No.1620

2008/07/07〜2008/07/09

小川　重義

Shigeyoshi Ogawa

目　次

1. High frequency statistics with irregularly spaced observations (The 8th Workshop on Stochastic Numerics)--------------------------1

　　　　慶應義塾大学経営管理研究科 / / 東京大学数理科学研究科　　　林 高樹 / / 吉田 朋広　(Hayashi,Takaki / Jacod,Jean / Yoshida,Nakahiro)

　

2. Testing finite activity against infinite activity for jumps, for high frequency observation : an overview (The 8th Workshop on Stochastic Numerics)---11

　　　　Department of Economics, Princeton University / Institut de mathematiques de Jussieu, Universite P. et M. Curie　　　Ait-Sahalia,Yacine / Jacod,Jean

　

3. Empirical Invariance in Stock Market and Related Problems (The 8th Workshop on Stochastic Numerics)------------------------------18

　　　　Institute of Mathematics, Academia Sinica　　　Hwang,Chii-Ruey

　

4. An Invariance Property for Exchangeable Sequence : Application to Stock Price Data (The 8th Workshop on Stochastic Numerics)-----23

　　　　Division of Theoretical Statistics & Mathematics, Indian Statistical Institute　　　Goswami,Alok

　

5. Nonlinear Time Series Analysis of Stock Return Variation (The 8th Workshop on Stochastic Numerics)-------------------------------27

　　　　立命館大学理工学部 / 学習院大学経済学研究科　　　宮野 雅哉 / 辰巳 憲一　(Miyano,Takaya / Tatsumi,Kenichi)

　

6. An attempt to the real-time estimation of the spot volatility (The 8th Workshop on Stochastic Numerics)--------------------------39

　　　　立命館大学理工学部　　　小川 重義　(Ogawa,Shigeyoshi)

　

7. Economic growth under two stochastic perturbations (The 8th Workshop on Stochastic Numerics)-------------------------------------53

　　　　中央大学商学部　　　西岡 國雄　(NISHIOKA,Kunio)

　

8. Malliavin calculus applied to mathematical finance and a new formulation of the integration-by-parts (The 8th Workshop on Stochastic Numerics)---67

　　　　愛媛大学理学部　　　石川 保志　(Ishikawa,Yasushi)

　

9. Portfolio optimization for piecewise concave criteria functions (The 8th Workshop on Stochastic Numerics)------------------------81

　　　　Laboratoire de Probabilites et Modeles Aleatoires, CNRS UMR 7599, Universite Paris 7 / Laboratoire de Probabilites et Modeles Aleatoires, CNRS UMR 7599, Universite Paris 7　　　Carassus,Laurence / Pham,Huyen

　

10. On a $J_1$-convergence theorem for stochastic processes on $D[0, \infty)$ having monotone sample paths and its applications (The 8th Workshop on Stochastic Numerics)---109

　　　　琉球大学理学部　　　山里 眞　(Yamazato,Makoto)

　

11. New generation wavelets associated with statistical problems (The 8th Workshop on Stochastic Numerics)-------------------------119

　　　　Paris 7 / Paris 7　　　KERKYACHARIAN,Gerard / PICARD,Dominique

　

12. Some remarks on approximate sampling theorems : estimate with Besov norm and an application (The 8th Workshop on Stochastic Numerics)---147

　　　　首都大学東京理工学研究科 / 自治医科大学　　　岡田 正巳 / 上野 敏秀　(Okada,Masami / Ueno,Toshihide)

　

13. Analysis of Noise Sensitivity of Attractor Selection (The 8th Workshop on Stochastic Numerics)---------------------------------150

　　　　大阪大学情報科学研究科 / 筑波大学システム情報工学研究科　　　ライプニッツ 賢治 / 香田 正人　(Leibnitz,Kenji / Koda,Masato)

　

14. Privacy Preserving Independent Component Analysis (The 8th Workshop on Stochastic Numerics)------------------------------------162

　　　　電力中央研究所 / 電力中央研究所　　　佐野 夏樹 / 篠原 靖志　(Sano,Natsuki / Sinohara,Yasusi)

　

15. Some problems of algorithmic randomness on product space (The 8th Workshop on Stochastic Numerics)-----------------------------175

　　　　統計数理研究所　　　高橋 勇人　(Takahashi,Hayato)

　

16. Uniform Sets and Complexity (The 8th Workshop on Stochastic Numerics)----------------------------------------------------------197

　　　　松山大学経済学部　　　釜江 哲朗　(KAMAE,Teturo)

　

17. Low discrepancy sequences (The 8th Workshop on Stochastic Numerics)------------------------------------------------------------204

　　　　日本大学文理学部　　　森 真　(Mori,Makoto)