Yasuda Kazuhiro 安田和弘

… Alternative Names

YASUDA Kazuhiro 安田和弘

Less

Researcher Number	80509638
Other IDs
Affiliation (Current)	2025: 法政大学, 理工学部, 准教授
Affiliation (based on the past Project Information) *help	2021 – 2024: 法政大学, 理工学部, 准教授 2017: 法政大学, 理工学部, 准教授 2013 – 2014: 法政大学, 理工学部, 准教授 2011 – 2012: 法政大学, 理工学部, 助教
Review Section/Research Field	Principal Investigator Basic Section 12040:Applied mathematics and statistics-related / General mathematics (including Probability theory/Statistical mathematics) Except Principal Investigator General mathematics (including Probability theory/Statistical mathematics) / Foundations of mathematics/Applied mathematics
Keywords	Principal Investigator 確率制御問題 / 数理ファイナンス / 部分情報 / 数値解析 / 確率制御 / Merton問題 / 最適投資・消費問題 / ベキ型効用 / 最適消費・投資問題 / ファクターモデル … More / PIA / マートン問題 / 統計解析 / Greeks / 局所マルチンゲール / Malliavin解析 / グリークス / マリアヴァン解析 / フラクショナルブラウン運動 / フィルタリング … More Except Principal Investigator 数値解析 / シミュレーション / 確率変数 / Malliavin解析 / ジャンプ型モデル / 確率微分方程式 / 最適消費・投資問題 / 最適消費投資問題 / FBSDEアプローチ / 動的計画法 / 最適投資問題 / 確率制御 / マルチンゲール法 / HJB方程式 / 動的計画原理 / 近似 / BSDE / 密度関数 / Multi-levelモンテカルロ方法 / 無限次元解析 / 確率過程 / 確率論 / 非線形偏微分方程式 / 非線形 / 誤差評価 / リスク / ミュレーション Less

数理ファイナンスにおける不完全情報下での確率制御問題の新展開Principal Investigator
- Principal Investigator
  
  安田和弘
- Project Period (FY)
  2024 – 2027
- Research Category
  
  Grant-in-Aid for Scientific Research (C)
- Review Section
  
  Basic Section 12040:Applied mathematics and statistics-related
- Research Institution
  Hosei University
Merton問題に対する数値計算アルゴリズムの構築およびその収束に関する研究Principal Investigator
- Principal Investigator
  
  安田和弘
- Project Period (FY)
  2021 – 2024
- Research Category
  
  Grant-in-Aid for Scientific Research (C)
- Review Section
  
  Basic Section 12040:Applied mathematics and statistics-related
- Research Institution
  Hosei University
New development of optimal consumption and investment problems in stochastic control.
- Principal Investigator
  
  Hata Hiroaki
- Project Period (FY)
  2015 – 2017
- Research Category
  
  Grant-in-Aid for Young Scientists (B)
- Research Field
  
  Foundations of mathematics/Applied mathematics
- Research Institution
  Shizuoka University
Non-smooth stochastic differential equations: Applications to numerical simulations
- Principal Investigator
  
  KOHATSU HIGA Arturo
- Project Period (FY)
  2012 – 2014
- Research Category
  
  Grant-in-Aid for Scientific Research (B)
- Research Field
  
  General mathematics (including Probability theory/Statistical mathematics)
- Research Institution
  Ritsumeikan University
New developments of estimations and numerical analysis in financePrincipal Investigator
- Principal Investigator
  
  YASUDA Kazuhiro
- Project Period (FY)
  2011 – 2013
- Research Category
  
  Grant-in-Aid for Young Scientists (B)
- Research Field
  
  General mathematics (including Probability theory/Statistical mathematics)
- Research Institution
  Hosei 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

All 2023 2022 2021 2017 2014 2013 2012 2011 2010 2009 Other

All Journal Article Presentation

[Journal Article] Expected power utility maximization with delay for insurers under the 4/2 stochastic volatility model2022
- Author(s)
  Hiroaki Hata, Kazuhiro Yasuda
- Journal Title
  
  Mathematical Control and Related Fields
  
  Volume: - Issue: 1 Pages: 16-50
- DOI
  10.3934/mcrf.2022055
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-21K03355, KAKENHI-PROJECT-20K11690
[Journal Article] An optimal investment strategy for insurance companies in the presence of a linear Gaussian stochastic factor model2017
- Author(s)
  Hiroaki Hata and Kazuhiro Yasuda
- Journal Title
  
