Hata Hiroaki 畑宏明

… Alternative Names

HATA Hiroaki 畑宏明

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Researcher Number	00609290
Other IDs
Affiliation (Current)	2025: 一橋大学, 大学院経営管理研究科, 教授
Affiliation (based on the past Project Information) *help	2020 – 2024: 一橋大学, 大学院経営管理研究科, 教授 2015 – 2017: 静岡大学, 教育学部, 准教授 2015: 静岡大学, 教育学部, 助教 2010 – 2012: 静岡大学, 教育学部, 助教
Review Section/Research Field	Principal Investigator Basic Section 12040:Applied mathematics and statistics-related / Basic Section 60020:Mathematical informatics-related / Foundations of mathematics/Applied mathematics Except Principal Investigator General mathematics (including Probability theory/Statistical mathematics) / Basic analysis
Keywords	Principal Investigator 確率制御 / HJB方程式 / 動的計画原理 / マルチンゲール法 / 方策改善アルゴリズム / 後退確率微分方程式 / Stochastic factor model / Risk process / Power utility / Hamilton-Jacobi-Bellman … More / Delay / FBSDEs / Stochastic control / 方策改善法 / HJB 方程式 / 確率ファクターモデル / 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 … More Except Principal Investigator リスク鋭感的制御 / ダウンサイドリスク最小化 / エルゴード型H-J-B方程式 / 双対性定理 / 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 / モデルの不確かさ / 最適投資・消費問題 / 双対型定理 / 大偏差確率 / 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 / large deviation control / ダイナミックプロテクション / アメリカ型OBPI / ポートフォリオインシュランス / 長時間ポートフォリオ最適化 / Information-based asset pricin / 確率フィルタリング / 最適停止問題 / 最大値過程 / 長時間最適投資問題 / Kushner-Stratonovic方程式 / 橋過程 / Wishart型確率過程 / 大偏差制御 / ロバスト極限 / リスク回避的極限 / エルゴード型HJB方程式 / 長時間大偏差制御 / 微分ゲーム / リスク回避極限 / 低下制約 / 床制約 / リスク鋭感的ポートフォリオ最適化 / 弱近似 / ダウンサイドリスク / ハルナック不等式 / 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 / 期待効用最大化 / ハミルトン・ヤコビ方程式 / インサイダー取引市場モデル / ロバスト性 / 粘性解 / リスク鋭感的確率制御 / エルゴード型確率制御 / デリバティブの価値評価 / ポートフォリオ最適化 / H-J-B 方程式 / 大偏差確率制御 Less

確率最適制御における再帰的効用最大化問題の新展開Principal Investigator
- Principal Investigator
  
  畑宏明
- 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
  Hitotsubashi University
確率最適制御における保険会社の期待効用最大化問題の新展開Principal Investigator
- Principal Investigator
  
  畑宏明
- Project Period (FY)
  2020 – 2024
- Research Category
  
  Grant-in-Aid for Scientific Research (C)
- Review Section
  
  Basic Section 60020:Mathematical informatics-related
- Research Institution
  Hitotsubashi University
New development of optimal consumption and investment problems in stochastic control.Principal Investigator
- 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
Stochastic control on a long term and its applications
- 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
Development of the methods of stochastic control and filtering in mathematical finance
- 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
Study of long-term risk-sensitive portfolio optimization in non-standard settings
- Principal Investigator
  
  SEKINE Jun
- Project Period (FY)
  2008 – 2010
- Research Category
  
  Grant-in-Aid for Scientific Research (C)
- Research Field
  
  General mathematics (including Probability theory/Statistical mathematics)
- Research Institution
  Kyoto University

All 2024 2023 2022 2021 2020 2018 2017 2016 2015 2013 2012 2010

All Journal Article Presentation

[Journal Article] Expected Power Utility Maximization of Insurers2023
- Author(s)
  Hata Hiroaki、Yasuda Kazuhiro
- Journal Title
  
  Asia-Pacific Financial Markets
  
  Volume: - Issue: 3 Pages: 543-577
- DOI
  10.1007/s10690-023-09425-8
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-20K11690
[Journal Article] 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PIA2023
- Author(s)
  畑宏明、安田和弘
- Journal Title
  
  京都大学数理解析研究所講究録
  
  Volume: 2246 Pages: 85-91
- Data Source
  KAKENHI-PROJECT-20K11690
[Journal Article] A long-term optimal consumption and investment problem with partial information2023
- Author(s)
  Hata Hiroaki
- Journal Title
  
