Last updated: 25, Oct., 2023
Yushi Hamaguchi
Affiliation
- Division of Mathematical Science for Social Systems, Department of Systems Innovation, Graduate School of Engineering Science, Osaka University.
- Location: 1-3, Machikaneyama, Toyonaka, Osaka 560-8531, Japan.
Position
- Assistant Professor
Office
- I building, 402
Email addresses
- hamaguchi[atmark]sigmath.es.osaka-u.ac.jp (University)
- hmgch2950[atmark]gmail.com (Research)
Research fields
- Probability theory, stochastic control, mathematical finance.
Key words
- Stochastic Volterra integral equation, stochastic control, time-inconsistency.
Seminars
Curriculum Vitae
Degree
- Ph.D. in Science, Kyoto University, March, 2021.
- Thesis title: Extended backward stochastic Volterra integral equations and their applications to time-inconsistent stochastic recursive control problems
Educations
-
April, 2018 - March, 2021
- Top Global Course in Mathematics, Department of Mathematics, Graduate School of Science, Kyoto University (Doctor's course).
- Supervisor: Masanori Hino, Professor
- Co-supervisor: Jiongmin Yong, Professor (University of Central Florida)
-
April, 2016 - March, 2018
- Department of Mathematics, Graduate School of Science, Kyoto University (Master's course).
- Supervisor: Ichiro Shigekawa, Professor
-
April, 2012 - March, 2016
- Faculty of Science, Kyoto University.
Employments
-
May, 2021 - present
- Assistant Professor, Department of Systems Innovation, Graduate School of Engineering Science, Osaka University.
-
April, 2021 - May, 2021
- Japan Society for the Promotion of Science, Research Fellowship for Young Scientists (PD).
- Host institution: Department of Systems Innovation, Graduate School of Engineering Science, Osaka University.
-
April, 2018 - March, 2021
- Japan Society for the Promotion of Science, Research Fellowship for Young Scientists (DC1).
- Host institution: Department of Mathematics, Graduate School of Science, Kyoto University.
Grants
-
April, 2022 - March, 2027
- Grant-in-Aid for Early-Career Scientists (22K13958)
- Project: Stochastic Volterra integral equations and related control problems
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April, 2021 - March, 2024
- Grant-in-Aid for JSPS Fellows (21J00460)
- Project: Time-inconsistent stochastic control problems and related topics
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April, 2018 - March, 2021
- Grant-in-Aid for JSPS Fellows (18J20973)
- Project: A study on the no-arbitrage condition and completeness of market models based on infinite dimensional stochastic analysis
Awards
-
September, 2023
- MSJ Takebe Katahiro Prize for Encouragement of Young Researchers
- Title: Studies on stochastic Volterra integral equations and related stochastic control problems
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July, 2023
- 日本応用数理学会論文賞 (JJIAM部門)
- for the paper: BSDEs driven by cylindrical martingales with application to approximate hedging in bond markets (Japan Journal of Industrial and Applied Mathematics, 38, pp: 425–453, 2021)
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October, 2021
- SSS Young Author Prize
- The 53rd ISCIE International Symposium on Stochastic Systems Theory and Its Applications (SSS'21)
- Title: Infinite horizon optimal control problems of stochastic Volterra integral equations
Papers
Preprints (submitted)
- Weak well-posedness of stochastic Volterra equations with completely monotone kernels and non-degenerate noise
- arXiv:2310.16030 [Single author]
- Markovian lifting and asymptotic log-Harnack inequality for stochastic Volterra integral equations
- arXiv:2304.06683 [Single author]
- Linear-quadratic stochastic Volterra controls II: Optimal strategies and Riccati--Volterra equations
- arXiv:2204.10239 [Joint work with Tianxiao Wang (Sichuan University)]
- Linear-quadratic stochastic Volterra controls I: Causal feedback strategies
- arXiv:2204.08333 [Joint work with Tianxiao Wang (Sichuan University)]
Peer-reviewed papers
-
Variation of constants formulae for forward and backward stochastic Volterra integral equations
- Journal of Differential Equations, 343, pp: 332―389 (2023). arXiv:2112.01277 [Single author]
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On the maximum principle for optimal control problems of stochastic Volterra integral equations with delay
- Applied Mathematics and Optimization, 87:42 (2023). arXiv:2109.06092 [Single author]
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Infinite horizon backward stochastic Volterra integral equations and discounted control problems
- ESAIM: Control, Optimisation and Calculus of Variations, 27(101), 47 pages (2021). arXiv:2105.02438 [Single author]
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Approximations for adapted M-solutions of Type-II backward stochastic Volterra integral equations
- ESAIM: Probability and Statistics, 27, pp: 19―79 (2023). arXiv:2102.08536 [Joint work with Dai Taguchi (Kansai University)]
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Extended backward stochastic Volterra integral equations and their applications to time-inconsistent stochastic recursive control problems
- Mathematical Control and Related Fields, 11(2), pp: 197―242 (2021). arXiv:2004.14346 [Single author]
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Time-inconsistent consumption-investment problems in incomplete markets under general discount functions
- SIAM Journal on Control and Optimization, 59(3), pp: 2121―2146 (2021). arXiv:1912.01281 [Single author]
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Small-time solvability of a flow of forward-backward stochastic differential equations
- Applied Mathematics and Optimization, 84, pp: 567–588 (2021). arXiv:1902.11178 [Single author]
-
BSDEs driven by cylindrical martingales with application to approximate hedging in bond markets
- Japan Journal of Industrial and Applied Mathematics, 38, pp: 425–453 (2021). arXiv:1806.04025 [Single author]
Proceedings
-
時間非整合な選好を持つ投資家の効用最大化問題
- 第11回白浜研究集会報告集, pp:71—75 (2019).
