| Presentation | 2007-03-05 On the Control of Tail Distribution of Evaluation Functions described by Variables having Jump Diffusion Processes by using the Time-invariant variables and its Applications Yoshikazu IKEDA, Shozo TOKINAGA, |
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| Abstract(in Japanese) | (See Japanese page) |
| Abstract(in English) | This report deals with the control of tail distribution of evaluation functions described by variables having jump diffusion processes by using the time-invariant variables and its applications. As a basic model, we assume that the evaluation function can be described by using state variables some of which include jump diffusion processes. Then, we show the optimization problem to compensate the bad effect of state variables by changing the weight among variables is reduced to a stochastic dynamics programming which is solved by Lagrangian relaxation method. At the same time, we give an approximate formula for the evaluation function when the time passed, and then show the optimization scheme to control the tail distribution within the restriction. As simulation studies, we show example to impose piecewise linear changing of weights among state variables. |
| Keyword(in Japanese) | (See Japanese page) |
| Keyword(in English) | Jump diffusion processes / stochastic dynamics programming / Control of tail distribution |
| Paper # | NLP2006-150 |
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| Committee | NLP |
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| Conference Date | 2007/2/26(1days) |
| Place (in Japanese) | (See Japanese page) |
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| Topics (in Japanese) | (See Japanese page) |
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| Registration To | Nonlinear Problems (NLP) |
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| Language | JPN |
| Title (in Japanese) | (See Japanese page) |
| Sub Title (in Japanese) | (See Japanese page) |
| Title (in English) | On the Control of Tail Distribution of Evaluation Functions described by Variables having Jump Diffusion Processes by using the Time-invariant variables and its Applications |
| Sub Title (in English) | |
| Keyword(1) | Jump diffusion processes |
| Keyword(2) | stochastic dynamics programming |
| Keyword(3) | Control of tail distribution |
| 1st Author's Name | Yoshikazu IKEDA |
| 1st Author's Affiliation | Faculty of Economics, Shinshu University() |
| 2nd Author's Name | Shozo TOKINAGA |
| 2nd Author's Affiliation | Graduate School of Economics, Kyushu University |
| Date | 2007-03-05 |
| Paper # | NLP2006-150 |
| Volume (vol) | vol.106 |
| Number (no) | 573 |
| Page | pp.pp.- |
| #Pages | 6 |
| Date of Issue | |