • Description
      「研究成果報告書概要(和文)」より
    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-16340025
  • [Journal Article] Stopping problems of certain multiplicative functionals and optimal investment with transaction costs2007

    • Author(s)
      Hideo NAGAI
    • Journal Title

      Applied Mathematics and Optimization (in press)

    • Data Source
      KAKENHI-PROJECT-16340025
  • [Journal Article] Stopping problems of certain multiplicative functionals and optimalinvestment with transaction costs2007

    • Author(s)
      H. Nagai
    • Journal Title

      Applied Math. and Optim. 55

      Pages: 359-384

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-18204009
  • [Journal Article] Stopping problems of certain multiplicative functionals and optimal investment with transaction costs2007

    • Author(s)
      Nagai H. (2007)
    • Journal Title

      Applied Mathematics and Optimization (近刊) (to appear in 2007)(確定)

    • Data Source
      KAKENHI-PROJECT-16330060
  • [Journal Article] A remark on impulse control problems with risk-sensitive criteria2007

    • Author(s)
      Hideo NAGAI
    • Journal Title

      Proceedings of Ritsumeikan Conference on Stochastic proce sses and applications to mathematical finance (in press)

    • Data Source
      KAKENHI-PROJECT-16340025
  • [Journal Article] A remark on Impulse control problems with risk-sensitive criteria2007

    • Author(s)
      H. Nagai
    • Journal Title

      Stochastic Processes and Applications to Mathematical Finance(Eds. J. Akahori, S. Ogawa and S. Watanabe, World Scientific)

      Pages: 219-232

    • Data Source
      KAKENHI-PROJECT-18340029
  • [Journal Article] Stopping problems of certain multiplicative functionals and optimal investment with transaction costs2007

    • Author(s)
      H., Nagai
    • Journal Title

      Applied Mathematics and Optimization 55

      Pages: 359-384

    • Description
      「研究成果報告書概要(欧文)」より
    • Data Source
      KAKENHI-PROJECT-16340025
  • [Journal Article] A remark on Impulse cpntrol problems with risk-sensitive criteria2007

    • Author(s)
      Hideo NAGAI
    • Journal Title

      "Stochastic Processes and Applications to Mathematical Finance", Eds. J. Akahori,., World Scientific

      Pages: 219-232

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-16340025
  • [Journal Article] PDE approach to utility maximization for market models with hidden Markov factors2007

    • Author(s)
      H.Nagai, et al.
    • Journal Title

      "Progress in Probability", Birkhauser (In press)

    • Data Source
      KAKENHI-PROJECT-16340025
  • [Journal Article] Risk-sensitive quasi-variational inequalities for optimal investment with general transaction costs2006

    • Author(s)
      Hideo NAGAI
    • Journal Title

      Asymptotic Analysis 48

      Pages: 243-265

    • Description
      「研究成果報告書概要(和文)」より
    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-16340025
  • [Journal Article] Risk-sensitive quasi-variational inequalities for optimal investment with general transaction costs2006

    • Author(s)
      H., Nagai
    • Journal Title

      Asymptotic Analysis vol.48

      Pages: 243-265

    • Description
      「研究成果報告書概要(欧文)」より
    • Data Source
      KAKENHI-PROJECT-16340025
  • [Journal Article] PDE approach to utility maximization with partial information2006

    • Author(s)
      H.Nagai, et al.
    • Journal Title

      数理解析研究所講究録 1462

      Pages: 116-130

    • Data Source
      KAKENHI-PROJECT-18340029
  • [Journal Article] PDE approach to utility maximization with partial information2006

    • Author(s)
      H.Nagai, et al.
    • Journal Title

      数理解析研究所講究録 1462

      Pages: 116-130

    • Data Source
      KAKENHI-PROJECT-16654022
  • [Journal Article] PDE approach to utility maximization with partial information2006

    • Author(s)
      H.Nagai, et al.
    • Journal Title

      数理解析研究所講究録 1462

      Pages: 116-130

    • Data Source
      KAKENHI-PROJECT-16340025
  • [Journal Article] Risk-sensitive quasi-variational inequalities for optimal investment with general transaction costs2006

    • Author(s)
      H.Nagai
    • Journal Title

      Asymptotic Analysis Vol.48

      Pages: 243-265

    • Data Source
      KAKENHI-PROJECT-18340029
  • [Journal Article] Risk-sensitive quasi-variational inequalities for optimal investment with general transaction costs2006

    • Author(s)
      H.Nagai
    • Journal Title

      Asymptot.Anal. 48

      Pages: 243-265

    • Data Source
      KAKENHI-PROJECT-18204009
  • [Journal Article] Risk-sensitive quasi-variational inequalities for optimal investment with general transaction costs2006

    • Author(s)
      Nagai H
    • Journal Title

      Asymptotic Analysis vol.48

      Pages: 243-265

    • Description
      「研究成果報告書概要(欧文)」より
    • Data Source
      KAKENHI-PROJECT-16330060
  • [Journal Article] Risk-sensitive quasi-variational inequalities for optimal investment with general transaction costs2006

    • Author(s)
      Nagai H. (2006)
    • Journal Title

      Asymptotic Analysis vol.48

      Pages: 243-265

    • Data Source
      KAKENHI-PROJECT-16330060
  • [Journal Article] PDE approach to utility maximization with partial information2006

    • Author(s)
      H.Nagai, W.J.Runggaldier
    • Journal Title

      確率数値解析における諸問題VII 1462

      Pages: 116-130

    • Data Source
      KAKENHI-PROJECT-16330060
  • [Journal Article] Risk-sensitive quasi-variational inequalities for optimal investment with general transaction costs2006

    • Author(s)
      Nagai H.
    • Journal Title

      Asymptotic Analysis vol. 48

      Pages: 243-265

    • Description
      「研究成果報告書概要(和文)」より
    • Data Source
      KAKENHI-PROJECT-16330060
  • [Journal Article] Risk-sensitive quasi-variational inequalities for optimal investment with general transaction costs2006

    • Author(s)
      H. Nagai
    • Journal Title

      Asymptotic Analysis vol.48

      Pages: 243-265

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-18340029
  • [Journal Article] PDE approach to utility maximization with partial information2006

    • Author(s)
      H. Nagai and W.J. Runggaldier
    • Journal Title

      Suuriken Koukyuuroku 1462

      Pages: 116-130

    • Data Source
      KAKENHI-PROJECT-18340029
  • [Journal Article] Risk-sensitive quasi-variational inequalities for optimal investment with general transaction costs2006

    • Author(s)
      H.Nagai
    • Journal Title

      Asymptotic Analysis 48・3

      Pages: 243-268

    • Data Source
      KAKENHI-PROJECT-16340032
  • [Journal Article] Risk-sensitive portfolio optimization with full and partial information2004