  RIMS Kôkyûroku
  
  Volume: 2030
- Data Source
  KAKENHI-PROJECT-15K17584
[Journal Article] On Effects of Estimations and Information for Expected Log- Utility Maximization Problems2014
- Author(s)
  Y. Asakura, K. Yasuda
- Journal Title
  
  Proceedings of the 45th ISCIE International Symposium on Stochastic Systems Theory and Its Applications　（electronic proceedings）
  
  Volume: なし Pages: 90-99
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-24340022
[Journal Article] Strong Consistency of Bayesian Estimator for the Ornstein-Uhlenbeck Process2013
- Author(s)
  A. Kohatsu-Higa, N. Vayatis, K. Yasuda
- Journal Title
  
  Inspired by Finance, The Musiela Festschrift
  
  Volume: - Pages: 411-438
- DOI
  10.1007/978-3-319-02069-3_19
- ISBN
  9783319020686, 9783319020693
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-23740089, KAKENHI-PROJECT-24340022
[Journal Article] An Ornstein-Uhlenbeck Type Process which Satisfies Sufficient Conditions for a Simulation-Based Filtering Procedure2013
- Author(s)
  A. Kohatsu-Higa 、K. Yasuda
- Journal Title
  
  Malliavin Calculus and Stochastic Analysis
  
  Pages: 173-194
- DOI
  10.1007/978-1-4614-5906-4_8
- ISBN
  9781461459057, 9781461459064
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-23740089, KAKENHI-PROJECT-24340022
[Journal Article] Strong consistency of the Bayesian estimator for the Ornstein-Uhlenbeck process2013
- Author(s)
  Arturo Kohatsu-Higa, Nicolas Vayatis and Kazuhiro Yasuda
- Journal Title
  
  Tb appear in the proceedings of the Metabief Conference
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-24340022
[Journal Article] Sensitivity Analysis of Expectation with respect to Stochastic Differential Equations with Long Memory through Malliavin Calculus2012
- Author(s)
  K. Yasuda
- Journal Title
  
  Transactions of the Institute of Systems, Control and Information Engineers
  
  Volume: 25(11) Pages: 328-335
- NAID
  10031159520
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-24340022
[Journal Article] Testing for Levy type jumps in Japanese stock market under the financial crisis using high-frequency data2012
- Author(s)
  Y. Barada, K. Yasuda
- Journal Title
  
  International Journal of Innovative Computing, Information and Control
  
  Volume: 8 Pages: 2215-2223
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-23740089
[Journal Article] On Weak Approximation of Stochastic Differential Equations with Discontinuous Drift Coefficient2012
- Author(s)
  A. Kohatsu-Higa, A. Lejay, K. Yasuda
- Journal Title
  
  京都大学数理解析研究所講究録
  
  Volume: 1788 Pages: 94-106
- Data Source
  KAKENHI-PROJECT-24340022
[Journal Article] Testing for Levy type jumps in Japanese stock market under the financial crisis using high-frequency data2012
- Author(s)
  Y. Barada、K. Yasuda
- Journal Title
  
  International Journal of Innovative Computing, Information and Control
  
  Volume: Vol.8 Pages: 2215-2223
- URL
  http://www.ijicic.org/contents.htm.
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-23740089
[Journal Article] On Weak Approximation of Stochastic Differential Equations with Discontinuous Drift Coefficient2012
- Author(s)
  A. Kohatsu-Higa, A. Lejay, K. Yasuda
- Journal Title
  
  京都大学数理解析研究所講究録
  
  Volume: 1788 Pages: 94-106
- Data Source
  KAKENHI-PROJECT-23740089
[Journal Article] Sensitivity Analysis of Expectation with respect to Stochastic Differential Equations with Long Memory through Malliavin Calculus2012
- Author(s)
  K. Yasuda
- Journal Title
  
  Transactions of the Institute of Systems, Control and Information Engineers
  
  Volume: Vol.25、no.11 Pages: 328-335
- NAID
  10031159520
- URL
  http://www.iscie.or.jp/j/?%E3%80%8C%E3%82%B7%E3%82%B9%E3%83%86%E3%83%A0%E5%88%B6%E5%BE%A1%E6%83%85%E5%A0%B1%E5%AD%A6%E4%BC%9A%E8%AB%96%E6%96%87%E8%AA%8C%E3%80%8D%E7%AC%AC25%E5%B7%BB#T25-11.
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-23740089
[Journal Article] Some Numerical Results of Sensitivity Analysis for Expected Values w.r.t. Linear SDE with Long Memory2012
- Author(s)
  K. Yasuda
- Journal Title
  
  Proceedings of the 43th ISCIE International Symposium on Stochastic Systems Theory and Its Applications
  
