論文

• K. Endo, Y. Nakano. Weak approximation of Schrödinger-Föllmer diffusion, Statist. Probab. Lett., Vol. 113, May 2024.
• Y. Nakano. A kernel-based method for Schrödinger bridges, arXiv:2310.14522[math.OC], Aug. 2023.
• Yumiharu Nakano. Inverse stochastic optimal controls, Automatica, Vol. 149, Jan. 2023.
• Yuki Kinoshita, Yumiharu Nakano. Kernel-based collocation methods for Heath-Jarrow-Morton models with Musiela parametrization, Stochastics, Sept. 2020.
• Yumiharu Nakano. Kernel-based collocation methods for Zakai equations, Stochastics and Partial Differential Equations: Analysis and Computations, Jan. 2019.
• Yumiharu Nakano. Kernel-based collocation methods for Zakai equations, arXiv:1710.09090[Math.NA], Oct. 2017.  公式リンク  
  
• Yumiharu Nakano. Convergence of meshfree collocation methods for fully nonlinear parabolic equations, Numerische Mathematik, Volume 136, pp. 703-723, July 2017.
• Yumiharu Nakano. On quadratic approximations for Hamilton-Jacobi-Bellman equations, Automatica, Volume 66, Page 205-217, Apr. 2016.
• 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.
• Yumiharu Nakano. Quasi-Monte Carlo methods for Choquet integrals, Journal of Computational and Applied Mathematics, Volume 287, Page 63-66, Apr. 2015.
• Atsushi Iizuka, Yumiharu Nakano. On historical value-at-risk under distribution uncertainty, Journal of Mathematical Finance, Vol. 5, pp. 103-108, Apr. 2015.
• Yumiharu Nakano. An approximation scheme for stochastic controls in continuous time, Japan Journal of Industrial and Applied Mathematics, Oct. 2014.  公式リンク  
  
• 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.
• 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.
• Yumiharu Nakano. On approximating law-invariant comonotonic coherent risk measures, Astin Bulletin, Vol. 42, pp. 343-353, 2012.
• Yumiharu Nakano. Partial hedging for defaultable claims, Adv. Math. Econ., Vol. 14, pp. 127-145, Dec. 2010.
• 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.
• Akihiko Inoue, Yumiharu Nakano. Remark on optimal investment in a market with memory, Theory of Stochastic Processes, Vol. 13, pp. 66-76, 2007.
• Akihiko Inoue, Yumiharu Nakano, Vo Anh. Binary market models with memory, Statistics & Probability Letters, Vol. 77, pp. 256-264, 2007.
• Akihiko Inoue, Yumiharu Nakano. Optimal long term investment model with memory, Applied Mathematics and Optimization, Vol. 55, 93-122, 2007.
• Yumiharu Nakano. Mean-risk optimization for index tracking, Statistics and Decisions, Vol. 24, pp. 189-207, 2006.
• Akihiko Inoue, Yumiharu Nakano, Vo Anh. Linear filtering of systems with memory and application to finance, Journal of Applied Mathematics and Stochastic Analysis, 2006.
• Yumiharu Nakano. Minimization of shortfall risk in a jump-diffusion model, Statistics & Probability Letters, Vol. 67, pp. 87-95, 2004.
• Yumiharu Nakano. Efficient hedging with coherent risk measure, Journal of Mathematical Analysis and Applications, Vol. 293, pp. 345-354, 2004.
• Yumiharu Nakano. Minimizing coherent risk measures of shortfall in discrete-time models under cone constraints, Applied Mathematical Finance, Vol. 10, pp. 163-181, 2003.

著書

• 井上昭彦, 中野張, 福田敬. ファイナンスと保険の数理, 岩波書店, Aug. 2014.

国際会議発表 (査読有り)

• Yumiharu Nakano. Convergent collocation methods for Hamilton-Jacobi-Bellman equations, The 23rd International Symposium on Mathematical Theory of Networks and Systems, July 2018.