    • Author(s)
      Hideo NAGAI
    • Journal Title

      Advanced Studies in Pure Mathematics 41

      Pages: 257-278

    • Data Source
      KAKENHI-PROJECT-16654022
  • [Journal Article] Risk-sensitive portfolio optimization with full and partial information2004

    • Author(s)
      H.Nagai
    • Journal Title

      Stochastic analysis and related topics in Kyoto; Adv. Stud. Pure Math. 41

      Pages: 257-278

    • Description
      「研究成果報告書概要(和文)」より
    • Data Source
      KAKENHI-PROJECT-15340051
  • [Journal Article] Risky fraction processes and Problems with Transaction Costs2004

    • Author(s)
      H.Nagai
    • Journal Title

      Stochastic Processes and Applications to Mathematical Finance

      Pages: 271-288

    • Data Source
      KAKENHI-PROJECT-16330060
  • [Journal Article] Risk-sensitive portfolio optimization with full and partial information2004

    • Author(s)
      Hideo NAGAI
    • Journal Title

      Advanced Studies in Pure Mathematics 41

      Pages: 257-278

    • Data Source
      KAKENHI-PROJECT-16340025
  • [Journal Article] Risk-sensitive portfolio optimization with full and partial information. Stochastic analysis and related topics in Kyoto2004

    • Author(s)
      H.Nagai
    • Journal Title

      Adv.Stud.Pure Math.,(Math.Soc.Japan, Tokyo,) 41

      Pages: 257-278

    • Description
      「研究成果報告書概要(欧文)」より
    • Data Source
      KAKENHI-PROJECT-15340051
  • [Journal Article] Risk-sensitive portfolio optimization with full and partial information2004

    • Author(s)
      H.Nagai
    • Journal Title

      Stochastic Analysis and Related Topics, Advanced Studies in Pure Mathematics 4

      Pages: 257-278

    • Data Source
      KAKENHI-PROJECT-16330060
  • [Journal Article] Risky fraction processes and Problems with Transaction Costs2004

    • Author(s)
      Hideo NAGAI
    • Journal Title

      Stochastic Processes and Applications to Mathematical Finance

      Pages: 271-288

    • Data Source
      KAKENHI-PROJECT-16340025
  • [Journal Article] Risky fraction processes and problems with transaction costs2004

    • Author(s)
      H.Nagai
    • Journal Title

      Stochastic processes and applications to mathematical finance; World Sci. Publ.

      Pages: 271-288

    • Description
      「研究成果報告書概要(和文)」より
    • Data Source
      KAKENHI-PROJECT-15340051
  • [Journal Article] Risk-sensitive portfolio optimization with full and partial information, "Stochastic Analysis and Related Topics2004

    • Author(s)
      H., Nagai
    • Journal Title

      Advanced Studies in Pure Mathematics 41

      Pages: 257-278

    • Description
      「研究成果報告書概要(欧文)」より
    • Data Source
      KAKENHI-PROJECT-16340025
  • [Journal Article] Risky fraction processes and Problems with Transaction Costs2004

    • Author(s)
      Hideo NAGAI
    • Journal Title

      "Stochastic Processes and Application to Mathematical Finance", World Scientific

      Pages: 271-288

    • Data Source
      KAKENHI-PROJECT-16654022
  • [Journal Article] Risk-sensitive portfolio optimization with full and partial information, "Stochastic Analysis and Related Topics"2004

    • Author(s)
      H. Nagai
    • Journal Title

      Advanced Studies in Pure Mathematics 41

      Pages: 257-278

    • Description
      「研究成果報告書概要(和文)」より
    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-16340025
  • [Journal Article] Risky fraction processes and Problems with Transaction Costs2004

    • Author(s)
      H., Nagai
    • Journal Title

      "Stochastic Processes and Applications to

      Pages: 271-288

    • Description
      「研究成果報告書概要(欧文)」より
    • Data Source
      KAKENHI-PROJECT-16340025
  • [Journal Article] Risky fraction processes and problems with transaction costs.2004

    • Author(s)
      H.Nagai
    • Journal Title

      Stochastic processes and applications to mathematical finance(World Sci. Publ., River Edge, NJ,)

      Pages: 271-288

    • Description
      「研究成果報告書概要(欧文)」より
    • Data Source
      KAKENHI-PROJECT-15340051
  • [Journal Article] Risky fraction processes and Problems with Transaction Costs2004

    • Author(s)
      H. Nagai
    • Journal Title

      "Stochastic Processes and Applications to Mathematical Finance", Eds. J. Akahori, S. Ogawa and S. Watanabe, World Scientific

      Pages: 271-288

    • Description
      「研究成果報告書概要(和文)」より
    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-16340025
  • [Journal Article] Risk-sensitive portfolio optimization with full and partial information2004

    • Author(s)
      H.Nagai
    • Journal Title

      Stochastic Analysis and Related Topics, Advanced Studies in Pure Mathematics 41

      Pages: 257-278

    • Data Source
      KAKENHI-PROJECT-15340051
  • [Journal Article] Optimal strategies for risk-sensitive portfolio optimization problems for general factor models.2003

    • Author(s)
      H.Nagai
    • Journal Title

      SIAM J.Control Optim. 41, no.6

      Pages: 1779-1800

    • Description
      「研究成果報告書概要(欧文)」より
    • Data Source
      KAKENHI-PROJECT-15340051
  • [Journal Article] Optimal strategies for risk-sensitive portfolio optimization problems for general factor models2003

    • Author(s)
      H.Nagai
    • Journal Title

      SIAM J. Control Optim. 41

      Pages: 1779-1800

    • Description
      「研究成果報告書概要(和文)」より
    • Data Source
      KAKENHI-PROJECT-15340051
  • [Journal Article] PDE approach to utility maximization for market models with hidden Markov factors

    • Author(s)
      Nagai H., W.J.Runggaldier
    • Journal Title

      Progress in Probability, Birkhauser (近刊)(to appear in 2007)

    • Description
      「研究成果報告書概要(和文)」より
    • Data Source
      KAKENHI-PROJECT-16330060
  • [Journal Article] Risk-sensitive quasi-variational inequalities for optimal investment with general transaction costs

    • Author(s)
      H.Nagai
    • Journal Title

      Asymptotic Analysis (In press)

    • Data Source
      KAKENHI-PROJECT-16340025
  • [Journal Article] Stopping problems of certain multiplicative functionals and optimal investment with transaction costs

    • Author(s)
      Nagai H.(2007)
    • Journal Title

      Applied Mathematics and Optimization (近刊)(to appear in 2007)

