No.1462
確率数値解析に於ける諸問題, VII
The 7th Workshop on Stochastic Numerics
RIMS 共同研究報告集
 
2005/06/27〜2005/06/29
小川 重義
Shigeyoshi Ogawa
 
目 次
 
1. Filtering volatility from data observed at random time intervals(The 7th Workshop on Stochastic Numerics)-------------------------1
    Caltech / Department of Electrical Engineering-Systems, Tel Aviv University / Department of Mathematics, USC / Institute of Geophysics and Planetary Physics   Cvitanic,Jaksa / Liptser,Robert / Rozovskii, Boris / Zaliapin,Ilya
 
2. Nonreversible Perturbations Accelerate Convergence(The 7th Workshop on Stochastic Numerics)--------------------------------------26
    Institute of Mathematics, Academia Sinica   Hwang,Chii-Ruey
 
3. Stochastic integral equations of Fredholm type(The 7th Workshop on Stochastic Numerics)------------------------------------------35
    Dept. of Mathematical Sciences, Ritsumeikan University   OGAWA,Shigeyoshi
 
4. Entropy representation of optimal logarithmic utility for insiders in Levy markets(The 7th Workshop on Stochastic Numerics)------46
    大阪大学基礎工学研究科 / 琉球大学理学部   コハツーヒガ アルトゥロ / 山里 眞 (Kohatsu-Higa, Arturo / Yamazato,Makoto)
 
5. Random Numbers for Parallel Computations(The 7th Workshop on Stochastic Numerics)------------------------------------------------57
    Department of Mathematical Sciences, Nanzan University   Fushimi,Masanori
 
6. On the convergence rate of 2-dimensional low discrepancy sequences(The 7th Workshop on Stochastic Numerics)----------------------63
    Dept. Natural Sciences, Tokyo National College of Technology / Dept. Math. College of Humanities and Sciences, Nihon University   Ichikawa,Yuko / Mori,Makoto
 
7. Quantization Methods in Filtering and Applications to Partially Observed Stochastic Volatility Models(The 7th Workshop on Stochastic Numerics)---79
    Laboratoire de Probabilites et Modeles Aleatoires, Universite Paris7   PHAM,Huyen
 
8. APPLICATION OF STOCHASTIC NUMERICAL METHODS IN MULTI-PERIOD OPTIMAL PORTFOLIO STRATEGIES : CASE STUDIES(The 7th Workshop on Stochastic Numerics)---100
    興銀第一ライフ・アセットマネジメント   深谷 竜司 (FUKAYA,RYUJI)
 
9. PDE approach to utility maximization with partial information(The 7th Workshop on Stochastic Numerics)--------------------------116
    大阪大学大学院基礎工学研究科社会システム数理領域 /   長井 英生 / (NAGAI,HIDEO / RUNGGALDIER, WOLFGANG J.)
 
10. Comparison of insider's optimal strategies, three different types of side information RIMS symposium, the 7th workshop on Stochastic Numerics,June 27-29,2005(The 7th Workshop on Stochastic Numerics)---131
    Ecole Polytechnique / Universite Paul Sabatier   HILLAIRET, Caroline / PONTIER, Monique
 
11. A review of recent results on weak approximation of solutions of stochastic differential equations(The 7th Workshop on Stochastic Numerics)---145
    Osaka University, Graduate School of Engineering Sciences   Kohatsu-Higa, Arturo
 
12. Volatility Smile/Smirk Properties of [GLP & MEMM] Models(The 7th Workshop on Stochastic Numerics)------------------------------156
    Graduate School of Economics, Nagoya City University / Graduate School of Economics, Nagoya City University   Miyahara,Yoshio / Moriwaki,Naruhiko
 
13. 確率摂動を含む経済成長方程式(確率数値解析に於ける諸問題,VII)-------------------------------------------------------------------171
    中央大学商学部   西岡 國雄
 
14. Network Investment and Competition with Access-to-Bypass(The 7th Workshop on Stochastic Numerics)------------------------------186
    Faculty of Economics, Ritsumeikan University / School of Business Administration, Kwansei Gakuin University   Hori,Keiichi / Mizuno,Keizo
 
15. Discrete Ito Formulas and Their Applications to Stochastic Numerics(The 7th Workshop on Stochastic Numerics)-------------------202
    立命館大学理工学部   赤堀 次郎 (Akahori,Jiro)
 
16. A survey on asymptotic evaluations of Wiener functional expectations(The 7th Workshop on Stochastic Numerics)------------------211
    Ritsumeikan University   Watanabe,Shinzo
 
17. On the probabilities associated with unitary matrices(The 7th Workshop on Stochastic Numerics)---------------------------------217
    RIMS,Kyoto University   Takahashi,Y.
 
18. RANSACを用いた車両運転時のイベント検出法(確率数値解析に於ける諸問題,VII)-------------------------------------------------------224
    産業技術総合研究所・フェロー / 産業技術総合研究所・脳神経情報研究部門 / 産業技術総合研究所・脳神経情報研究部門   佐野 夏樹 / 市村 直幸 / 栗田 多喜夫[他] (Sano,Natsuki / Ichimura,Naoyuki / Kurita,Takio)
 
19. Noncausal Stochastic Calculus Revisited(The 7th Workshop on Stochastic Numerics)-----------------------------------------------231
    Dept. of Mathematical Sciences, Ritsumeikan University   OGAWA,Shigeyoshi