井上昭彦のホームページ

English / Japanese
 
広島大学・先進理工系科学研究科・数学プログラム
〒739-8526　東広島市鏡山１丁目３番１号
E-mail: inoue100　に続いて　@hiroshima-u.ac.jp

研究テーマ

有限予測における表現定理, テプリッツ行列, 記憶を持つ確率過程, 数理ファイナンス, タウバー型定理

論文

  1. A. Inoue and J. Yang, Approximations of inverse block Toeplitz matrices and Baxter-type theorems for long-memory processes, submitted. arxiv:2304.00470.
  2. A. Inoue, Representation theorems in finite prediction, with applications [English Translation of the Japanese Original], Sugaku Expositions 36 (2023), 173-197.
  3. A. Inoue, Explicit formulas for the inverses of Toeplitz matrices, with applications, Probability Theory and Related Fields 185 (2023), 513-552 . Open Access
  4. A. Inoue, Closed-form expression for finite predictor coefficients of multivariate ARMA processes, Journal of Multivariate Analysis 176 (2020), 104578. arxiv:1805.04820.
  5. A. Inoue, Representation theorems in finite prediction, with applications (Japanese), Sugaku 71 (2019), 302-324.
  6. A. Inoue and Y. Kasahara, Simple matrix representations of the orthogonal polynomials for a rational spectral density on the unit circle, Journal of Mathematical Analysis and Applications 464 (2018), 1366-1374.
  7. A. Inoue, Y. Kasahara and M. Pourahmadi, Baxter's inequality for finite predictor coefficients of multivariate long-memory stationary processes, Bernoulli 24 (2018), 1202-1232. Open Access
  8. A. Inoue, Y. Kasahara and M. Pourahmadi, The intersection of past and future for multivariate stationary processes, Proceedings of the American Mathematical Society 144 (2016), 1779-1786. arXiv:1501.00625
  9. Y. Kasahara, A. Inoue and M. Pourahmadi, Rigidity for matrix-valued Hardy functions, Integral Equations and Operator Theory 84 (2016), 289-300.
  10. A. Inoue, S. Moriuchi and Y. Nakamura, A Vasicek-type short rate model with memory effect, Stochastic Analysis and Applications 33 (2015), 1068-1082. arXiv:1504.01542
  11. A. Inoue and V. Anh, Prediction of fractional processes with long-range dependence, Hokkaido Mathematical Journal 41 (2012), 157-183. arXiv:0708.3631
  12. N. H. Bingham, A. Inoue and Y. Kasahara, An explicit representation of Verblunsky coefficients, Statistics & Probability Letters 82 (2012), 403-410. arXiv:1109.4513
  13. Y. Kasahara, M. Pourahmadi and A. Inoue, Duals of random vectors and processes with applications to prediction problems with missing values, Statistics & Probability Letters 79 (2009), 1637-1646. pdf
  14. A. Inoue, Y. Kasahara and P. Phartyal, Baxter's inequality for fractional Brownian motion-type processes with Hurst index less than 1/2, Statistics & Probability Letters 78 (2008), 2889-2894. pdf
  15. A. Inoue, AR and MA representation of partial autocorrelation functions, with applications, Probability Theory and Related Fields 140 (2008), 523-551. pdf
  16. K. Fukuda, A. Inoue and Y. Nakano, Optimal intertemporal risk allocation applied to insurance pricing. arXiv:0711.1143
  17. A. Inoue and Y. Nakano, Remark on optimal investment in a market with memory, Theory of Stochastic Processes 13 (2007), 66-76. pdf
  18. A. Inoue and V. Anh, Prediction of fractional Brownian motion-type proesses, Stochastic Analysis and Applications 25 (2007), 641-666. pdf
  19. A. Inoue and Y. Nakano, Optimal long-term investment model with memory, Applied Mathematics and Optimization 55 (2007), 93-122. pdf
  20. A. Inoue, Y. Nakano and V. Anh, Binary market models with memory, Statistics & Probability Letters 77 (2007), 256-264. pdf
  21. M. Pourahmadi, A. Inoue and Y. Kasahara, A Prediction Problem in L^2(w), Proceedings of the American Mathematical Society 135 (2007), 1233-1239. pdf
  22. A. Inoue and Y. Kasahara, Explicit representation of finite predictor coefficients and its applications, The Annals of Statistics 34 (2006), 973-993. Open Access
  23. A. Inoue, Y. Nakano and V. Anh, Linear filtering of systems with memory and application to finance, Journal of Applied Mathematics and Stochastic Analysis, (2006), Art. ID 53104, 26 pp. pdf
  24. V. Anh and A. Inoue, Financial markets with memory I: Dynamic models, Stochastic Analysis and Applications 23 (2005), 275-300. pdf
  25. V. Anh, A. Inoue and Y. Kasahara, Financial markets with memory II: Innovation processes and expected utility maximization, Stochastic Analysis and Applications 23 (2005), 301-328. pdf