国際会議発表 (査読なし・不明)

• Y. Nakano. A kernel-based method for Schrödinger bridges, 10th International Congress on Industrial and Applied Mathematics, Aug. 2023.
• Yumiharu Nakano. Inverse problems for continuous-time stochastic optimal controls, The 53rd ISCIE International Symposium on Stochastic Systems Theory and Its Applications, Oct. 2021.
• Yumiharu Nakano. Inverse stochastic optimal controls, SIAM Conference on Control and Its Applications, July 2021.
• Yumiharu Nakano. Convergent collocation methods for fully nonlinear parabolic equations, CJK Conference on Numerical Mathematics, Aug. 2018.
• Yumiharu Nakano. A collocation method for Zakai equations, SIAM Conference on Control & Its Applications, 2015.
• Yumiharu Nakano. An approximation scheme for optimal stochastic control problems, The 44th ISCIE International Symposium on Stochastic Systems Theory and Its Applications, 2012.
• Yumiharu Nakano. An approximation scheme for optimal stochastic control problems, Workshop: The statistical Physics of Inference and Control Theory, 2012.
• Yumiharu Nakano. Optimal hedging for defaultable claims, International Workshop on Mathematical Finance ``Topics on Leading-edge Numerical Procedures and Models'', 2010.
• Yumiharu Nakano. On the design of catastrophe bonds, CREST and Sakigake International Symposium: Asymptotic Statistics, Risk and Computation in Finance and Insurance 2010, 2010.
• Yumiharu Nakano. Optimal dynamic risk diversification and insurance pricing, CMAP seminar, 2008.
• Yumiharu Nakano. On the shortfall risk minimization with average value at risk, Workshop on Mathematical Finance and Stochastic Control, 2006.
• Yumiharu Nakano. Minimizing coherent risk measures of shortfall under portfolio constraints, International Symposium on Stochastic Processes and Mathematical Finance, 2002.

国内会議発表 (査読なし・不明)

• 中野張. 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.
• 中野張. 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.
• 中野張. 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.
• 中野張. 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.
• 中野張. 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.
• 中野張. 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.
• 中野張. 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.
• 中野張. An approximation scheme for optimal control problems, ファイナンスの数理解析とその応用, 2012.
• 中野張. 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.
• 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.
• Kei Fukuda, Akihiko Inoue, Yumiharu Nakano. Premium Calculation and Optimal Intertemporal Risk Diversification, Surikaisekikenkyusho Kokyuroku, Vol. 1580, pp. 150-162, 2008.
• 中野張. 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.
• 井上昭彦, 中野張, 福田 敬. 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.
• 中野張. 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.
• 中野張. On the shortfall risk minimization with average value at risk, 金融工学シンポジウム, 2006.
• 中野張. Mean-risk optimization for index tracking, 東京確率論セミナー, 2006.
• 中野張. Mean-risk optimization for index tracking, 九州確率論セミナー, 2006.
• 中野張. Mean-risk optimization for index tracking, 金融工学2005科研費研究集会, 2006.
• 中野張. Mean-risk optimization for index tracking, 阪大確率論セミナー, 2006.
• 中野張. 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.
• 中野張. Optimal long-term investment in a model with memory, 阪大確率論セミナー, 2005.
• 中野張. Optimal long-term investment in a model with memory, 金融工学2004科研費研究集会, 2005.
• 中野張. Optimal long-term investment in a model with memory, 数学総合若手研究集会, 2005.
• 中野張. Mean-risk optimization for index tracking, 金融工学と数理ファイナンスの諸問題, 2005.
• 中野張. Linear filtering of systems with memory, 日本数学会統計数学分科会, 2004.
• 中野張. 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.
• 中野張. Minimization of shortfall risk in a jump-diffusion model, 日本数学会統計数学分科会, 2003.
• 中野張. 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.
• 中野張. Minimization of the shortfall risk in a jump-diffusion model, 数理ファイナンスと確率制御, 2002.
• 中野張. Efficient hedging with coherent risk measure, 日本数学会統計数学分科会, 2001.
• 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.

その他の論文・著書など

• 中野張. 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.
• 中野張. 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.
• Yumiharu Nakano. Convergent collocation methods for nonlinear parabolic equations, arXiv:1803.09446[Math.NA], Apr. 2019.
• 金森敬文, 樺島祥介, 高安美佐子, 中野 張, 福田光浩, 三好直人, 山下 真, 渡邊澄夫. 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.
• Yumiharu Nakano. On a law of large numbers for insurance risks, 2015.
• Yumiharu Nakano. On the design of catastrophe bonds, 2011.
• Kei Fukuda, Akihiko Inoue, Yumiharu Nakano. Dynamic risk diversification and insurance premium principles, 2008.

学位論文

• Optimal hedging in the presence of shortfall risk,  Thesis,  Doctor (Science),  Hokkaido University,  2005/03/--, 

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