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Publication List - Yumiharu Nakano (78 entries)
Journal Paper
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K. Endo,
Y. Nakano.
Weak approximation of Schrödinger-Föllmer diffusion,
Statist. Probab. Lett.,
Vol. 113,
May 2024.
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Y. Nakano.
A kernel-based method for Schrödinger bridges,
arXiv:2310.14522[math.OC],
Aug. 2023.
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Yumiharu Nakano.
Inverse stochastic optimal controls,
Automatica,
Vol. 149,
Jan. 2023.
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Yuki Kinoshita,
Yumiharu Nakano.
Kernel-based collocation methods for Heath-Jarrow-Morton models with Musiela parametrization,
Stochastics,
Sept. 2020.
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Yumiharu Nakano.
Kernel-based collocation methods for Zakai equations,
Stochastics and Partial Differential Equations: Analysis and Computations,
Jan. 2019.
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Yumiharu Nakano.
Kernel-based collocation methods for Zakai equations,
arXiv:1710.09090[Math.NA],
Oct. 2017.
Official location
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Yumiharu Nakano.
Convergence of meshfree collocation methods for fully nonlinear parabolic equations,
Numerische Mathematik,
Volume 136,
pp. 703-723,
July 2017.
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Yumiharu Nakano.
On quadratic approximations for Hamilton-Jacobi-Bellman equations,
Automatica,
Volume 66,
Page 205-217,
Apr. 2016.
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Masashi Ieda,
Takashi Yamashita,
Yumiharu Nakano.
A liability tracking portfolio for pension fund management,
Proceedings of the 46th ISCIE International Symposium on Stochastic Systems Theory and Its Applications,
pp. 112-117,
May 2015.
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Yumiharu Nakano.
Quasi-Monte Carlo methods for Choquet integrals,
Journal of Computational and Applied Mathematics,
Volume 287,
Page 63-66,
Apr. 2015.
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Atsushi Iizuka,
Yumiharu Nakano.
On historical value-at-risk under distribution uncertainty,
Journal of Mathematical Finance,
Vol. 5,
pp. 103-108,
Apr. 2015.
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Yumiharu Nakano.
An approximation scheme for stochastic controls in continuous time,
Japan Journal of Industrial and Applied Mathematics,
Oct. 2014.
Official location
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Masashi Ieda,
Takashi Yamashita,
Yumiharu Nakano.
A liability tracking approach to long term management of pension funds,
Journal of Mathematical Finance,
Vol. 3,
pp. 392-400,
Aug. 2013.
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Yumiharu Nakano.
An approximation scheme for optimal stochastic control problems (Financial Modeling and Analysis),
数理解析研究所講究録,
京都大学,
Vol. 1818,
pp. 148-157,
Dec. 2012.
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Yumiharu Nakano.
On approximating law-invariant comonotonic coherent risk measures,
Astin Bulletin,
Vol. 42,
pp. 343-353,
2012.
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Yumiharu Nakano.
Partial hedging for defaultable claims,
Adv. Math. Econ.,
Vol. 14,
pp. 127-145,
Dec. 2010.
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Yumiharu Nakano.
Quantile hedging for defaultable claims,
Recent Advances in Financial Engineering: Proceedings of the KIER-TMU International Workshop on Financial Engineering 2009,
World Scientific,
p. 219-230,
June 2010.
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Akihiko Inoue,
Yumiharu Nakano.
Remark on optimal investment in a market with memory,
Theory of Stochastic Processes,
Vol. 13,
pp. 66-76,
2007.
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Akihiko Inoue,
Yumiharu Nakano,
Vo Anh.
Binary market models with memory,
Statistics & Probability Letters,
Vol. 77,
pp. 256-264,
2007.
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Akihiko Inoue,
Yumiharu Nakano.
Optimal long term investment model with memory,
Applied Mathematics and Optimization,
Vol. 55,
93-122,
2007.
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Yumiharu Nakano.
Mean-risk optimization for index tracking,
Statistics and Decisions,
Vol. 24,
pp. 189-207,
2006.
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Akihiko Inoue,
Yumiharu Nakano,
Vo Anh.
Linear filtering of systems with memory and application to finance,
Journal of Applied Mathematics and Stochastic Analysis,
2006.