  Volume: (CD-ROM) Pages: 9-9
- NAID
  130007377386
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-23740089
[Journal Article] Some Numerical Results of Sensitivity Analysis for Expected Values w.r.t. Linear SDE with Long Memory2012
- Author(s)
  K. Yasuda
- Journal Title
  
  Proceedings of the 43th ISCIE International Symposium on Stochastic Systems Theory and Its Applications (CD・ROM)
- NAID
  130007377386
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-24340022
[Journal Article] Strong consistency of Bayesian estimator under discrete observations and unknown transition density2011
- Author(s)
  A.Kohatsu-Higa, N.Vayatis, Kazuhiro Yasuda
- Journal Title
  
  Proceedings of the Workshop on Stochastic Analysis on Stochastic Analysis with Financial Applications : Hong Kong 2009. Birkhauser 2011
  
  Pages: 145-168
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-21340024
[Journal Article] Strong consistency of Bayesian estimator under discrete observation and unknown transition density2011
- Author(s)
  A. Kohatsu-Higa、N. Vayatis、K. Yasuda
- Journal Title
  
  Progress in Probability
  
  Volume: Vol.65 Pages: 165-187
- DOI
  10.1007/978-3-0348-0097-6_10
- ISBN
  9783034800969, 9783034800976
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-23740089
[Journal Article] Volatility estimations under the finanical crisis in the Japanese market and testing for jumps2011
- Author(s)
  K. Aoki, Y. Barada, J. Tamura, K. Yasuda
- Journal Title
  
  Proceedings of the 42th ISCIE International Symposium on Stochastic Systems Theory and Its Applications
  
  Volume: 42 Pages: 112-120
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-23740089
[Journal Article] 金融危機下における日本の株式市場でのジャンプの検定2011
- Author(s)
  茨田佳明, 久保裕介, 安田和弘
- Journal Title
  
  京都大学数理解析研究所講究録
  
  Volume: 1736 Pages: 58-73
- Data Source
  KAKENHI-PROJECT-21340024
[Journal Article] Testing for jumps in Japanese stock market under the financial crisis through high-frequency data2011
- Author(s)
  Y.Barada, Y.Kubo, K.Yasuda
- Journal Title
  
  Proceedings of the 42th ISCIE International Symposium on Stochastic Systems Theory and Its Applications
  
  Pages: 102-111
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-21340024
[Journal Article] Strong consistency of Bayesian estimator under discrete observation and unknown transition density2011
- Author(s)
  A. Kohatsu-Higa, N. Vayatis, K. Yasuda
- Journal Title
  
  Progress in Probability
  
  Volume: 65 Pages: 165-187
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-23740089
[Journal Article] Strong consistency of the Bayesian estimator for the Ornstein-Uhlenbeck process2011
- Author(s)
  Arturo Kohatsu-Higa, Nicolas Vayatis, Kazuhiro Yasuda
- Journal Title
  
  To appear in the procceedings of the Metabief Conference
  
  Volume: 65 Pages: 165-187
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-21340024
[Journal Article] Testing for jumps in Japanese stock market under the financial crisis through high-frequency data2011
- Author(s)
  Y. Barada、Y. Kubo、K. Yasuda
- Journal Title
  
  Proceedings of the 42th ISCIE International Symposium on Stochastic Systems Theory and Its Applications
  
  Pages: 102-111
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-23740089
[Journal Article] 金融危機下における日本の株式市場でのジャンプの検定2011
- Author(s)
  Yoshiaki Barada, Yusuke Kubo, Kazuhiro Yasuda
- Journal Title
  
  京都大学数理解析研究所講究録
  
  Volume: (In press)
- Data Source
  KAKENHI-PROJECT-21340024
[Journal Article] Testing for Levy type jumps in Japanese stock market under the financial crisis using high-frequency data2011
- Author(s)
  Y.Barada, K.Yasuda
- Journal Title
  
  International Journal of Innovative Computing, Information and Control
  
  Volume: Vol.8,No.3(B) Pages: 2215-2223
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-21340024
[Journal Article] Volatility estimations under the financial crisis in the Japanese market and testing for jumps2011
- Author(s)
  K. Aoki、Y. Barada、J. Tamura、K. Yasuda
- Journal Title
  
  Proceedings of the 42th ISCIE International Symposium on Stochastic Systems Theory and Its Applications
  
  Pages: 112-120
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-23740089
[Journal Article] Testing for jumps in Japanese stock market under the financial crisis through high-frequency data2011
- Author(s)
  Y. Barada, Y. Kubo, K. Yasuda
- Journal Title
  