    • Description
      「研究成果報告書概要(和文)」より
    • Data Source
      KAKENHI-PROJECT-16330060
  • [Journal Article] Asymptotics of the probability minimizing a "down-side" risk under partial information

    • Author(s)
      H.Nagai
    • Journal Title

      Quantitative Finance 掲載予定

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-20340019
  • [Presentation] Large deviation control under model uncertainty2019

    • Author(s)
      Hideo Nagai
    • Organizer
      SIAM Conference on Control and Applications
    • Invited / Int'l Joint Research
    • Data Source
      KAKENHI-PROJECT-16K05284
  • [Presentation] Structure of HJB equations ruling over large deviation control2019

    • Author(s)
      HIdeo Nagai
    • Organizer
      Probability, Uncertainty and Quantitative Risk
    • Invited / Int'l Joint Research
    • Data Source
      KAKENHI-PROJECT-16K05284
  • [Presentation] Large deviation control and an optimal investment model2018

    • Author(s)
      Hideo NAGAI
    • Organizer
      IMA workshop on stochastic control, computational methods and applications
    • Invited / Int'l Joint Research
    • Data Source
      KAKENHI-PROJECT-16K05284
  • [Presentation] Ergodic Control, Risk-sensitive Control and Large deviation Control2018

    • Author(s)
      Hideo NAGAI
    • Organizer
      Workshop on Stochastic in Honor of Professor Shuenn-jyi Sheu
    • Invited / Int'l Joint Research
    • Data Source
      KAKENHI-PROJECT-16K05284
  • [Presentation] Large deviation control and the effective domains of the rate functions2018

    • Author(s)
      Hideo NAGAI
    • Organizer
      International Conference on Mathematical Finance and Symposium on the Role of Mathematical Finance on Fin. Tech Business
    • Invited / Int'l Joint Research
    • Data Source
      KAKENHI-PROJECT-16K05284
  • [Presentation] Downside risk minimization against a benchmark2017

    • Author(s)
      Nagai, Hideo
    • Organizer
      5-th Asian Quantitative Finance Conference at Seoul, Korea
    • Invited / Int'l Joint Research
    • Data Source
      KAKENHI-PROJECT-16K05284
  • [Presentation] Large deviation control under model uncertainty2017

    • Author(s)
      長井 英生
    • Organizer
      2017年日本数学会年会
    • Place of Presentation
      首都大学東京(東京都八王子市)
    • Year and Date
      2017-03-24
    • Data Source
      KAKENHI-PROJECT-16K05284
  • [Presentation] Large deviation control arising from downside risk minimization against a benchmark,2017

    • Author(s)
      Nagai, Hideo
    • Organizer
      Stochastic Analysis and its Applications, at Bedlewo, Poland
    • Invited / Int'l Joint Research
    • Data Source
      KAKENHI-PROJECT-16K05284
  • [Presentation] Large deviation control for quadratic semi-martingale functional2017

    • Author(s)
      長井 英生
    • Organizer
      2017年日本数学会年会
    • Place of Presentation
      首都大学東京(東京都八王子市)
    • Year and Date
      2017-03-24
    • Data Source
      KAKENHI-PROJECT-16K05284
  • [Presentation] Large deviation control arising from risk minimization2016

    • Author(s)
      HIdeo Nagai
    • Organizer
      Workshop on Stochastic Analysis and Financial Mathematics
    • Place of Presentation
      Shandong University of Science and Technology、Qingdao(China)
    • Year and Date
      2016-08-30
    • Invited / Int'l Joint Research
    • Data Source
      KAKENHI-PROJECT-16K05284
  • [Presentation] Uniqueness theorems for H-J-B equations of optimal consumption-investment and verification theorems2014

    • Author(s)
      H. Nagai
    • Organizer
      International Workshop on PDEs and realted topics in nonlinear problems
    • Place of Presentation
      Hiroshima University, Higashihiroshima
    • Invited
    • Data Source
      KAKENHI-PROJECT-25400150
  • [Presentation] Uniqueness theorems for H-J-B equations of optimal consumption-investment and verification theorems2014

    • Author(s)
      H. Nagai
    • Organizer
      International workshop on PDEs and related topics in nonlinear problems
    • Place of Presentation
      広島大学
    • Invited
    • Data Source
      KAKENHI-PROJECT-23244015
  • [Presentation] Some remarks on large deviation estimates for controlled semi-martingales2013

    • Author(s)
      H. Nagai
    • Organizer
      2012 NCTS Workshop on Stochastic processes and Applications, NCTS
    • Place of Presentation
      Taiwan
    • Data Source
      KAKENHI-PROJECT-20340019
  • [Presentation] Robust estimates of certain large deviation probabilities for controlled semi-martingales2013

    • Author(s)
      H. Nagai
    • Organizer
      Workshop on Stochastic Processes and Applications
    • Place of Presentation
      NCTS, National Tsing Hua University, Taiwan
    • Invited
    • Data Source
      KAKENHI-PROJECT-20340019
  • [Presentation] Robustness on large deviation estimates for controlled semi-martingales2013

    • Author(s)
      H. Nagai
    • Organizer
      Stochastic processes and their statistics in finance
    • Place of Presentation
      沖縄,那覇
    • Invited
    • Data Source
      KAKENHI-PROJECT-23244015
  • [Presentation] H-J-B equationsof optimal consumption and investment2013

    • Author(s)
      H. Nagai
    • Organizer
      The second conference on engineering and computational mathematics, Workshop 1 Computational and mathemtical finance
    • Place of Presentation
      Hong Kong Polytech University, Hong Kong
    • Invited
    • Data Source
      KAKENHI-PROJECT-25400150
  • [Presentation] Robustness on large deviation estimates for controlled semi-martingales2013

    • Author(s)
      H. Nagai
    • Organizer
      Stochastic Processes and their statistics in finance
    • Place of Presentation
      沖縄県青年会館 那覇 沖縄 日本
    • Invited
    • Data Source
      KAKENHI-PROJECT-25400150
  • [Presentation] H-J-B equations of optimal consumption-investment and verification theorems2013

    • Author(s)
      H. Nagai
    • Organizer
      The second conference on engineering and computational mathematics, Workshop 1 Computational and mathematical finance
    • Place of Presentation
      Hong Kong Polytech University, 香港
    • Invited
    • Data Source
      KAKENHI-PROJECT-23244015
  • [Presentation] Large deviation control arising from optimal investment2013

    • Author(s)
      H. Nagai
    • Organizer
      Stochastic Analysis and Control
    • Place of Presentation
      Bedlewo, Poland
    • Invited
    • Data Source
      KAKENHI-PROJECT-25400150
  • [Presentation] Robust estimates of certain large deviation probabilities for controlled semi-martingales2013

