Rchr
J-GLOBAL ID：200901027639882776   Update date: Dec. 18, 2024

Nagai Hideo

ナガイ ヒデオ | Nagai Hideo
Research field  (2)： Applied mathematics and statistics ,  Basic mathematics
Research keywords  (2)： 数学 ,  Mathematics
Research theme for competitive and other funds  (48)：
  • 2016 - 2020 Game theoretical problems in mathematical models for finance
  • 2013 - 2016 Stochastic control on a long term and its applications
  • 2011 - 2016 Fundamental theory for viscosity solutions of fully nonlinear equations and its applications
  • 2011 - 2016 Deepening of the theory of viscosity solutions and its applications
  • 2008 - 2012 Structural Analysis on Exponential Attractors for Dissipative Systems
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Papers (50)：
  • Hideo NAGAI. Optimal consumption-investment under partial information in conditionally log-Gaussian models. Probability, Uncertainty and Quantitative Risk. 2023. 8. 95-120
  • H. Hata, H. Nagai, S.J. Sheu. An optimal consumption problem for general factor models. SIAM Journal on Control and Optimization. 2018. vol. 56 (5) 3149-3183
  • Hideo Nagai. Robust estimates of certain large deviation probabilities for controlled semi-martingales. Banach Center Publications. 2015. vol. 105 , pp.161-194
  • Hideo Nagai. H-J-B Equations of Optimal Consumption-Investment and Verification Theorems. Applied Mathematics and Optimization. 2015. 71. 2. 279-311
  • Hideo Nagai. Large deviation estimates for controlled semi-martingales. World Scientific・Interdisciplinary Mathematical Sciences Vol. 17 : Festschrift Mastoshi Fukushima. 2015. 453-478
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MISC (4)：
  • Nagai Hideo. Downside risk minimization and large deviation control. Engineering & technology. 2012. 19. 49-53
  • 長井 英生. "制御項を含む大偏差確率の評価とエルゴード型H-J-B 方程式". 日本数学会秋季総合分科会. 2011
  • 長井 英生. "確率制御の立場から見た数理ファイナンス". 日本数学会2003 年会,. 2003
  • 長井 英生. "リスク鋭感的確率制御問題とその特異極限". 日本数学会統計数学分科会. 1997
Books (4)：
  • Risk-Sensitive Stochastic Control
    Encyclopedia of Systems and Control, Springer-Verlag 2015
  • Risk-sensitive asset management, Encyclopedia of Quantitative Finance,
    Encyclopedia of Quantitative Finance, John Wiley & Sons Ltd. Chichester, UK. 2010
  • 金融工学
    大阪大学出版会 2003
  • 確率微分方程式
    共立出版 1999
Lectures and oral presentations  (70)：
  • HJB equations of stochastic control with exponential type criteria
    (ISCIE 53rd International Symposium on Stochastic Systems Theory and Its Applications 2021)
  • Large deviation control under model uncertainty
    (SIAM Conference on Control and Its Applications 2019)
  • Structure of HJB equations ruling over large deviation control
    (Probability Uncertainty and Quantitative Risk)
  • Large deviation control and the effective domains of the rate functions
    (International Conference and Symposium on the Role of Mathematical Finance on Fin Tech Business, National Institute for Mathematical Science, Daejeon, Korea 2018)
  • Ergodic Control, Risk-sensitive Control and Large deviation Control
    (2018)
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Education (3)：
  • 1976 - Osaka University Graduate School, Division of Natural Science
  • 1975 - Osaka University Graduate School, Division of Natural Science
  • - 1973 Kyoto University Faculty of Science
Professional career (1)：
  • 理学博士
Work history (8)：
  • 2012/04 - 2021/03 Kansai University Faculty of Engineering Science
  • 1995/04 - 2012/03 Osaka University Graduate School of Engineering Science, Department of Systems Innovation Division of Mathematical Science for Social Systems
  • 1989 - 1995 Nagoya University
  • 1989 - 1995 Nagoya University, Associate Professor
  • 1986 - 1989 The University of Tokushima
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Committee career (2)：
  • 2000/04 - 2002/03 統計数学分科会評議員
  • 1979 - 1981 「数学」常任編集委員
Awards (1)：
  • 2010/09/24 - 日本数学会 日本数学会解析学賞
Association Membership(s) (3)：
SIAM ,  日本応用数理学会 ,  日本数学会
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