  Proceedings of the 42th ISCIE International Symposium on Stochastic Systems Theory and Its Applications
  
  Volume: 42 Pages: 102-111
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-23740089
[Journal Article] 金融危機下における日本の株式市場でのジャンプに関する検定2011
- Author(s)
  茨田佳明, 久保裕介, 安田和弘
- Journal Title
  
  京都大学数理解析研究所講究録
  
  Volume: 1736 Pages: 58-73
- Data Source
  KAKENHI-PROJECT-23740089
[Journal Article] Volatility estimations under the finanical crisis in the Japanese market and testing for jumps2011
- Author(s)
  K.Aoki, Y.Barada, J.Tamura, K.Yasuda
- Journal Title
  
  Proceedings of the 42th ISCIE International Symposium on Stochastic Systems Theory and Its Applications
  
  Pages: 112-120
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-21340024
[Journal Article] 金融工学におけるMalliavin解析を用いた感度計算2010
- Author(s)
  Arturo Kohatsu-Higa, Kazuhiro Yasuda
- Journal Title
  
  オペレーションズ・リサーチ:経営の科学
  
  Volume: Vol.55, No.10 Pages: 643-649
- NAID
  110007818521
- Data Source
  KAKENHI-PROJECT-21340024
[Journal Article] A review of recent results on Malliavin Calculus and its applications2010
- Author(s)
  Arturo Kohatsu-Higa, Kazuhiro Yasuda
- Journal Title
  
  Radon Series on Computational and Applied Mathematics, Walter de Gruyter
  
  Volume: 8 Pages: 275-302
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-21340024
[Journal Article] Estimation of densities for Heston-type models through the Malliavin-Thalmaier method and its application to the calculationof Greeks2009
- Author(s)
  A.Kohatsu-Higa, K.Yasuda
- Journal Title
  
  International Journal of Innovative Computing, Information and Control Vol.6, No.1
  
  Pages: 199-213
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-21340024
[Journal Article] A review of some recent results on Malliavin Calculus its applications2009
- Author(s)
  A.Kohatsu-Higa, K.Yasuda
- Journal Title
  
  Advances Financial Modelling Radon Series on Computational and Applied Mathematics 8
  
  Pages: 275-302
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-21340024
[Journal Article] Simulation on multidimensional density functions through the Maliavin-Thalmaier formula and its application to finance2009
- Author(s)
  A.Kohatsu-Higa, K.Yasuda
- Journal Title
  
  Proceedings of the 40th ISCIE International Symposium on Stochastic Systems Theory and Its Applications
  
  Pages: 342-347
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-21340024
[Journal Article] Estimating Multidimensional Density Functions using the Malliavin-Thalmaier Formula2009
- Author(s)
  A.Kohatsu-Higa, K.Yasuda
- Journal Title
  