    • Author(s)
      H. Nagai
    • Organizer
      Workshop on Stochastic Processes and Applications
    • Place of Presentation
      NCTS, National Tsing Hua University, 台湾
    • Invited
    • Data Source
      KAKENHI-PROJECT-23244015
  • [Presentation] Large deviation control arising from optimal investment2013

    • Author(s)
      H. Nagai
    • Organizer
      Stochastic Analysis and Control: 50 years of scientific activities of Professor Jerzy Zabczyk
    • Place of Presentation
      Bedlewo, Posnan,ポーランド
    • Invited
    • Data Source
      KAKENHI-PROJECT-23244015
  • [Presentation] Some remarks on large deviation estimates for controlled semi-martingales2012

    • Author(s)
      Hideo Nagai
    • Organizer
      2012 NCTS Workshop on Stochastic processes and Applications
    • Place of Presentation
      新竹市(台湾)(招待講演)
    • Year and Date
      2012-03-09
    • Data Source
      KAKENHI-PROJECT-23244015
  • [Presentation] Some Remarks on Large Deviation Estimates for Controlled Semi-Martingales2012

    • Author(s)
      長井英生
    • Organizer
      23012 NTCS Workshop on Stochastic Processes and Applications
    • Place of Presentation
      Taipei, Taiwan(招待講演)
    • Year and Date
      2012-03-09
    • Data Source
      KAKENHI-PROJECT-21340024
  • [Presentation] Large deviation estimates for controlled semi-martingales2012

    • Author(s)
      H. Nagai
    • Organizer
      2012 Ajou workshop on financial economics and mathematics
    • Place of Presentation
      Suwon, 韓国
    • Invited
    • Data Source
      KAKENHI-PROJECT-23244015
  • [Presentation] Estimates of certain large deviation probabilities for controlled semi-martingales2012

    • Author(s)
      H. Nagai
    • Organizer
      Perspective in Analysis and Probability, Conference in honor of Freddy Delbaen
    • Place of Presentation
      ETH Zurich, スイス
    • Invited
    • Data Source
      KAKENHI-PROJECT-23244015
  • [Presentation] Estimates of certain large deviation probabilities for controlled semi-martingales2012

    • Author(s)
      H. Nagai
    • Organizer
      Perspective in Analysis and Probability
    • Place of Presentation
      ETH Zurich, Switzerland
    • Invited
    • Data Source
      KAKENHI-PROJECT-20340019
  • [Presentation] Large deviation estimates for controlled semi-martingales2012

    • Author(s)
      H. Nagai
    • Organizer
      2012 Ajou workshop on financial economics and mathematics
    • Place of Presentation
      Suwon, Korea
    • Data Source
      KAKENHI-PROJECT-20340019
  • [Presentation] Some remarks on large deviation estimates for controlled semi-martingales2012

    • Author(s)
      H. Nagai
    • Organizer
      2012 NCTS Workshop on Stochastic processes and Applications
    • Place of Presentation
      NCTS, Taiwan
    • Invited
    • Data Source
      KAKENHI-PROJECT-20340019
  • [Presentation] Estimates of certain large deviation probabilities for controlled semi-martingales2012

    • Author(s)
      H. Nagai
    • Organizer
      Perspective in Analysis and Probability, Conference in honor of Freddy Delbaen
    • Place of Presentation
      ETH Zurich, Switzerland
    • Data Source
      KAKENHI-PROJECT-20340019
  • [Presentation] 制御項を含む大偏差確率の評価とエルゴード型H-J-B方程式2011

    • Author(s)
      長井英生
    • Organizer
      日本数学会統計数学分科会
    • Place of Presentation
      早稲田大学(特別招待講演)
    • Year and Date
      2011-03-20
    • Data Source
      KAKENHI-PROJECT-20340019
  • [Presentation] 制御項を含む大偏差確率の評価とエルゴード型H-J-B方程式2011

    • Author(s)
      長井英生
    • Organizer
      日本数学会秋季総合分科会統計数学分科会特別講演
    • Place of Presentation
      信州大学(松本)(招待講演)
    • Year and Date
      2011-09-28
    • Data Source
      KAKENHI-PROJECT-23244015
  • [Presentation] Asymptotic estimates of probability minimizing down-side risk and H-J-B equations of ergodic type2011

    • Author(s)
      H.Nagai
    • Organizer
      Probability one day workshop
    • Place of Presentation
      Academia Sinica, Taiwan(招待講演)
    • Year and Date
      2011-02-23
    • Data Source
      KAKENHI-PROJECT-20340019
  • [Presentation] Asymptotic estimates of probability minimizing down-side risk and H-J-B equations of ergodic type2011

    • Author(s)
      H. Nagai
    • Organizer
      2011 Probability One Day Workshop, Academia Sinica,NCTS
    • Place of Presentation
      National Central University, Taiwan
    • Year and Date
      2011-02-23
    • Data Source
      KAKENHI-PROJECT-20340019
  • [Presentation] 制御項を含む大偏差確率の評価とエルゴード型H-J-B 方程式2011

    • Author(s)
      長井 英生
    • Organizer
      日本数学会秋季総合分科会 統計数学分科会
    • Place of Presentation
      信州大学、松本
    • Data Source
      KAKENHI-PROJECT-20340019
  • [Presentation] Asymptotic estimates of probability minimizing down-side risk and analysis of H-J-B equations of ergodic type2011

    • Author(s)
      H.Nagai
    • Organizer
      The 2nd NTH conference on Finance and Insurance Mathematics
    • Place of Presentation
      Braunschweig, Germany
    • Invited
    • Data Source
      KAKENHI-PROJECT-20340019
  • [Presentation] Asymptotic estimates of probability minimizing down-side risk and analysis of H-J-B equations of ergodic type2011

    • Author(s)
      Hideo Nagai
    • Organizer
      The 2nd NTH conference on Finance and Insurance Mathematics
    • Place of Presentation
      ブラウンシュヴァイク(ドイツ)(招待講演)
    • Year and Date
      2011-06-30
    • Data Source
      KAKENHI-PROJECT-23244015
  • [Presentation] 制御項を含む大偏差確率の評価とエルゴード型H-J-B 方程式2011

    • Author(s)
      長井 英生
    • Organizer
      日本数学会秋季総合分科会 統計数学分科会特別講演
    • Place of Presentation
      松本 信州大学
    • Invited
    • Data Source
      KAKENHI-PROJECT-20340019
  • [Presentation] Asymptotic estimates of Probability minimizing down-side risk and analysis of H-J-B equations of ergodic type2011

    • Author(s)
      H. Nagai
    • Organizer
      The 2nd NTH conference on Finance and Insurance Mathematics
    • Place of Presentation
      Braunschweig, Germany
    • Data Source
      KAKENHI-PROJECT-20340019
  • [Presentation] Down-side risk minimization under prescribed consumption level2010