-
Large financial marketにおける無裁定理論
- 第9回白浜研究集会報告集, pp: 72—81 (2018).
-
PCS過程とバリアオプション
- 第8回白浜研究集会報告集, pp: 82—86 (2016).
Presentations
International conferences
-
Markovian lifting and asymptotic log-Harnack inequality for stochastic Volterra integral equations
- Stochastic Processes and Related Fields, Kyoto University (Japan), September, 2023. (Invited, Poster)
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Markovian lifting and asymptotic log-Harnack inequality for stochastic Volterra integral equations
- Statistics, modeling and operations research seminar, The University of Queensland (Australia), September, 2023. (Invited)
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Markovian Lifting and Asymptotic Log-Harnack Inequality for Stochastic Volterra Integral Equations
- Stochastics around Finance, Kanazawa (Japan), August, 2023. (Invited)
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Periodic portfolio selection under quasi hyperbolic discounting
- Osaka-UCL Mini-Workshop on Stochastics, Numerics and Risk, Osaka University (Japan), February, 2023.
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LQ control problems for stochastic Volterra integral equations
- Mathematics of Risk 2022, The University of Melbourne (Australia), November, 2022. (Invited)
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Open-loop equilibrium controls in time-inconsistent stochastic recursive control problems
- The 9th International Colloquium on BSDEs and Mean Field Systems, Webinar, June, 2022. (Invited)
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Open-loop equilibrium controls in time-inconsistent stochastic recursive control problems
- UCL-Osaka International Conference on the Mathematics for Risk and Decisions, Webinar, March, 2022.
-
Infinite horizon optimal control problems of stochastic Volterra integral equations
- The 53rd ISCIE International Symposium on Stochastic Systems Theory and Its Applications (SSS '21), October, 2021. (Invited)
-
Time-inconsistent consumption-investment problems in incomplete markets
- The 5th KTGU Mathematics Workshop for Young Researchers, Kyoto University (Japan), February, 2020.
-
A flow of forward-backward SDEs: Well-posedness and approximation results
- Probability and Topics Seminar, University of Central Florida (USA), November, 2019.
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Time-inconsistent stochastic control and a flow of forward-backward SDEs
- Japanese-German Open Conference on Stochastic Analysis 2019, Fukuoka University (Japan), September, 2019.
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Finite-dimensional approximation of solutions of infinite-dimensional BSDEs
- Probability seminar, Sun Yat-Sen University (China), November, 2018.
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Finite-dimensional approximation of solutions of infinite-dimensional BSDEs
- The Sixth Asian Quantitative Finance Conference 2018, Guangzhou (China), November, 2018.
Domestic conferences
-
確率Volterra積分方程式のMarkovリフトと漸近的対数Harnack不等式
- 日本数学会2023年度秋季総合分科会, 東北大学, 2023年9月.
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Markovian lifting and asymptotic log-Harnack inequality for stochastic Volterra integral equations
- 東京確率論セミナー, 慶應義塾大学, 2023年6月. (招待)
-
Markovian lifting and asymptotic log-Harnack inequality for stochastic Volterra integral equations
- 大阪大学確率論セミナー, 大阪大学, 2023年5月.
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線形確率ヴォルテラ積分方程式のカオス展開
- 日本数学会2022年度秋季総合分科会, 北海道大学, 2022年9月.
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LQ確率制御の基礎と発展
- 岡山確率論セミナー, オンライン, 2022年5月. (招待)
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確率Volterra積分方程式に関するLQ制御問題
- 大阪大学確率論セミナー, 大阪大学, 2022年4月.