  SIAM Journal on Numerical Analysis 47
  
  Pages: 1546-1575
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-21340024
[Presentation] Policy improvement algorithm for an optimal consumption and investment problem under general stochastic factor models2023
- Author(s)
  安田和弘
- Organizer
  10th International Congress on Industrial and Applied Mathematics
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-21K03355
[Presentation] 確率的ファクタモデル下での最適消費・投資問題に対する方策反復法2023
- Author(s)
  安田和弘
- Organizer
  第11回確率論とPDE
- Invited
- Data Source
  KAKENHI-PROJECT-21K03355
[Presentation] 確率的ファクタモデル下での最適消費・投資問題に対するPIA2022
- Author(s)
  畑宏明，安田和弘
- Organizer
  2022年度確率論シンポジウム
- Data Source
  KAKENHI-PROJECT-21K03355
[Presentation] 確率的ファクタモデル下での最適消費・投資問題に対するPIA2022
- Author(s)
  畑宏明，安田和弘
- Organizer
  日本応用数理学会2022年度年会
- Data Source
  KAKENHI-PROJECT-21K03355
[Presentation] Numerical experiments on risk estimation of an endowment insurance using LSM2022
- Author(s)
  Naoya Matsuda, Kazuhiro Yasuda
- Organizer
  The 54th ISCIE International Symposium on Stochastic Systems Theory and Its Applications
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-21K03355
[Presentation] マートン問題に対するPIAの考察2021
- Author(s)
  安田和弘
- Organizer
  日本応用数理学会2021年度年会
- Data Source
  KAKENHI-PROJECT-21K03355
[Presentation] Three fund CPPI strategy under a factor model2021
- Author(s)
  Kazuhiro Yasuda
- Organizer
  The 53rd ISCIE International Symposium on Stochastic Systems Theory and Its Applications
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-21K03355
[Presentation] On Weak Convergence Rate of Stochastic Differential Equations with Non-regular Drift2014
- Author(s)
  安田和弘
- Organizer
  慶應義塾経済学会（数理経済学会共催）報告会
- Place of Presentation
  慶應義塾大学（東京）
- Year and Date
  2014-07-07
- Data Source
  KAKENHI-PROJECT-24340022
[Presentation] 確率微分方程式のオイラー・丸山近似について2014
- Author(s)
  安田和弘
- Organizer
  数理科学セミナー
- Place of Presentation
  一橋大学
- Year and Date
  2014-01-29
- Data Source
  KAKENHI-PROJECT-23740089
[Presentation] 為替レートに対する連続制御と制限をおいた確率インパルス制御について2014
- Author(s)
  安田和弘
- Organizer
  金融工学・数理計量ファイナンスの諸問題
- Place of Presentation
  大阪大学　（大阪）
- Year and Date
  2014-12-04
- Data Source
  KAKENHI-PROJECT-24340022
[Presentation] On Effects of Estimations and Information for Expected Log-Utility　Maximization Problems2013
- Author(s)
  朝倉悠也, 安田和弘
- Organizer
  The 45th ISCIE International Symposium on Stochastic Systems Theory and Its Applications
- Place of Presentation
  琉球大学
- Data Source
  KAKENHI-PROJECT-23740089
[Presentation] On Effects of Estimations and Information for Expected Log-Utility Maximization Problems2013
- Author(s)
  Y. Asakura、K. Yasuda
- Organizer
  The 45^<th> ISCIE International Symposium on Stochastic Systems Theory and Its Applications
- Place of Presentation
  琉球大学
- Year and Date
  2013-11-01
- Data Source
  KAKENHI-PROJECT-23740089
[Presentation] 確率インパルス制御問題の数値計算法について2013
- Author(s)
  安田和弘
- Organizer
  CRESTセミナー
- Place of Presentation
  立命館大学びわこキャンパス、滋賀県(招待講演)
- Year and Date
  2013-08-16
- Data Source
  KAKENHI-PROJECT-24340022
[Presentation] 不連続ドリフト係数を持つ確率微分方程式の弱近似について2013
- Author(s)
  安田和弘
- Organizer
  阪大確率論セミナー
- Place of Presentation
  大阪大学
- Year and Date
  2013-10-22
- Data Source
  KAKENHI-PROJECT-23740089
[Presentation] On Weak Approximation of Stochastic Differential Equations with Discontinuous Drift Coefficient2012
- Author(s)
  K. Yasuda
- Organizer
  The Second NIMS Summer School in Probability 2012
- Place of Presentation
  NIMS、South Korea
- Year and Date
  2012-06-19
- Data Source
  KAKENHI-PROJECT-23740089
[Presentation] 確率インパルス制御問題の数値計算法について2012
- Author(s)
  安田和弘
- Organizer
  CREST セミナー
- Place of Presentation
  立命館大学
- Year and Date
  2012-08-16
- Data Source
  KAKENHI-PROJECT-23740089
[Presentation] 確率インパルス制御問題の数値計算法について2012
- Author(s)
  安田和弘
- Organizer
  オペレーションズリサーチ学会北海道支部・サマースクール
- Place of Presentation
  定山渓ビューホテル,北海道(招待講演)
- Year and Date
  2012-08-07