    • Author(s)
      H. Nagai
    • Organizer
      International Research Forum "What can the academic community learn from the global crisis: models, methods and transfer"
    • Place of Presentation
      Polytech University, Hong Kong
    • Data Source
      KAKENHI-PROJECT-20340019
  • [Presentation] H-J-B equations with quadratic growth Hamiltonian in stochastic control and mathematical finance2010

    • Author(s)
      Hideo Nagai
    • Organizer
      Ajou Conference on Control Theory and Financial Engineering in honor of Professor Bensoussan
    • Place of Presentation
      Ajou University, Korea(招待講演)
    • Year and Date
      2010-07-10
    • Data Source
      KAKENHI-PROJECT-21340024
  • [Presentation] H-J-B equations with quadratic growth Hamiltonian in stochastic control and mathematical finance2010

    • Author(s)
      H. Nagai
    • Organizer
      Ajou Conference on Control Theory and Financial Engineering in honor of Professor Bensoussan
    • Place of Presentation
      Ajou(Korea)
    • Data Source
      KAKENHI-PROJECT-21340024
  • [Presentation] H-J-B equations with quadratic Hamiltonian in stochastic control and mathematical finence2010

    • Author(s)
      H. Nagai
    • Organizer
      Ajou Conference on Control Therory and Financial Engineering in honor of Professor Bensoussan
    • Place of Presentation
      Ajou Univ., Korea
    • Data Source
      KAKENHI-PROJECT-20340019
  • [Presentation] H-J-B equations with quadratic Hamiltonian in stochastic control and mathematical finance2010

    • Author(s)
      H.Nagai
    • Organizer
      Ajou Conference on Control Theory and Financial Engineering in honor of Professor Bensoussan
    • Place of Presentation
      Ajou University, Korea(招待講演)
    • Year and Date
      2010-07-08
    • Data Source
      KAKENHI-PROJECT-20340019
  • [Presentation] Robust estimates of certain large deviation probabilities for controlled semi-martingales2010

    • Author(s)
      H. Nagai
    • Organizer
      Workshop on Stochastic Processes and Applications, NCTS
    • Place of Presentation
      National Tsing Hua University, Taiwan
    • Data Source
      KAKENHI-PROJECT-20340019
  • [Presentation] Down-side risk minimization under prescribed consumption level2010

    • Author(s)
      H.Nagai
    • Organizer
      International Research Forum "What can the academic community learn from the global crisis : models, methods and transfer"
    • Place of Presentation
      Polytech University, Hong Kong, China(招待講演)
    • Year and Date
      2010-12-15
    • Data Source
      KAKENHI-PROJECT-20340019
  • [Presentation] Down-side risk minimization under prescribed consumption level2010

    • Author(s)
      Hideo Nagai
    • Organizer
      International Research Forum "What can the academic community learn from the global crisis : models, methods and transfer
    • Place of Presentation
      The Hong Kong Polytechnic University, China(招待講演)
    • Year and Date
      2010-12-15
    • Data Source
      KAKENHI-PROJECT-21340024
  • [Presentation] Risk-sensitive control, large deviation control and down-side risk minimization2009

    • Author(s)
      H.Nagai
    • Organizer
      Mathematical finance and related topics in economics and engineering
    • Place of Presentation
      Kansai Seminar House
    • Year and Date
      2009-08-13
    • Data Source
      KAKENHI-PROJECT-18204009
  • [Presentation] Down-side risk minimization as large deviation control2009

    • Author(s)
      長井英生
    • Organizer
      1st PRIMA Congress
    • Place of Presentation
      Univ. New South Wales, Sydney, Australia
    • Year and Date
      2009-06-06
    • Data Source
      KAKENHI-PROJECT-21340024
  • [Presentation] Down-side risk minimization as large deviation control2009

    • Author(s)
      H.Nagai
    • Organizer
      1st PRIMA Congress" July 6, 2009 Univ. New South Wales
    • Place of Presentation
      Sydney, Australia
    • Year and Date
      2009-07-06
    • Data Source
      KAKENHI-PROJECT-20340019
  • [Presentation] エルゴート的確率制御から大偏差確率制御へ-数理ファイナンスに現われる時間大域的問題を巡って-2009

    • Author(s)
      H. Nagai
    • Organizer
      日本数学会年会 総合講演
    • Place of Presentation
      東京大学
    • Year and Date
      2009-03-27
    • Data Source
      KAKENHI-PROJECT-18340029
  • [Presentation] エルゴード的確率制御から大偏差確率制御へ"-数理ファイナンスに現われる時間大域的問題を巡って-2009

    • Author(s)
      長井 英生
    • Organizer
      日本数学会 総合講演
    • Place of Presentation
      東京大学
    • Year and Date
      2009-03-27
    • Data Source
      KAKENHI-PROJECT-20340019
  • [Presentation] Down-side risk minimization as large deviation control2009

    • Author(s)
      H. Nagai
    • Organizer
      金融工学教育国際会議
    • Place of Presentation
      Hitotsubashi Univ., Tokyo, Japan
    • Year and Date
      2009-01-06
    • Data Source
      KAKENHI-PROJECT-18340029
  • [Presentation] Risk-sensitive control, large deviation control and down-side risk minimization2009

    • Author(s)
      長井英生
    • Organizer
      Mathmetical finance and related topics related to econmics and engineering
    • Place of Presentation
      Kansai Seminar House, Kyoto
    • Year and Date
      2009-08-13
    • Data Source
      KAKENHI-PROJECT-21340024
  • [Presentation] Asymptotics of the probability minimizing down-side risk and risk-sensitive control2009

    • Author(s)
      H.Nagai
    • Organizer
      WCUプロジェクトセミナー
    • Place of Presentation
      Ajou Univ.
    • Year and Date
      2009-11-05
    • Data Source
      KAKENHI-PROJECT-18204009
  • [Presentation] “エルゴート的確率制御から大偏差確率制御へ"-数理ファイナンスに現われる時間大域的問題を巡って-2009

    • Author(s)
      長井 英生
    • Organizer
      日本数学会 総合講演
    • Place of Presentation
      東京大学
    • Year and Date
      2009-03-27
    • Data Source
      KAKENHI-PROJECT-20340019
  • [Presentation] Down-side risk minimization as large deviation control2009

    • Author(s)
      H. Nagai
    • Organizer
      金融工学教育国際会議
    • Place of Presentation
      一橋大学
    • Year and Date
      2009-01-06
    • Data Source
      KAKENHI-PROJECT-18204009
  • [Presentation] エルゴード的確率制御から大偏差確率制御へ2009

