Zobrazeno 1 - 10
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pro vyhledávání: '"Shigeyoshi Ogawa"'
Autor:
Shigeyoshi Ogawa
Publikováno v:
Japan Journal of Industrial and Applied Mathematics. 40:1305-1328
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::d6c701a58f7817c6bbd78b2f14f583c6
https://doi.org/10.1007/s13160-023-00575-w
https://doi.org/10.1007/s13160-023-00575-w
Based around recent lectures given at the prestigious Ritsumeikan conference, the tutorial and expository articles contained in this volume are an essential guide for practitioners and graduates alike who use stochastic calculus in finance.Among the
This volume contains the contributions to a conference that is among the most important meetings in financial mathematics. Serving as a bridge between probabilists in Japan (called the Ito School and known for its highly sophisticated mathematics) an
Autor:
Shigeyoshi Ogawa
Publikováno v:
Japan Journal of Industrial and Applied Mathematics. 39:801-814
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::3f7aa950717c41736e12d6e19bb908a1
https://doi.org/10.1007/s13160-022-00508-z
https://doi.org/10.1007/s13160-022-00508-z
This book contains 17 articles on stochastic processes (stochastic calculus and Malliavin calculus, functionals of Brownian motions and Lévy processes, stochastic control and optimization problems, stochastic numerics, and so on) and their applicati
Autor:
Shigeyoshi Ogawa
Publikováno v:
Japan Journal of Industrial and Applied Mathematics. 40:755-756
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::5d36ee4b6a3eedda00147968c315cac5
https://doi.org/10.1007/s13160-022-00528-9
https://doi.org/10.1007/s13160-022-00528-9
Autor:
Shigeyoshi Ogawa
Publikováno v:
Japan Journal of Industrial and Applied Mathematics. 37:103-114
We are concerned with a noncausal approach to the numerical evaluation of the stochastic integral $$\int f\ dW_t$$ with respect to Brownian motion. Viewed as a special case of the numerical solution (in strong sense) of the SDE, it may be believed th
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::b7cc0ec6eec0991024bc0300d179de4b
https://doi.org/10.1007/s13160-019-00386-y
https://doi.org/10.1007/s13160-019-00386-y
Autor:
Hideaki Uemura, Shigeyoshi Ogawa
Publikováno v:
Stochastics. 91:514-527
In this note, we study the reconstruction problem in wide sense of a noncausal function f(t,ω) from its stochastic Fourier coefficients (SFCs in abbr.). We employ Ogawa integral and orthonormal basis of exponential functions {en(t)=exp(2π−1nt)
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::a287feaa23e52b2a2089e3349e0a5d85
https://doi.org/10.1080/17442508.2018.1551397
https://doi.org/10.1080/17442508.2018.1551397
Autor:
Shigeyoshi Ogawa
Publikováno v:
Sankhya A. 80:267-279
The stochastic Fourier transform, or SFT for short, is an application that transforms a square integrable random function f(t, ω) to a random function defined by the following series; ${\mathcal T}_{\epsilon , \varphi }f(t,\o ):= {\sum }_{n} \epsilo
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::2a0a7d3709255b102504675e2a343f02
https://doi.org/10.1007/s13171-018-0128-8
https://doi.org/10.1007/s13171-018-0128-8
Autor:
Shigeyoshi Ogawa
Publikováno v:
Sankhya A. 78:304-323
Brownian particle equation, BPE for short, is a class of stochastic partial differential equations of the first order that include the white noise as coefficients, at least in their principal part. This class of SPDEs was introduced by the author as
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::aa0728d05f33a567e786b2f9bcb0374c
https://doi.org/10.1007/s13171-016-0087-x
https://doi.org/10.1007/s13171-016-0087-x