- Data Source
  KAKENHI-PROJECT-24340022
[Presentation] 確率インパルス制御問題の数値計算法について2012
- Author(s)
  安田和弘
- Organizer
  オペレーションズリサーチ学会北海道支部・サマースクール
- Place of Presentation
  定山渓ビューホテル
- Year and Date
  2012-08-07
- Data Source
  KAKENHI-PROJECT-23740089
[Presentation] On Weak Approximation of Stochastic Differential Equations with Discontinuous Drift Coefficient2012
- Author(s)
  安田和弘
- Organizer
  CREST and 4th Ritsumeikan-Florence Workshop on Risk, Simulation and Related Topics
- Place of Presentation
  立命館アジア太平洋大学(大分県)(招待講演)
- Year and Date
  2012-03-08
- Data Source
  KAKENHI-PROJECT-21340024
[Presentation] On Weak Approximation of Stochastic Differential Equations with Discontinuous Drift Coefficient2012
- Author(s)
  K. Yasuda
- Organizer
  The Second NIMS Summer School in Probability 2012
- Place of Presentation
  Daejeon、South Korea(招待講演)
- Year and Date
  2012-06-19
- Data Source
  KAKENHI-PROJECT-24340022
[Presentation] On Weak Approximation of Stochastic Differential Equations with Discontinuous Drift Coefficient2012
- Author(s)
  K. Yasuda
- Organizer
  CREST and 4^<th> Ritsumeikan-Florence Workshop on Risk, Simulation and Related Topics
- Place of Presentation
  立命館大学APC
- Year and Date
  2012-03-08
- Data Source
  KAKENHI-PROJECT-23740089
[Presentation] On Weak Approximation of Stochastic Differential Equations with Discontinuous Drift Coefficient2012
- Author(s)
  K. Yasuda
- Organizer
  CREST and 4th Ritsumeikan-Florence Workshop on Risk, Simulation and Related Topics
- Place of Presentation
  立命館大学APC
- Data Source
  KAKENHI-PROJECT-23740089
[Presentation] 不連続ドリフト係数を持つ確率微分方程式に対する近似2011
- Author(s)
  安田和弘
- Organizer
  確率論シンポジウム
- Place of Presentation
  関西大学
- Year and Date
  2011-12-19
- Data Source
  KAKENHI-PROJECT-23740089
[Presentation] フラクショナルブラウン運動を用いた確率解析及びその応用2011
- Author(s)
  安田和弘
- Organizer
  CRESTセミナー
- Place of Presentation
  立命館大学(滋賀県)(招待講演)
- Year and Date
  2011-08-08
- Data Source
  KAKENHI-PROJECT-21340024
[Presentation] 不連続ドリフト係数を持つ確率微分方程式に対する近似2011
- Author(s)
  安田和弘
- Organizer
  研究集会「経済の数理解析」
- Place of Presentation
  同志社大学(京都府)(招待講演)
- Year and Date
  2011-10-16
- Data Source
  KAKENHI-PROJECT-21340024
[Presentation] 不連続ドリフト係数を持つ確率微分方程式に対する近似2011
- Author(s)
  安田和弘
- Organizer
  科学研究費シンポジウム確率論シンポジウム
- Place of Presentation
  関西大学(大阪府)(招待講演)
- Year and Date
  2011-12-19
- Data Source
  KAKENHI-PROJECT-21340024
[Presentation] Some Numerical Results of Sensitivity Analysis for Expected Values w.r.t. Linear SDE with Long Memory2011
- Author(s)
  安田和弘
- Organizer
  The 43th ISCIE International Symposium on Stochastic Systems Theory and Its Applications
- Place of Presentation
  Ritsumeikan Univ.(滋賀県)(招待講演)
- Year and Date
  2011-10-29
- Data Source
  KAKENHI-PROJECT-21340024
[Presentation] 不連続ドリフト係数を持つ確率微分方程式に対する近似2011
- Author(s)
  安田和弘
- Organizer
  科学研究費シンポジウム　確率論シンポジウム
- Place of Presentation
  関西大学
- Data Source
  KAKENHI-PROJECT-23740089
[Presentation] フラクショナルブラウン運動を用いた確率解析及びその応用2011
- Author(s)
  安田和弘
- Organizer
  CRESTセミナー(招待講演)
- Place of Presentation
  立命館大学
- Data Source
  KAKENHI-PROJECT-23740089
[Presentation] Some Numerical Results of Sensitivity Analysis for Expected Values w.r.t. Linear SDE with Long Memory2011
- Author(s)
  K. Yasuda
- Organizer
  The 43th ISCIE International Symposium on Stochastic Systems Theory and Its Applications
- Place of Presentation
  立命館大学
- Year and Date
  2011-10-29
- Data Source
  KAKENHI-PROJECT-23740089
[Presentation] フラクショナルブラウン運動を用いた確率解析及びその応用2011
- Author(s)
  安田和弘
- Organizer
  CRESTセミナー
- Place of Presentation
  立命館大学
- Year and Date
  2011-08-08
- Data Source
  KAKENHI-PROJECT-23740089
[Presentation] 不連続ドリフト係数を持つ確率微分方程式に対する近似2011
- Author(s)
  安田和弘、A. Kohatsu-Higa、A. Lejay
- Organizer
  経済の数理解析
- Place of Presentation
  同志社大学
- Year and Date
  2011-10-16
- Data Source
  KAKENHI-PROJECT-23740089
[Presentation] 不連続ドリフト係数を持つ確率微分方程式に対する近似2011
- Author(s)
  安田和弘
- Organizer
  経済の数理解析(招待講演)