    • Author(s)
      H. Nagai
    • Organizer
      -数理ファイナンスに現われる時間大域的問題を巡って-日本数学会年会,総合講演
    • Place of Presentation
      東京大学
    • Year and Date
      2009-03-27
    • Data Source
      KAKENHI-PROJECT-18340029
  • [Presentation] エルゴート的確率制御から大偏差確率制御へ-数理ファイナンスに現われる時間大域的問題を巡って-2009

    • Author(s)
      H. Nagai
    • Organizer
      日本数学会年会(総合講演)
    • Place of Presentation
      東京大学
    • Year and Date
      2009-03-27
    • Data Source
      KAKENHI-PROJECT-18204009
  • [Presentation] Down-side risk minimization as large deviation control2009

    • Author(s)
      長井英生
    • Organizer
      1st Pacific Rim Mathematical Association(PRIMA) Congress
    • Place of Presentation
      University of New South Wales、シドニー、オーストラリア
    • Year and Date
      2009-07-06
    • Data Source
      KAKENHI-PROJECT-18204009
  • [Presentation] Risk-sensitive control, large deviation control and down-side risk minimization2009

    • Author(s)
      H.Nagai
    • Organizer
      Mathematical finance and related topics related to economics and engineering
    • Place of Presentation
      Kyoto seminar House, Japan
    • Year and Date
      2009-08-13
    • Data Source
      KAKENHI-PROJECT-20340019
  • [Presentation] Down-side risk minimization as large deviation control2009

    • Author(s)
      H.Nagai
    • Organizer
      1st PRIMA Congress
    • Place of Presentation
      Univ.New South Wales
    • Year and Date
      2009-07-06
    • Data Source
      KAKENHI-PROJECT-18204009
  • [Presentation] Down-side risk minimization as large deviation control2009

    • Author(s)
      H.Nagai
    • Organizer
      1st PRIMA Congress
    • Place of Presentation
      Univ. New South Wales, Sydney, Australia
    • Year and Date
      2009-07-06
    • Data Source
      KAKENHI-PROJECT-20340019
  • [Presentation] Risk-sensitive control, large deviation control and down-side risk minimization2009

    • Author(s)
      Nagai
    • Organizer
      Mathmetical finance and related topics related to economics and engineering
    • Place of Presentation
      Kansai Seminar House, Kyoto
    • Year and Date
      2009-08-13
    • Data Source
      KAKENHI-PROJECT-20340019
  • [Presentation] Poisson equations derived from certain H-J-B equations of ergodic type2008

    • Author(s)
      H. Nagai
    • Organizer
      微分方程式の粘性解とその周辺
    • Place of Presentation
      RIMS, Kyoto, Japan
    • Data Source
      KAKENHI-PROJECT-18340029
  • [Presentation] Asymptotics of the probability minimizing a downside risk andrisk-sensi tive dynamic asset allocation under partial information2008

    • Author(s)
      Hideo NAGAI
    • Organizer
      The fifth Colloquium on BSDEs and Finance, and Applications
    • Place of Presentation
      Le Mans, France
    • Year and Date
      2008-06-19
    • Data Source
      KAKENHI-PROJECT-20340019
  • [Presentation] Minimizing a down-side risk probability and risk-sensitive asset allocation under partial information2008

    • Author(s)
      Hideo, NAGAI
    • Organizer
      Ajou-KAIST-POSTECH International Conference in Finance and Mathematics
    • Place of Presentation
      Ajou University and POSTECH, Korea
    • Description
      「研究成果報告書概要(欧文)」より
    • Data Source
      KAKENHI-PROJECT-16340025
  • [Presentation] Poisson equations derived from certain H-J-B equations of ergodic type2008

    • Author(s)
      H. Nagai
    • Organizer
      Viscosity solutions of differential equations and related topics
    • Place of Presentation
      数理解析研究所
    • Year and Date
      2008-06-27
    • Data Source
      KAKENHI-PROJECT-18204009
  • [Presentation] Large deviation control arising from optimal investment2008

    • Author(s)
      H.Nagai
    • Organizer
      Conference on quantitative methods in finance
    • Place of Presentation
      Sydney, Australia
    • Year and Date
      2008-12-18
    • Data Source
      KAKENHI-PROJECT-20340019
  • [Presentation] Large deviation control arising optimalinvestment2008

    • Author(s)
      H. Nagai
    • Organizer
      Conference on quantitative methods in finance 2008
    • Place of Presentation
      Sydney, Australia
    • Data Source
      KAKENHI-PROJECT-18340029
  • [Presentation] Minimizing a down-side risk probability and risk-sensitive asset allocation under partial information2008

    • Author(s)
      H. Nagai
    • Organizer
      Ajou-KAIST-POSTECH International Conference in Finance and Mathematics
    • Place of Presentation
      Ajou University and POSTECH, Korea
    • Data Source
      KAKENHI-PROJECT-18340029
  • [Presentation] Asymptotics of the probability minimizing a downside risk and risk-sensitive dynamic asset allocation under partial information2008

    • Author(s)
      H. Nagai
    • Organizer
      The fifth Colloquium on BSDEs and Finance
    • Place of Presentation
      Le Mans, France
    • Data Source
      KAKENHI-PROJECT-18340029
  • [Presentation] Asymptotics of the probability minimizing a downside risk and risk-sensitive dynamic asset allocation under partial information2008

    • Author(s)
      H. Nagai
    • Organizer
      The fifth Colloquium on BSDEs and Finance
    • Place of Presentation
      Le Mans
    • Data Source
      KAKENHI-PROJECT-18340029
  • [Presentation] Large deviation control arising from optimal investment2008

    • Author(s)
      H.Nagai
    • Organizer
      Plenary talk at Conference on quantitative methods in finance
    • Place of Presentation
      Sydney, Australia
    • Year and Date
      2008-12-18
    • Data Source
      KAKENHI-PROJECT-20340019
  • [Presentation] Minimizing a down-side risk probability and H-J-B equations of risk-sensitive asset allocation2008

    • Author(s)
      H. Nagai
    • Organizer
      非線形偏微分方程式とその応用
    • Place of Presentation
      神戸大学海事科学研究科
    • Data Source
      KAKENHI-PROJECT-18340029
  • [Presentation] Large Deviation Control arising from Optimal Investment Problems2008

    • Author(s)
      H. Nagai
    • Organizer
      Quantitative Methods in Finance 2008
    • Place of Presentation
      Sydney
    • Data Source
      KAKENHI-PROJECT-18340029
  • [Presentation] Large deviation control arising from mathematical finance2008