  Mathematical Control and Related Fields
  
  Volume: - Issue: 3 Pages: 867-895
- DOI
  10.3934/mcrf.2023028
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-20K11690
[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] Numerical study for expected power utility maximization of insurers2022
- Author(s)
  Hata Hiroaki、Yasuda Kazuhiro
- Journal Title
  
  Proceedings of the ISCIE International Symposium on Stochastic Systems Theory and its Applications
  
  Volume: 2022 Issue: 0 Pages: 93-101
- DOI
  10.5687/sss.2022.93
- ISSN
  2188-4730, 2188-4749
- Year and Date
  2022-03-31
- Language
  English
- Data Source
  KAKENHI-PROJECT-20K11690
[Journal Article] An optimal consumption and investment problem with partial information2018
- Author(s)
  Hiroaki Hata and Shuenn-Jyi Sheu
- Journal Title
  
  Advances in Applied Probability
  
  Volume: 50 Issue: 01 Pages: 131-153
- DOI
  10.1017/apr.2018.7
- Peer Reviewed / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-15K17584
[Journal Article] Risk-sensitive asset management in a general diffusion factor model: Risk-seeking case2017
- Author(s)
  Hiroaki Hata
- Journal Title
  
  Japan Journal of Industrial and Applied Mathematics
  
  Volume: 34 Issue: 1 Pages: 59-98
- DOI
  10.1007/s13160-017-0242-3
- NAID
  210000174328
- Peer Reviewed / Acknowledgement Compliant
- Data Source
  KAKENHI-PROJECT-15K17584
[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] Risk-sensitive asset management with Wishart autoregressive type factor model2013
- Author(s)
  H.Hata and J.Sekine
- Journal Title
  
  Journal of Mathematical Finance
  
  Volume: 3(1A) Issue: 01 Pages: 222-229
- DOI
  10.4236/jmf.2013.31a021
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-20340019
[Journal Article] A market model with medium/long-term effects due to an insider2013
- Author(s)
  Hata, Hiroaki, Kohatsu-Higa, Arturo
- Journal Title
  
  Quantitative Finance
  
  Volume: Volume 13, Number 3 Issue: 3 Pages: 421-437
- DOI
  10.1080/14697688.2012.695084
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-20340019, KAKENHI-PROJECT-24340022
[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
  
  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] Explicit solution to a certain non-ELQG risk-sensitive stochastic control problem2010
- Author(s)
  Hiriaki Hata, Jun Sekine
- Journal Title
  
  Applied mathematics and Optimization 62(3)
  
  Pages: 341-380
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-20540115
[Journal Article] Explicit solution to a certain non-ELQG risk-sensitive stochastic control problem2010
- Author(s)
  Hiroaki Hata, Jun Sekine
- Journal Title
  
