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J-GLOBAL ID:201201079750964183
Update date: Jan. 14, 2025 Hiroaki Hata
ハタ ヒロアキ | Hiroaki Hata
Affiliation and department: Job title:
教授
Homepage URL (1): https://sites.google.com/view/hiroaki-hatas-page/hiroaki-hata?authuser=0 Research field (2):
Applied mathematics and statistics
, Basic mathematics
Research keywords (4):
Policy improvement algorithm
, Hamilton-Jacobi-Bellman方程式(偏微分方程式)
, Mathematical Finance
, Stochastic control
Research theme for competitive and other funds (6): Papers (29): -
Hiroaki Hata, Kazuhiro Yasuda. Policy improvement algorithm for an optimal consumption and investment problem under a certain nonlinear stochastic factor model. ICIAM2023 SPRINGER SERIES ``Recent Developments in Stochastic Numerics and Computational Finance". 2024
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Hiroaki Hata, Kazuhiro Yasuda. Expected power utility maximization of insurers. Asia-Pacific Financial Markets. 2024. 31. 3. 543-577
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Hiroaki Hata. A long-term optimal consumption and investment problem with partial information. Mathematical Control and Related Fields. 2024. 14. 3. 867-895
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Hiroaki Hata, Kazuhiro Yasuda. Expected power utility maximization with delay for insurers under the 4/2 stochastic volatility model. Mathematical Control & Related Fields. 2024. 14. 1. 16-50
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畑宏明, 安田和弘. 確率的ファクタモデル下での最適消費・投資問題に対するPIA. 京都大学数理解析研究所講究録. 2023. 2246
more... Books (4): - 改訂新版 すぐわかる確率・統計
東京図書 2024 ISBN:9784489024191
- 改訂新版 すぐわかる微分方程式
東京図書 2023 ISBN:9784489024207
- 改訂新版 すぐわかる線形代数
東京図書 2023 ISBN:9784489024122
- 改訂新版 すぐわかる微分積分
東京図書 2023 ISBN:9784489024023
Lectures and oral presentations (54): -
Optimal investment and reinsurance of insurers with a nonlinear stochastic factor model
(Stochastic optimal transport and related topics 2025)
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一般的な非線形確率ファクターモデルを用いた最適消費投資問題とその方策改善アルゴリズム
(日本数学会2024年度秋季統計数学分科会 2024)
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Expected exponential utility maximization problem with a nonlinear factor model and its policy improvement algorithm
(Korea-Japan Mathematical Finance Conference 2024)
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Optimal investment and reinsurance of insurers with a nonlinear stochastic factor model
(Korea-Japan Mathematical Finance Conference 2024)
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Policy improvement algorithm for an optimal consumption and investment problem under general stochastic factor models
(The 8th Asian Quantitative Finance Conference 2024)
more... Education (6): Professional career (2): - 工学(修士) (大阪大学)
- 博士(理学) (大阪大学)
Awards (1): - JAFEE Best Paper Award 2013 (2013年度JAFEE論文賞【理論部門】)
Association Membership(s) (2):
THE JAPAN SOCIETY FOR INDUSTRIAL AND APPLIED MATHEMATICS
, The Mathematical Society of Japan
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