    • Author(s)
      H. Nagai
    • Organizer
      談話会
    • Place of Presentation
      Kyoto Univ.
    • Year and Date
      2008-07-09
    • Data Source
      KAKENHI-PROJECT-18340029
  • [Presentation] Asymptotics of probability minimizing down-side risk and risk-sensitive dynamic assetallocation2008

    • Author(s)
      H. Nagai
    • Organizer
      数理経済学シンポジウム
    • Place of Presentation
      京大会館
    • Year and Date
      2008-11-30
    • Data Source
      KAKENHI-PROJECT-18204009
  • [Presentation] Asymptotics of probability minimizing down-side risk and risk-sensitive dynamic asset allocation2008

    • Author(s)
      H. Nagai
    • Organizer
      数理経済学シンポジウム
    • Place of Presentation
      京大会館
    • Data Source
      KAKENHI-PROJECT-18340029
  • [Presentation] Asymptotics of the probability minimizing a downside risk and risk-sensitive dynamic asset allocation under partial information2008

    • Author(s)
      H. Nagai
    • Organizer
      The fifth Colloquium on BSDEs and Finance
    • Place of Presentation
      ルマン(仏)
    • Year and Date
      2008-06-19
    • Data Source
      KAKENHI-PROJECT-18204009
  • [Presentation] Minimizing a down-side risk probability and risk-sensitive asset allocation under partial information2008

    • Author(s)
      Hideo NAGAI
    • Organizer
      Ajou-KAIST-POSTECH International Conference in Finance and Mathematics,
    • Place of Presentation
      Ajou University, Korea
    • Description
      「研究成果報告書概要(和文)」より
    • Data Source
      KAKENHI-PROJECT-16340025
  • [Presentation] Large deviation control arising from optimal investment2008

    • Author(s)
      H. Nagai
    • Organizer
      Conference on quantitative methods in finance
    • Place of Presentation
      シドニー(豪)
    • Year and Date
      2008-12-18
    • Data Source
      KAKENHI-PROJECT-18204009
  • [Presentation] Minimizing a down-side risk probability and risk-sensitive asset allocation under partial information2008

    • Author(s)
      H. Nagai
    • Organizer
      Ajou-KAIST-POSTECH Internatioinal Conference in Finance and Mathematics
    • Place of Presentation
      Ajou Univ.,POSTECH
    • Data Source
      KAKENHI-PROJECT-18204009
  • [Presentation] Large deviation control arising from optimal investment2008

    • Author(s)
      Hideo NAGAI
    • Organizer
      Plenary talk at Conference on quantitativemethods in finance
    • Place of Presentation
      Sydney, Australia
    • Year and Date
      2008-12-18
    • Data Source
      KAKENHI-PROJECT-20340019
  • [Presentation] Minimizing a down-side risk probability and H-J-B equations of risk-sensitive asset allocation2008

    • Author(s)
      H. Nagai
    • Organizer
      非線形偏微分方程式とその応用
    • Place of Presentation
      神戸大学
    • Year and Date
      2008-01-09
    • Data Source
      KAKENHI-PROJECT-18204009
  • [Presentation] Large deviation control arising from mathematical finance2008

    • Author(s)
      H. Nagai
    • Organizer
      談話会Kyoto Univ.
    • Place of Presentation
      Kyoto
    • Year and Date
      2008-07-09
    • Data Source
      KAKENHI-PROJECT-18340029
  • [Presentation] Asymptotics of the probability minimizing a downside risk and risk-sensitive dynamic asset allocation under partial information2008

    • Author(s)
      H.Nagai
    • Organizer
      The fifth Colloquium on BSDEs and Finance,and Applications
    • Place of Presentation
      Le Mans, France
    • Year and Date
      2008-06-19
    • Data Source
      KAKENHI-PROJECT-20340019
  • [Presentation] Large deviation control arising from mathematical finance2008

    • Author(s)
      H. Nagai
    • Organizer
      数学科談話会
    • Place of Presentation
      京都大学
    • Year and Date
      2008-07-09
    • Data Source
      KAKENHI-PROJECT-18204009
  • [Presentation] Asymptotics of the probability minimizing a down-side risk: Partial information case2007

    • Author(s)
      Hideo NAGAI
    • Organizer
      Conference "Stochastic Processes: theory and applications"
    • Place of Presentation
      Bressanone, Italy
    • Year and Date
      2007-07-17
    • Data Source
      KAKENHI-PROJECT-16340025
  • [Presentation] Asymptotics of the probability minimizing a down-side risk : Partial information case2007

    • Author(s)
      H. Nagai
    • Organizer
      Conference "Stochastic Processes : theory and applications"
    • Place of Presentation
      Bressanone, Italy
    • Data Source
      KAKENHI-PROJECT-18340029
  • [Presentation] Asymptotics of the probability minimizing a down-side risk: Partial information case2007

    • Author(s)
      長井 英生
    • Organizer
      Conference "Stochastic Processes: theory and applications"
    • Place of Presentation
      Bressanone, Italy
    • Year and Date
      2007-07-17
    • Data Source
      KAKENHI-PROJECT-18340029
  • [Presentation] Minimizing a down-side risk probability and H-J-B equations of risk-sensitive asset allocation2007

    • Author(s)
      Hideo NAGAI
    • Organizer
      「非線形偏微分方程式とその応用」
    • Place of Presentation
      神戸大学海事科学研究科
    • Description
      「研究成果報告書概要(和文)」より
    • Data Source
      KAKENHI-PROJECT-16340025
  • [Presentation] Minimizing a down-side risk probability and H-J-B equations of risk-sensitive asset allocation2007

    • Author(s)
      Hideo, NAGAI
    • Organizer
      1Nonlinear partial differential equations and applications)
    • Place of Presentation
      Kobe University, Japan
    • Description
      「研究成果報告書概要(欧文)」より
    • Data Source
      KAKENHI-PROJECT-16340025
  • [Presentation] Asymptotics of the probability minimizing a down-side risk : Partial information case2007

    • Author(s)
      Hideo, NAGAI
    • Organizer
      Conference "Stochastic Processes : theory and applications"
    • Place of Presentation
      Bressanone, Italy
    • Description
      「研究成果報告書概要(欧文)」より
    • Data Source
      KAKENHI-PROJECT-16340025
  • [Presentation] Asymptotics of the probability minimizing a down-side risk: Partial information case2007

    • Author(s)
      Hideo NAGAI
    • Organizer
      Conference "Stochastic Processes: theory and applications"
    • Place of Presentation
      Bressanone, Italy,
    • Description
      「研究成果報告書概要(和文)」より
    • Data Source
      KAKENHI-PROJECT-16340025
  • [Presentation] Minimizing down-side risk probability and risk-sensitive asset allocation for linear Gaussian models2007

