Ishitani Kensuke 石谷謙介

Researcher Number	30636436
Other IDs
Affiliation (Current)	2026: 東京都立大学, 理学研究科, 准教授
Affiliation (based on the past Project Information) *help	2022 – 2025: 東京都立大学, 理学研究科, 准教授
Review Section/Research Field	Principal Investigator Basic Section 07060:Money and finance-related
Keywords	Principal Investigator Wiener汎関数積分 / 関数近似 / 逆関数法 / 拡散引越過程 / バリア・オプションのGreeks / 時間非一様なMarkov過程 / 関数近似と逆関数法 / Brown引越過程・Bessel引越過程 / 3次元Bessel橋 / Brown引越過程 … More / Brown彷徨過程 / ３次元Bessel橋 / 微分連鎖律 / Greeks / バリア・オプション Less

Research Projects
(2 results)
Research Products
(9 results)

有界領域上の確率解析の新展開とバリア・オプションのGreeks計算への応用Principal Investigator
- Principal Investigator
  
  石谷謙介
- Project Period (FY)
  2025 – 2029
- Research Category
  
  Grant-in-Aid for Scientific Research (C)
- Review Section
  
  Basic Section 07060:Money and finance-related
- Research Institution
  Tokyo Metropolitan University
バリア・オプションのGreeksの統一的な計算手法の確立Principal Investigator
- Principal Investigator
  
  石谷謙介
- Project Period (FY)
  2022 – 2025
- Research Category
  
  Grant-in-Aid for Scientific Research (C)
- Review Section
  
  Basic Section 07060:Money and finance-related
- Research Institution
  Tokyo Metropolitan University

All 2025 2024 2023 2022

All Journal Article Presentation

[Journal Article] Construction and sample path properties of Brownian house-moving between two curves2024
- Author(s)
  Ishitani Kensuke、Hatakenaka Daisuke、Suzuki Keisuke
- Journal Title
  
  Japan Journal of Industrial and Applied Mathematics
  
  Volume: 42 Issue: 1 Pages: 399-451
- DOI
  10.1007/s13160-024-00678-y
- Data Source
  KAKENHI-PROJECT-22K01556
[Journal Article] On the weak convergence of conditioned Bessel bridges2023
- Author(s)
  Kensuke Ishitani, Tokufuku Rin and Shun Yanashima
- Journal Title
  
  Journal of Mathematical Sciences The University of Tokyo
  
  Volume: 30(3) Pages: 287-339
- Peer Reviewed / Open Access
- Data Source
  KAKENHI-PROJECT-22K01556
[Journal Article] Sampling Brownian house-moving2022
- Author(s)
  Kensuke Ishitani
- Journal Title
  
  JSIAM Letters
  
  Volume: 14 Issue: 0 Pages: 131-134
- DOI
  10.14495/jsiaml.14.131
- ISSN
  1883-0609, 1883-0617
- Language
  English
- Peer Reviewed / Open Access
- Data Source
  KAKENHI-PROJECT-22K01556
[Presentation] Construction of diffusion house-moving2025
- Author(s)
  西野颯馬, 石谷謙介
- Organizer
  日本数学会 2025年度年会
- Data Source
  KAKENHI-PROJECT-22K01556
[Presentation] Wiener汎関数積分に対する微分連鎖律を用いたダブルバリア・オプションの1次Greeks計算法2024
- Author(s)
  吉田悠馬, 石谷謙介
- Organizer
  第20回日本応用数理学会研究部会連合発表会
- Data Source
  KAKENHI-PROJECT-22K01556
[Presentation] Higher order integration by parts formulae for Wiener measures on a path space between two curves2024
- Author(s)
  西野颯馬, 石谷謙介
- Organizer
  日本数学会 2024年度年会
- Data Source
  KAKENHI-PROJECT-22K01556
[Presentation] 2曲線間に留まるよう条件付けられたランダムウォーク橋に対する不変原理2024
- Author(s)
  簗島瞬, 石谷謙介
- Organizer
  日本数学会 2024年度年会
- Data Source
  KAKENHI-PROJECT-22K01556
[Presentation] Construction and sample path properties of Brownian house-moving2023
- Author(s)
  Kensuke Ishitani
- Organizer
  ICIAM 2023 TOKYO
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-22K01556
[Presentation] On the weak convergence of conditioned Bessel bridges2022
- Author(s)
  簗島瞬, 石谷謙介
- Organizer
  日本数学会 2022年度秋季総合分科会 (統計数学)
- Data Source
  KAKENHI-PROJECT-22K01556

Ishitani Kensuke 石谷 謙介

Research Projects

Research Products

有界領域上の確率解析の新展開とバリア・オプションのGreeks計算への応用Principal Investigator

Principal Investigator

Project Period (FY)

Research Category

Review Section

Research Institution

バリア・オプションのGreeksの統一的な計算手法の確立Principal Investigator

Principal Investigator

Project Period (FY)

Research Category

Review Section

Research Institution

[Journal Article] Construction and sample path properties of Brownian house-moving between two curves2024

Author(s)

Journal Title

DOI

Data Source

[Journal Article] On the weak convergence of conditioned Bessel bridges2023

Author(s)

Journal Title

Data Source

[Journal Article] Sampling Brownian house-moving2022

Author(s)

Journal Title

DOI

ISSN

Language

Data Source

[Presentation] Construction of diffusion house-moving2025

Author(s)

Organizer

Data Source

[Presentation] Wiener汎関数積分に対する微分連鎖律を用いたダブルバリア・オプションの1次Greeks計算法2024

Author(s)

Organizer

Data Source

[Presentation] Higher order integration by parts formulae for Wiener measures on a path space between two curves2024

Author(s)

Organizer

Data Source

[Presentation] 2曲線間に留まるよう条件付けられたランダムウォーク橋に対する不変原理2024

Author(s)

Organizer

Data Source

[Presentation] Construction and sample path properties of Brownian house-moving2023

Author(s)

Organizer

Data Source

[Presentation] On the weak convergence of conditioned Bessel bridges2022

Author(s)

Organizer

Data Source

Ishitani Kensuke 石谷謙介