  26. V. Anh and A. Inoue, Prediction of fractional Brownian motion with Hurst index less than 1/2, Bulletin of the Australian Mathematical Society 70 (2004), 321-328.
  27. A. Inoue and Y. Kasahara, Partial autocorrelation functions of the fractional ARIMA processes with negative degree of differencing, Journal of Multivariate Analysis 89 (2004), 135-147. pdf
  28. A. Inoue, On the worst conditional expectation, Journal of Mathematical Analysis and Applications 286 (2003), 237-247. pdf
  29. A. Inoue, Asymptotic behavior for partial autocorrelation functions of fractional ARIMA processes, The Annals of Applied Probability 12 (2002), 1471-1491. pdf
  30. N. H. Bingham and A. Inoue, Extension of the Drasin-Shea-Jordan theorem, Journal of the Mathematical Society of Japan 52 (2000), 545-559. pdf
  31. N. H. Bingham and A. Inoue, Tauberian and Mercerian theorems for systems of kernels, Journal of Mathematical Analysis and Applications 252 (2000), 177-197. pdf
  32. N. H. Bingham and A. Inoue, Abelian, Tauberian, and Mercerian theorems for arithmetic sums, Journal of Mathematical Analysis and Applications 250 (2000), 465-493. pdf
  33. A. Inoue and Y. Kasahara, Asymptotics for prediction errors of stationary processes with reflection positivity, Journal of Mathematical Analysis and Applications 250 (2000), 299-319. pdf
  34. A. Inoue, Asymptotics for the partial autocorrelation function of a stationary process, Journal d'Analyse Mathematique 81 (2000), 65-109. pdf
  35. A. Inoue and H. Kikuchi, Abel-Tauber theorems for Hankel and Fourier transforms and a problem of Boas, Hokkaido Mathematical Journal 28 (1999), 577-596. pdf
  36. A. Inoue and Y. Kasahara, On the asymptotic behavior of the prediction error of a stationary process, in Trends in Probability and Related Analysis (Taipei, 1998), 207-218, World Sci. Publishing, River Edghe, NJ, 1999. pdf
  37. N. H. Bingham and A. Inoue, Ratio Mercerian theorems with applications to Hankel and Fourier transforms, Proceedings of the London Mathematical Society (3) 79 (1999), 626-648.
  38. N. H. Bingham and A. Inoue, An Abel-Tauber theorem for Hankel transforms, in Trends in probability and related analysis (Taipei, 1996), 83-90, World Sci. Publishing, River Edge, NJ, 1997.
  39. N. H. Bingham and A. Inoue, The Drasin-Shea-Jordan theorem for Fourier and Hankel transforms, The Quarterly Journal of Mathematics. Oxford Series (2) 48 (1997), 279-307.
  40. A. Inoue, Regularly varying correlation functions and KMO-Langevin equations, Hokkaido Mathematical Journal 26 (1997), 457-482. pdf
  41. A. Inoue, Abel-Tauber theorems for Fourier-Stieltjes coefficients, Journal of Mathematical Analysis and Applications 211 (1997), 460-480.
  42. A. Inoue, An Abel-Tauber theorem for Fourier sine transforms, J. Math. Sci. Univ. Tokyo 2 (1995), 303-309.
  43. A. Inoue, On Abel-Tauber theorems for Fourier cosine transforms, Journal of Mathematical Analysis and Applications 196 (1995), 764-776.
  44. Y. Okabe and A. Inoue, The theory of KM2O-Langevin equations and applications to data analysis. II. Causal analysis (1), Nagoya Mathematical Journal 134 (1994), 1-28.
  45. A. Inoue, On the equations of stationary processes with divergent diffusion coefficients, Journal of the Faculty of Science. University of Tokyo. Section IA. Mathematics 40 (1993), 307-336. pdf
  46. Y. Okabe and A. Inoue, On the exponential decay of the correlation functions for KMO-Langevin equations, Japanese Journal of Mathematics. New Series 18 (1992), 13-24.
  47. A. Inoue, The Alder-Wainwright effect for stationary processes with reflection positivity. II. Osaka Journal of Mathematics 28 (1991), 537-561.
  48. A. Inoue, The Alder-Wainwright effect for stationary processes with reflection positivity, Journal of the Mathematical Society of Japan 43 (1991), 515-526.
  49. A. Inoue, Path integral for diffusion equations, Hokkaido Mathematical Journal 15 (1986), 71-99.

著書

　

【岩波数学叢書】

ファイナンスと保険の数理

井上昭彦・中野張・福田敬　著

単行本: 464ページ

出版社: 岩波書店

発行日： 2014年8月28日

目次（詳細版）を見る

正誤表（2023年12月14日）

第1章は数理ファイナンス入門で，必要となる確率論の基本事項が全てはじめから書かれているなど，予備知識無しで読むことができ，学部のセミナーなどに適しています．この第1章は確率論入門と見ることもできます．第2章は初学者向けの確率解析のコースで，数学的な厳密さを保ちつつ，焦点を絞り丁寧な説明を心がけています．この第2章の最後では，保険において有用となる，不連続点を持つ確率過程に対する確率解析も整備されています．第3章は，ブラック・ショールズ・モデルや金利の期間構造モデルを．．．．．．（以下略）

その他

  1. 井上 昭彦, 過去と未来の交わり, 2015年. 広島大学・理学研究科HP, 研究者への軌跡
  2. 井上 昭彦, 偏相関関数, Rokko Lectures in Mathematics 16, 2005年. pdf
  3. 井上 昭彦, 数学の世界にいて思ったこと , 2024年. 広島大学理学部通信