  Applied Mathematics and Optimizations
  
  Volume: 62(3) Pages: 341-380
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-20540115
[Presentation] Expected exponential utility maximization problem with a nonlinear factor model and its policy improvement algorithm2024
- Author(s)
  Hiroaki Hata
- Organizer
  専題演講(國立中央大學數學系(台湾))
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-20K11690
[Presentation] An optimal consumption and investment problem for general factor models : Epstein-Zin recursive utility case2023
- Author(s)
  Hiroaki Hata
- Organizer
  ICIAM2023 TOKYO Intersection between financial economics and optimal control
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-20K11690
[Presentation] 指数型効用関数を用いた最適消費投資問題2023
- Author(s)
  畑　宏明
- Organizer
  日本応用数理学会第19回研究部会連合発表会
- Data Source
  KAKENHI-PROJECT-20K11690
[Presentation] Optimal consumption and investment with an exponential utility2023
- Author(s)
  Hiroaki Hata
- Organizer
  専題演講(國立中央大學數學系(台湾))
- Invited
- Data Source
  KAKENHI-PROJECT-20K11690
[Presentation] Policy improvement algorithm for an optimal consumption and investment problem under general stochastic factor models2023
- Author(s)
  Hiroaki Hata
- Organizer
  2023 Spring Probability Workshop
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-20K11690
[Presentation] Policy improvement algorithm for an optimal consumption and investment problem under general stochastic factor models2023
- Author(s)
  Hiroaki Hata
- Organizer
  Seminar on applied probability in Okinawa
- Invited
- Data Source
  KAKENHI-PROJECT-20K11690
[Presentation] A long term optimal consumption and investment problem with partial information2022
- Author(s)
  畑　宏明
- Organizer
  日本応用数理学会2022年度年会
- Data Source
  KAKENHI-PROJECT-20K11690
[Presentation] Policy improvement algorithm for an optimal consumption and investment problem under general stochastic factor models2022
- Author(s)
  畑　宏明
- Organizer
  2022年度中之島ワークショップ金融工学・数理計量ファイナンスの諸問題 2022
- Invited
- Data Source
  KAKENHI-PROJECT-20K11690
[Presentation] Expected power utility maximization with delay for insurers under 4/2 stochastic volatility model2021
- Author(s)
  畑　宏明
- Organizer
  日本応用数理学会2021年度年会
- Data Source
  KAKENHI-PROJECT-20K11690
[Presentation] Numerical study for expected power utility maximization of insurers2021
- Author(s)
  畑　宏明
- Organizer
  The 53rd ISCIE International Symposium on Stochastic Systems Theory and Its Applications
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-20K11690
[Presentation] Expected power utility maximization of insurers2021
- Author(s)
  畑　宏明
- Organizer
  東京確率論セミナー
- Invited
- Data Source
  KAKENHI-PROJECT-20K11690
[Presentation] Expected power utility maximization with delay for insurers under 4/2 stochastic volatility model2021
- Author(s)
  畑　宏明
- Organizer
  関西大学確率論研究会
- Invited
- Data Source
  KAKENHI-PROJECT-20K11690
[Presentation] Optimal investment-consumption-insurance with partial information2020
- Author(s)
  畑　宏明
- Organizer
  日本応用数理学会2020年度年会
- Data Source
  KAKENHI-PROJECT-20K11690
[Presentation] Expected power utility maximization of insurers2020
- Author(s)
  畑　宏明
- Organizer
  2020年度中之島ワークショップ金融工学・数理計量ファイナンスの諸問題 2020
- Invited
- Data Source
  KAKENHI-PROJECT-20K11690
[Presentation] Expected power utility maximization of insurers2020
- Author(s)
  畑　宏明
- Organizer
  一橋大学金融研究会
- Data Source
  KAKENHI-PROJECT-20K11690
[Presentation] Expected exponential utility maximization of insurers with a general diffusion factor model : The complete market case2018
- Author(s)
  Hiroaki Hata
- Organizer
  Workshop on Stochastic Control and Related Issues
- Invited
- Data Source
  KAKENHI-PROJECT-15K17584
[Presentation] Risk-sensitive portfolio optimization problem for a large trader with inside information2017
- Author(s)
  Hiroaki Hata
- Organizer
  研究集会「応用確率論 in 静岡」
- Data Source
  KAKENHI-PROJECT-15K17584
[Presentation] Risk-sensitive portfolio optimization problem for a large trader with inside information2017
- Author(s)
  Hiroaki Hata
- Organizer
  Research Seminar in Probability, Academia Sinica, Taiwan
- Invited
- Data Source
  KAKENHI-PROJECT-15K17584
[Presentation] 最適消費・投資問題に対するモチベーション2017
- Author(s)
  畑宏明
- Organizer
  岡山-広島解析・確率論セミナー2017
- Place of Presentation
  岡山大学理学部(岡山県、岡山市)
- Year and Date
  2017-02-20
- Data Source
  KAKENHI-PROJECT-15K17584
[Presentation] Expected exponential utility maximization of insurers with a general diffusion factor model : The complete market case2017
- Author(s)
  Hiroaki Hata
- Organizer
  2017年度確率論シンポジウム
- Data Source
  KAKENHI-PROJECT-15K17584
[Presentation] Expected exponential utility maximization of insurers with a nonlinear diffusion factor model2017
- Author(s)
  Hiroaki Hata
- Organizer
  関西大学確率論セミナー
- Invited
- Data Source
  KAKENHI-PROJECT-15K17584
[Presentation] Risk-sensitive portfolio optimization problem for a large trader with inside information2017
- Author(s)
  Hiroaki Hata
- Organizer
  2017 NCTS & NCU Probability Seminer, National Central University, Taiwan
- Invited
- Data Source
  KAKENHI-PROJECT-15K17584
[Presentation] The ruin probability minimization with a linear Gaussian stochastic factor model2017
- Author(s)
  Hiroaki Hata
- Organizer
  2017 NCTS & NCU Probability Seminer
- Place of Presentation
  National Central University, Taiwan
- Invited
- Data Source
  KAKENHI-PROJECT-15K17584
[Presentation] An optimal investment strategy for insurance companies in the presence of a linear Gaussian stochastic factor model2016
- Author(s)
  Hiroaki Hata
- Organizer
  Research Seminar in Probability
- Place of Presentation
  Academia Sinica, Taiwan
- Data Source
  KAKENHI-PROJECT-15K17584
[Presentation] An optimal investment strategy for insurance companies in the presence of a linear Gaussian stochastic factor model2016
- Author(s)
  畑宏明
- Organizer
  RIMS 研究集会「確率論シンポジウム」
- Place of Presentation
  京都大学数理解析研究所(京都府、京都市)
- Year and Date
  2016-12-19
- Data Source
  KAKENHI-PROJECT-15K17584
[Presentation] Risk-sensitive asset management with general factor models2015
- Author(s)
  畑宏明
- Organizer
  2015年度中之島ワークショップ金融工学・数理計量ファイナンスの諸問題 2015
- Place of Presentation
  大阪大学中之島センター(大阪府大阪市)
- Year and Date
  2015-12-04
- Invited
- Data Source
  KAKENHI-PROJECT-15K17584
[Presentation] Risk-sensitive asset management with general factor models2015
- Author(s)
  畑宏明
- Organizer
  日本数学会統計数学分科会
- Place of Presentation
  京都産業大学(京都府京都市)
- Year and Date
  2015-09-13
- Data Source
  KAKENHI-PROJECT-15K17584
[Presentation] Risk-sensitive asset management with general factor models2015
- Author(s)
  畑宏明
- Organizer
  Research Seminar in Probability
- Place of Presentation
  Academia Sinica, Taiwan
- Year and Date
  2015-08-24
- Data Source
  KAKENHI-PROJECT-15K17584
[Presentation] Risk-sensitive asset management with general factor models2015
- Author(s)
  畑宏明
- Organizer
  2015年度確率論シンポジウム
- Place of Presentation
  岡山大学(岡山県岡山市)
- Year and Date
  2015-12-17
- Data Source
  KAKENHI-PROJECT-15K17584
[Presentation] Risk-sensitive portfolio optimization problems with Levy-driven Cox-Ingersoll-Ross interest rates2012
- Author(s)
  H.Hata
- Organizer
  Research Seminar in Probability
- Place of Presentation
  Academia Sinica, Taiwan
- Year and Date
  2012-09-24
- Data Source
  KAKENHI-PROJECT-20340019