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Yumiharu Nakano.
Minimization of shortfall risk in a jump-diffusion model,
Statistics & Probability Letters,
Vol. 67,
pp. 87-95,
2004.
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Yumiharu Nakano.
Efficient hedging with coherent risk measure,
Journal of Mathematical Analysis and Applications,
Vol. 293,
pp. 345-354,
2004.
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Yumiharu Nakano.
Minimizing coherent risk measures of shortfall in discrete-time models under cone constraints,
Applied Mathematical Finance,
Vol. 10,
pp. 163-181,
2003.
Book
International Conference (Reviewed)
International Conference (Not reviewed / Unknown)
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Y. Nakano.
A kernel-based method for Schrödinger bridges,
10th International Congress on Industrial and Applied Mathematics,
Aug. 2023.
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Yumiharu Nakano.
Inverse problems for continuous-time stochastic optimal controls,
The 53rd ISCIE International Symposium on Stochastic Systems Theory and Its Applications,
Oct. 2021.
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Yumiharu Nakano.
Inverse stochastic optimal controls,
SIAM Conference on Control and Its Applications,
July 2021.
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Yumiharu Nakano.
Convergent collocation methods for fully nonlinear parabolic equations,
CJK Conference on Numerical Mathematics,
Aug. 2018.
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Yumiharu Nakano.
A collocation method for Zakai equations,
SIAM Conference on Control & Its Applications,
2015.
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Yumiharu Nakano.
An approximation scheme for optimal stochastic control problems,
The 44th ISCIE International Symposium on Stochastic Systems Theory and Its Applications,
2012.
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Yumiharu Nakano.
An approximation scheme for optimal stochastic control problems,
Workshop: The statistical Physics of Inference and Control Theory,
2012.
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Yumiharu Nakano.
Optimal hedging for defaultable claims,
International Workshop on Mathematical Finance ``Topics on Leading-edge Numerical Procedures and Models'',
2010.
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Yumiharu Nakano.
On the design of catastrophe bonds,
CREST and Sakigake International Symposium: Asymptotic Statistics, Risk and Computation in Finance and Insurance 2010,
2010.
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Yumiharu Nakano.
Optimal dynamic risk diversification and insurance pricing,
CMAP seminar,
2008.
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Yumiharu Nakano.
On the shortfall risk minimization with average value at risk,
Workshop on Mathematical Finance and Stochastic Control,
2006.
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Yumiharu Nakano.
Minimizing coherent risk measures of shortfall under portfolio constraints,
International Symposium on Stochastic Processes and Mathematical Finance,
2002.
Domestic Conference (Not reviewed / Unknown)
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Yumiharu Nakano.
非線形放物型PDEに対するカーネル選点法の収束について,
次世代の科学技術を支える数値解析学の基盤整備と応用展開,
Nov. 2018.
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Yumiharu Nakano.
線形・非線形放物型偏微分方程式に対するメッシュフリー選点法,
東大数値解析セミナー,
Oct. 2017.
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Yumiharu Nakano.
動径基底関数による非線形フィルターの近似,
日本数学会秋季総合分科会,
Sept. 2016.
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Yumiharu Nakano.
動径基底関数による連続時間非線形フィルターの近似,
日本応用数理学会2016年度年会,
Sept. 2016.
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Yumiharu Nakano.
非線形放物型PDEに対するメッシュフリー法の収束について,
2014年度日本応用数理学会年会,
2014.
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Yumiharu Nakano.
非線形放物型PDEに対するメッシュフリー法の収束について,
数理ファイナンスセミナー,
2014.
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Yumiharu Nakano.
確率制御問題の数値解法について,
金融工学・数理計量ファイナンスの諸問題2012,
2012.
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Yumiharu Nakano.
An approximation scheme for optimal control problems,
ファイナンスの数理解析とその応用,
2012.
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Yumiharu Nakano.
Approximating Average Value-at-Risk,
諸分野との協働による数理科学のフロンティア,
2010.
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Yumiharu Nakano.
Quantile Hedging for Defaultable Claims,
数理経済学研究センター研究集会「経済の数理解析」,
2009.