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線型な確率Volterra積分方程式の一般解法
- 日本数学会2022年度年会, アブストラクト公開, 2022年3月.
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Linear stochastic Volterra integral equations
- 岡山確率解析ワークショップ, オンライン, 2022年2月. (招待)
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Optimal control for stochastic Volterra integral equations with delay
- 確率論シンポジウム, オンライン, 2021年12月.
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Optimal control for stochastic Volterra integral equations
- 確率解析とその周辺, オンライン, 2021年11月.
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Discounted optimal control problems of stochastic Volterra integral equations
- 関西確率論セミナー, 京都大学, 2021年7月.
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無限時間後退確率Volterra積分方程式と確率制御
- 関西大学確率論セミナー, 関西大学, 2021年5月.
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後退確率Volterra積分方程式に関する近似定理
- 大阪大学確率論セミナー, 大阪大学, 2021年4月.
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時間非整合性を考慮した確率制御問題
- 異分野・異業種研究交流会2020, オンライン開催 (ポスター発表), 2020年10月.
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Time-inconsistent stochastic recursive control and backward stochastic Volterra integral equations
- 日本数学会2020年度秋季総合分科会, 熊本大学, 2020年9月.
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Time-inconsistent stochastic recursive control and backward stochastic Volterra integral equations
- 関西確率論セミナー, 京都大学, 2020年6月.
-
Time-inconsistent consumption-investment problems under general discount functions
- 日本数学会2020年度年会, 日本大学, 2020年3月.
-
Time-inconsistent consumption-investment problems in incomplete markets
- 大阪大学確率論セミナー, 大阪大学, 2020年2月.
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Time-inconsistent consumption-investment problems in incomplete markets
- 立命館数理ファイナンスセミナー, 立命館大学, 2020年1月 (招待).
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時間非整合的確率制御問題におけるナッシュ均衡戦略
- 2019年度確率論シンポジウム, 慶應義塾大学, 2019年12月.
-
時間非整合な選好を持つ投資家の効用最大化問題
- 第11回白浜研究集会, 紀州・白浜温泉 旅館むさし(和歌山県), 2019年12月.
-
Flow of forward-backward stochastic differential equations
- 日本数学会2019年度秋季総合分科会, 金沢大学, 2019年9月.
-
Time-inconsistent stochastic control and a flow of FBSDE
- 2019年度確率論ヤングサマーセミナー, 遠刈田温泉さんさ亭 (宮城県), 2019年8月.
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Time-inconsistent stochastic control and a flow of forward-backward SDEs
- 京大確率論セミナー, 京都大学, 2019年6月.
-
Foellmer-Schweizer decompositions in large financial markets: A BSDE approach
- 丸の内QFセミナー, 首都大学東京, 2019年1月 (招待).
-
Foellmer-Schweizer decompositions in large financial markets: A BSDE approach
- 関西大学確率論セミナー, 関西大学, 2018年12月 (招待講演).
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Large financial marketにおけるFoellmer-Schweizer戦略の近似について
- 第六回数理ファイナンス合宿型セミナー, リフレフォーラム (東京都), 2018年11月 (招待講演).
-
無限次元後退確率微分方程式の解の有限次元近似
- 日本数学会2018年度秋季総合分科会, 岡山大学, 2018年9月.
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無限次元後退確率微分方程式の解の有限次元近似
- 2018年度確率論ヤングサマーセミナー, 休暇村伊良湖 (愛知県), 2018年8月.
-
BSDEs driven by cylindrical martingales with application to approximate hedging in bond markets
- 東京確率論セミナー, 東京大学, 2018年6月 (招待講演).
-
BSDEs driven by cylindrical martingales with application to approximate hedging in bond markets
- 関西確率論セミナー, 京都大学, 2018年6月.
-
BSDEs driven by cylindrical martingales with application to approximate hedging in bond markets
- 大阪大学確率論セミナー, 大阪大学, 2018年5月.
-
Large financial marketにおける無裁定理論
- 2018年度確率論早春セミナー, 神戸大学, 2018年3月.
-
Large financial marketにおける無裁定理論
- 第9回白浜研究集会, 白浜御苑 (和歌山県), 2018年1月.
-
Large financial marketにおける無裁定理論
- 2017年度確率論シンポジウム, 東北大学, 2017年12月.
-
Arbitrage theory in large financial market
- 確率解析とその周辺, 立命館大学, 2017年10月.
-
無限次元マーケットモデルにおける準無裁定条件について
- 2017年度確率論ヤングサマーセミナー, 国民宿舎 良寛荘 (岡山県), 2017年8月.
-
PCS過程とバリアオプション
- 第8回白浜研究集会, 紀州・白浜温泉 旅館むさし (和歌山県), 2016年11月.