1. SEKINE Jun (50314399)

# of Collaborated Projects: 3 results

# of Collaborated Products: 3 results
2. NAGAI Hideo (70110848)

# of Collaborated Projects: 2 results

# of Collaborated Products: 4 results
3. KAISE Hidehiro (60377778)

# of Collaborated Projects: 2 results

# of Collaborated Products: 0 results
4. KOHATSU-HIGA Arturo (80420412)

# of Collaborated Projects: 1 results

# of Collaborated Products: 7 results
5. MIYAHARA Yoshio (20106256)

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results
6. KOIKE Shigeaki (90205295)

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results
7. ISHII Hitoshi (70102887)

# of Collaborated Projects: 1 results

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

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results
9. NAGAHATA Yukio (50397725)

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results
10. TAMURA Takashi (50437357)

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results
11. YASUDA Kazuhiro (80509638)

# of Collaborated Projects: 1 results

# of Collaborated Products: 2 results
12. Takeda Masayoshi (30179650)

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results
13. Ichihara Naoyuki (70452563)

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results

Hata Hiroaki 畑 宏明

HATA Hiroaki 畑 宏明

Research Projects

Research Products

Co-Researchers

確率最適制御における再帰的効用最大化問題の新展開Principal Investigator

Principal Investigator

Project Period (FY)

Research Category

Review Section

Research Institution

確率最適制御における保険会社の期待効用最大化問題の新展開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

Principal Investigator

Project Period (FY)

Research Category

Research Field

Research Institution

Stochastic control on a long term and its applications

Principal Investigator

Project Period (FY)

Research Category

Research Field

Research Institution

Development of the methods of stochastic control and filtering in mathematical finance

Principal Investigator

Project Period (FY)

Research Category

Research Field

Research Institution

Study of long-term risk-sensitive portfolio optimization in non-standard settings

Principal Investigator

Project Period (FY)

Research Category

Research Field

Research Institution

[Journal Article] Expected Power Utility Maximization of Insurers2023

Author(s)

Journal Title

DOI

Data Source

[Journal Article] 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PIA2023

Author(s)

Journal Title

Data Source

[Journal Article] A long-term optimal consumption and investment problem with partial information2023

Author(s)

Journal Title

DOI

Data Source

[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] Numerical study for expected power utility maximization of insurers2022

Author(s)

Journal Title

DOI

ISSN

Year and Date

Language

Data Source

[Journal Article] An optimal consumption and investment problem with partial information2018

Author(s)

Journal Title

DOI

Data Source

[Journal Article] Risk-sensitive asset management in a general diffusion factor model: Risk-seeking case2017

Author(s)

Journal Title

DOI

NAID

Data Source

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

Hata Hiroaki 畑宏明

HATA Hiroaki 畑宏明