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Kei Fukuda,
Akihiko Inoue,
Yumiharu Nakano.
Premium Calculation and Optimal Intertemporal Risk Diversification,
Surikaisekikenkyusho Kokyuroku,
Vol. 1580,
pp. 150-162,
2008.
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Yumiharu Nakano.
動的なリスク分散による保険料計算原理について,
統計数学セミナー,
2008.
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Akihiko Inoue,
Yumiharu Nakano,
Kei Fukuda.
効用等値価格による保険料計算,
日本保険・年金リスク学会 平成19年度第1回研究会,
2007.
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Yumiharu Nakano.
リスク尺度によるポートフォリオ最適化について,
理論応用力学講演会,
2007.
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Yumiharu Nakano.
On the shortfall risk minimization with average value at risk,
金融工学シンポジウム,
2006.
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Yumiharu Nakano.
Mean-risk optimization for index tracking,
東京確率論セミナー,
2006.
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Yumiharu Nakano.
Mean-risk optimization for index tracking,
九州確率論セミナー,
2006.
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Yumiharu Nakano.
Mean-risk optimization for index tracking,
金融工学2005科研費研究集会,
2006.
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Yumiharu Nakano.
Mean-risk optimization for index tracking,
阪大確率論セミナー,
2006.
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Yumiharu Nakano.
リスク尺度による価格付けについて,
金融工学・数理・計量ファイナンスの諸問題,
2006.
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Yumiharu Nakano.
Optimal long-term investment in a model with memory,
阪大確率論セミナー,
2005.
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Yumiharu Nakano.
Optimal long-term investment in a model with memory,
金融工学2004科研費研究集会,
2005.
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Yumiharu Nakano.
Optimal long-term investment in a model with memory,
数学総合若手研究集会,
2005.
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Yumiharu Nakano.
Mean-risk optimization for index tracking,
金融工学と数理ファイナンスの諸問題,
2005.
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Yumiharu Nakano.
Linear filtering of systems with memory,
日本数学会統計数学分科会,
2004.
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Yumiharu Nakano.
ある非マルコフ型二項市場モデルについて,
日本数学会統計数学分科会,
2004.
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Yumiharu Nakano.
Minimization of shortfall risk in a jump-diffusion model,
日本数学会統計数学分科会,
2003.
-
Yumiharu Nakano.
Minimizing coherent risk measures of shortfall in discrete time models with short-selling constraints,
日本数学会統計数学分科会,
2002.
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Yumiharu Nakano.
Minimization of the shortfall risk in a jump-diffusion model,
数理ファイナンスと確率制御,
2002.
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Yumiharu Nakano.
Efficient hedging with coherent risk measure,
日本数学会統計数学分科会,
2001.
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Yumiharu Nakano.
Minimizing coherent risk measures of shortfall in incomplete markets,
理財工学研究センターシンポジウム 「数理ファイナンスとシミュレーション技術」,
2001.
Other Publication
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Yumiharu Nakano.
カーネル選点法によるZakai方程式の数値解析,
システム/制御/情報,
Vol. 64,
No. 7,
pp. 258-263,
July 2020.
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Yumiharu Nakano.
非線形偏微分方程式に対するカーネル選点法,
応用数理,
Vol. 4,
pp. 18-25,
Dec. 2019.
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Yumiharu Nakano.
Convergent collocation methods for nonlinear parabolic equations,
arXiv:1803.09446[Math.NA],
Apr. 2019.
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takafumi kanamori,
YOSHIYUKI KABASHIMA,
Misako Takayasu,
Yumiharu Nakano,
Mituhiro Fukuda,
Naoto Miyoshi,
Makoto Yamashita,
SUMIO WATANABE.
東京工業大学情報理工学院数理・計算科学系―情報の未来を作り出す数理的アプローチを探究する―,
オペレーションズ・リサーチ,
Vol. 64,
No. 1,
pp. 31-32,
Jan. 2019.
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Yumiharu Nakano.
On a law of large numbers for insurance risks,
2015.
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Yumiharu Nakano.
On the design of catastrophe bonds,
2011.
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Kei Fukuda,
Akihiko Inoue,
Yumiharu Nakano.
Dynamic risk diversification and insurance premium principles,
2008.
Degree
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