Stochastic Processes and Mathematical Finance

日時: 2014年 2月24日(月曜) - 25日(火曜)

場所: 関西大学第四学舎三号館3403室

住所: 大阪府吹田市山手町３−３−３５

プログラム:

Feburuary 24 (Monday)

09:40 - 10:30 S. J. Sheu (National Central Univ.)

　

Dynamic programming Approach vs Martingale Method for Portfolio Optimization Problem

10:40 - 11:30 渡辺　有佑 (大阪大)

　

Analysis of degenerate equations in an optimal consumption problem

13:00 - 13:50 市原　直幸 (広島大)

　

The generalized principal eigenvalue for Hamilton-Jacobi-Bellman equations of ergodic type

14:00 - 14:50 藤田　安啓 (富山大)

　

Asymptotic behavior to Hamilton-Jacobi-Bellman equation via logarithmic Sobolev inequality

15:10 - 16:00 梶野　直孝 (神戸大)

　

Neumann heat kernel estimates in inner uniform domains for point-recurrent strongly local Dirichlet spaces

16:10 - 17:00 嶽村　智子 (奈良女子大)

　

h-transform for Levy measure density

Feburuary 25 (Tuesday)

09:40--10:30 関根　順 (大阪大)

　

Utility maximization with floor constraint: a dual approach

10:40 - 11:30 竹内　敦司 (大阪市立大)

　

Large deviation principle for stochastic functional differential equations

13:00 - 13:50 赤堀　次郎 (立命館大)

　

A Modification of the Fourier Method (joint work with N.L. Liu, M. Mancino and Y. Yasuda)

14:00 - 14:50 山崎　和俊 (関西大)

　

Games of singular control and stopping driven by spectrally one-sided Levy processes (joint with Daniel Hernandez-Hernandez)

15:10 - 16:00 Marcel Schmidt (Univ. of Jena)

　

Does diffusion determine the geometry?

16:10 - 17:00 鈴木　康平 (京都大)

　

On instability of global properties of symmeric Dirichlet forms under Mosco convergence

世話人: 長井英生 ・ 上村稔大 (関西大学)