    • Author(s)
      H. Nagai
    • Organizer
      Advances in Mathematics of Finance, Second General AMAMEF Conference and Banach Center Conference
    • Place of Presentation
      Bedlewo.Poland
    • Data Source
      KAKENHI-PROJECT-18204009
  • [Presentation] Asymptotics of the probability minimizing a down-side risk:Partial information case2007

    • Author(s)
      H. Nagai
    • Organizer
      Conference"Stochastic Processes:theory and applications"
    • Place of Presentation
      Bressanone,ltaly
    • Data Source
      KAKENHI-PROJECT-18204009
  • [Presentation] Minimizing down-side risk probability and risk-sensitive asset allocation for linear Gaussian models2007

    • Author(s)
      Hideo NAGAI
    • Organizer
      Advances in Mathematics of Finance, Second General AMAMEF Conference and Banach Center Conference
    • Place of Presentation
      Bedlewo, Poland
    • Description
      「研究成果報告書概要(和文)」より
    • Data Source
      KAKENHI-PROJECT-16340025
  • [Presentation] Minimizing a down-side risk probability and risk-sensitive asset allocation under partial information2007

    • Author(s)
      H. Nagai
    • Organizer
      Colloquium in Shangdong University
    • Place of Presentation
      Shangdong University
    • Year and Date
      2007-09-17
    • Data Source
      KAKENHI-PROJECT-18204009
  • [Presentation] "Minimizing down-side risk probability and risk-sensitive asset allocation for linear Gaussian models", Advances in Mathematics of Finance.2007

    • Author(s)
      長井 英生
    • Organizer
      Second General AMAMEF Conference and Banach Center Conference
    • Place of Presentation
      Bedlewo, Poland
    • Year and Date
      2007-05-04
    • Data Source
      KAKENHI-PROJECT-18340029
  • [Presentation] Minimizing a down-side risk probability and risk-sensitive asset allocation under partial information2007

    • Author(s)
      長井 英生
    • Organizer
      Colloquium in Shangdong University
    • Place of Presentation
      Shangdon, China
    • Year and Date
      2007-09-17
    • Data Source
      KAKENHI-PROJECT-18340029
  • [Presentation] Minimizing a down-side risk probability and risk-sensitive asset allocation under partial information2007

    • Author(s)
      H. Nagai
    • Place of Presentation
      Colloquium in Shangdong University
    • Year and Date
      2007-09-17
    • Data Source
      KAKENHI-PROJECT-18340029
  • [Presentation] Minimizing down-side risk probability and risk-sensitive asset allocation for linear Gaussian models2007

    • Author(s)
      H. Nagai
    • Organizer
      Advances in Mathematics of Finance, Second General AMAMEF Conference and Banach Center Conference
    • Place of Presentation
      Bedlewo, Poland
    • Data Source
      KAKENHI-PROJECT-18340029
  • [Presentation] Optimal investment with general transaction costs and risk-sensitive quasi-variational inequalities2006

    • Author(s)
      Hideo NAGAI
    • Organizer
      Workshop on mathematical Finance and Insurance
    • Place of Presentation
      Lijiang, Yunnan, China
    • Description
      「研究成果報告書概要(和文)」より
    • Data Source
      KAKENHI-PROJECT-16340025
  • [Presentation] Risk-sensitive quasi-variational inequalities for optimal investment with general transaction costs2006

    • Author(s)
      Hideo NAGAI
    • Organizer
      International Symposium on Stochastic Processes and Applications to Mathematical Finance
    • Place of Presentation
      立命館大学
    • Description
      「研究成果報告書概要(和文)」より
    • Data Source
      KAKENHI-PROJECT-16340025
  • [Presentation] Risk-sensitive quasi-variational inequalities for optimal investment with general transaction costs2006

    • Author(s)
      Hideo, NAGAI
    • Organizer
      International Symposium on Stochastic Processes and Applications to Mathematical Finance, Ritsumeikan University
    • Place of Presentation
      Kusatsu, Japan
    • Description
      「研究成果報告書概要(欧文)」より
    • Data Source
      KAKENHI-PROJECT-16340025
  • [Presentation] 確率制御、フィルタリングそして数理ファイナンス2006

    • Author(s)
      H. Nagai
    • Organizer
      応用数理学会サマーセミナー「確率微分方程式」
    • Place of Presentation
      北大
    • Data Source
      KAKENHI-PROJECT-18340029
  • [Presentation] Optimal investment with general transaction costs and risk-sensitive quasi-variational inequalities2006

    • Author(s)
      H. Nagai
    • Organizer
      Workshop on mathematical Finance and Insurance
    • Place of Presentation
      Lijiang, Yunnan, China
    • Data Source
      KAKENHI-PROJECT-18340029
  • [Presentation] PDE approach to utility maximization for market models with hidden Markov factors2005

    • Author(s)
      Hideo NAGAI
    • Organizer
      2005 Daiwa International Workshop on Financial Engineering
    • Place of Presentation
      Otemachi, Sankei Plaza, Tokyo, Japan.
    • Description
      「研究成果報告書概要(和文)」より
    • Data Source
      KAKENHI-PROJECT-16340025
  • [Presentation] Stopping problems and optimal investment with transaction costs2005

    • Author(s)
      Hideo NAGAI
    • Organizer
      Stochastic Processes and Applications to Mathematical Finance
    • Place of Presentation
      Ritsumeikan Univ. Kusatsu, Japan
    • Description
      「研究成果報告書概要(和文)」より
    • Data Source
      KAKENHI-PROJECT-16340025
  • [Presentation] PDE approach to utility maximization for market models with hidden Markov factors2005

    • Author(s)
      Hideo, NAGAI
    • Organizer
      2005 Daiwa International Workshop on Financial Engineering
    • Place of Presentation
      Otemachi, Sankei Plaza, Tokyo,Japan
    • Description
      「研究成果報告書概要(欧文)」より
    • Data Source
      KAKENHI-PROJECT-16340025
  • [Presentation] Risk-sensitive variational inequalities arising from optimal investment with transaction costs2005

    • Author(s)
      Hideo NAGAI
    • Organizer
      Fourth Colloquium on Backward Stochastic Differential Equations and Applications
    • Place of Presentation
      Shanghai, China
    • Description
      「研究成果報告書概要(和文)」より
    • Data Source
      KAKENHI-PROJECT-16340025
  • [Presentation] Risky Fraction Processes and Portfolio Optimization with Transaction Costs2004

    • Author(s)
      Hideo NAGAI
    • Organizer
      2004 Daiwa International Workshop on Financial Engineering
    • Place of Presentation
      Tokyo, Sankei Plaza, Japan
    • Description
      「研究成果報告書概要(和文)」より
    • Data Source
      KAKENHI-PROJECT-16340025
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