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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):
  • 2024 - 2028 確率最適制御における再帰的効用最大化問題の新展開
  • 2020 - 2024 New developments in the problem of maximizing the expected utility of an insurer in stochastic optimal control.
  • 2015 - 2018 確率制御における最適消費・投資問題の新展開
  • 2013 - 2016 Stochastic control on a long term and its applications
  • 2011 - 2012 数理ファイナンスにおける確率制御・フィルタリングの方法の発展と応用 (分担)
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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
  • Hiroaki Hata, Kazuhiro Yasuda. Expected power utility maximization of insurers. Asia-Pacific Financial Markets. 2024. 31. 3. 543-577
  • Hiroaki Hata. A long-term optimal consumption and investment problem with partial information. Mathematical Control and Related Fields. 2024. 14. 3. 867-895
  • 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
  • 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)
  • 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)
  • Expected exponential utility maximization problem with a nonlinear factor model and its policy improvement algorithm
    (Korea-Japan Mathematical Finance Conference 2024)
  • Optimal investment and reinsurance of insurers with a nonlinear stochastic factor model
    (Korea-Japan Mathematical Finance Conference 2024)
  • 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):
  • - 2006 Osaka University
  • - 2006 Osaka University Graduate School, Division of Engineering Science
  • - 2002 Osaka University
  • - 2002 Osaka University Graduate School, Division of Engineering Science
  • - 2000 Osaka City University Faculty of Science Department of Mathematics
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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
※ Researcher’s information displayed in J-GLOBAL is based on the information registered in researchmap. For details, see here.

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