- Place of Presentation
  同志社大学
- Data Source
  KAKENHI-PROJECT-23740089
[Presentation] Bayesian Inference under Discrete Observation and Unknown Transition Density II2010
- Author(s)
  安田和弘
- Organizer
  日本数学会2010年度年会
- Place of Presentation
  慶応大学
- Year and Date
  2010-03-26
- Data Source
  KAKENHI-PROJECT-21340024
[Presentation] Testing for jumps in Japanese stock market under the financial crisis through high-frequency data2010
- Author(s)
  Yoshiaki Barada, Yusuke Kubo, Kazuhiro Yasuda
- Organizer
  The 42nd ISCIE International Symposium on Stochastic Systems Theory and Its Applications
- Place of Presentation
  岡山理科大学・40周年記念館(招待講演)
- Year and Date
  2010-11-26
- Data Source
  KAKENHI-PROJECT-21340024
[Presentation] 金融危機下における日本の株式市場でのジャンプの検定2010
- Author(s)
  Yoshiaki Barada, Yusuke Kubo, Kazuhiro Yasuda
- Organizer
  ファイナシスの数理解析とその応用
- Place of Presentation
  京都大学・数理解析研究所(招待講演)
- Year and Date
  2010-11-25
- Data Source
  KAKENHI-PROJECT-21340024
[Presentation] Malliavin解析を用いた多次元確率密度関数のシミュレーションについて2010
- Author(s)
  安田和弘
- Organizer
  日本OR学会研究部会「ファイナンス理論の展開」
- Place of Presentation
  首都大学東京
- Year and Date
  2010-01-28
- Data Source
  KAKENHI-PROJECT-21340024
[Presentation] Volatility estimations under the financial crisis in the Japanese market and testing for jumps2010
- Author(s)
  K.Aoki, Y.Barada, M.Tamura, Kazuhiro Yasuda
- Organizer
  The 42nd ISCIE International Symposium on Stochastic Systems Theory and Its Applications
- Place of Presentation
  岡山理科大学・40周年記念館(招待講演)
- Year and Date
  2010-11-26
- Data Source
  KAKENHI-PROJECT-21340024
[Presentation] Strong consistency for Bayesian estimator with approximations2010
- Author(s)
  安田和弘
- Organizer
  第6回数学総合若手研究集会～学際的交流への誘い～
- Place of Presentation
  北海道大学
- Year and Date
  2010-02-16
- Data Source
  KAKENHI-PROJECT-21340024
[Presentation] Bayesian Inference under Discrete Observation and Unknown Transition Density2010
- Author(s)
  安田和弘
- Organizer
  科研費シンポジウム数理ファイナンスとその周辺
- Place of Presentation
  名古屋大学
- Year and Date
  2010-01-21
- Data Source
  KAKENHI-PROJECT-21340024
[Presentation] Estimating density functions of multidimensional stochastic differential equations through Monte Carlo method2009
- Author(s)
  安田和弘
- Organizer
  The Workshop on Stochastic Analysis & Finance
- Place of Presentation
  City University of Hong Kong(中国)
- Year and Date
  2009-07-03
- Data Source
  KAKENHI-PROJECT-21340024
[Presentation] Bayesian Inference under Discrete Observation and Unknown Transition Density2009
- Author(s)
  安田和弘
- Organizer
  科学研究費シンポジウム確率論シンポジウム
- Place of Presentation
  愛媛大学
- Year and Date
  2009-12-17
- Data Source
  KAKENHI-PROJECT-21340024
[Presentation] On Weak Approximation of Stochastic Differential Equations with Discontinuous Drift Coefficient
- Author(s)
  K. Yasuda
- Organizer
  The Second NIMS Summer School in Probability 2012
- Place of Presentation
  NIMS, South Korea
- Data Source
  KAKENHI-PROJECT-23740089
[Presentation] 確率微分方程式のオイラー・丸山近似について
- Author(s)
  安田和弘
- Organizer
  数理科学セミナー
- Place of Presentation
  一橋大学（東京都）
- Invited
- Data Source
  KAKENHI-PROJECT-24340022
[Presentation] 確率インパルス制御問題の数値計算法について
- Author(s)
  安田　和弘
- Organizer
  CREST セミナー
- Place of Presentation
  立命館大学（滋賀県）
- Invited
- Data Source
  KAKENHI-PROJECT-23740089
[Presentation] 確率インパルス制御問題の数値計算法について
- Author(s)
  安田　和弘
- Organizer
  オペレーションズリサーチ学会北海道支部・サマースクール
- Place of Presentation
  定山渓ビューホテル（北海道）
- Invited
- Data Source
  KAKENHI-PROJECT-23740089
[Presentation] 不連続ドリフト係数を持つ確率微分方程式の弱近似について
- Author(s)
  安田和弘
- Organizer
  阪大確率論セミナー
- Place of Presentation
  大阪大学（大阪府）
- Invited
- Data Source
  KAKENHI-PROJECT-24340022
[Presentation] On Effects of Estimations and Information for Expected Log-Utility　Maximization Problems
- Author(s)
  朝倉悠也, 安田和弘
- Organizer
  he 45th ISCIE International Symposium on Stochastic Systems Theory and Its Applications
- Place of Presentation
  琉球大学（沖縄県）
- Invited
- Data Source
  KAKENHI-PROJECT-24340022

