No.1462

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