1. ARTURO Kohatsu-higa (80420412)

# of Collaborated Projects: 2 results

# of Collaborated Products: 0 results
2. KUSUOKA Sigeo (00114463)

# of Collaborated Projects: 2 results

# of Collaborated Products: 0 results
3. NINOMIYA Shoichi (70313377)

# of Collaborated Projects: 2 results

# of Collaborated Products: 0 results
4. AKAHORI Jiro (50309100)

# of Collaborated Projects: 2 results

# of Collaborated Products: 0 results
5. TAKEUCHI Atsushi (30336755)

# of Collaborated Projects: 2 results

# of Collaborated Products: 0 results
6. NAGAI Hideo (70110848)

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results
7. AIDA Shigeki (90222455)

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results
8. KAWAI Reiichirou (20464258)

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results
9. YAMAZATO Makoto (00015900)

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results
10. HAYASHI Masafumi (90532549)

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results
11. NAKATSU Tomonori (50732898)

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results
12. TANAKA Hideyuki (20732895)

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results
13. Hata Hiroaki (00609290)

# of Collaborated Projects: 1 results

# of Collaborated Products: 1 results
14. KOHATSU-HIGA Arturo

# of Collaborated Projects: 0 results

# of Collaborated Products: 21 results

Yasuda Kazuhiro 安田 和弘

YASUDA Kazuhiro 安田 和弘

Research Projects

Research Products

Co-Researchers

数理ファイナンスにおける不完全情報下での確率制御問題の新展開Principal Investigator

Principal Investigator

Project Period (FY)

Research Category

Review Section

Research Institution

Merton問題に対する数値計算アルゴリズムの構築およびその収束に関する研究Principal Investigator

Principal Investigator

Project Period (FY)

Research Category

Review Section

Research Institution

New development of optimal consumption and investment problems in stochastic control.

Principal Investigator

Project Period (FY)

Research Category

Research Field

Research Institution

Non-smooth stochastic differential equations: Applications to numerical simulations

Principal Investigator

Project Period (FY)

Research Category

Research Field

Research Institution

New developments of estimations and numerical analysis in financePrincipal Investigator

Principal Investigator

Project Period (FY)

Research Category

Research Field

Research Institution

Numerical Analysis of Jump-Models and Applications of Malliavin Calculus in Finance

Principal Investigator

Project Period (FY)

Research Category

Research Field

Research Institution

[Journal Article] Expected power utility maximization with delay for insurers under the 4/2 stochastic volatility model2022

Author(s)

Journal Title

DOI

Data Source

[Journal Article] An optimal investment strategy for insurance companies in the presence of a linear Gaussian stochastic factor model2017

Author(s)

Journal Title

Data Source

[Journal Article] On Effects of Estimations and Information for Expected Log- Utility Maximization Problems2014

Author(s)

Journal Title

Data Source

[Journal Article] Strong Consistency of Bayesian Estimator for the Ornstein-Uhlenbeck Process2013

Author(s)

Journal Title

DOI

ISBN

Data Source

[Journal Article] An Ornstein-Uhlenbeck Type Process which Satisfies Sufficient Conditions for a Simulation-Based Filtering Procedure2013

Author(s)

Journal Title

DOI

ISBN

Data Source

[Journal Article] Strong consistency of the Bayesian estimator for the Ornstein-Uhlenbeck process2013

Author(s)

Journal Title

Data Source

[Journal Article] Sensitivity Analysis of Expectation with respect to Stochastic Differential Equations with Long Memory through Malliavin Calculus2012

Author(s)

Journal Title

NAID

Data Source

[Journal Article] Testing for Levy type jumps in Japanese stock market under the financial crisis using high-frequency data2012

Author(s)

Journal Title

Data Source

[Journal Article] On Weak Approximation of Stochastic Differential Equations with Discontinuous Drift Coefficient2012

Yasuda Kazuhiro 安田和弘

YASUDA Kazuhiro 安田和弘