ヒライ　ユウキ   Yuki Hirai   平井　祐紀    所属   追手門学院大学  理工学部 数理・データサイエンス学科    職種   助教
発表年月日	2022/09/14
発表テーマ	Linear integral equations with additive noise in the pathwise Itô calculus
会議名	日本数学会秋季総合分科会
発表形式	口頭（一般）
開催地名	北海道大学
開催期間	2022/09/13～2022/09/16
発表者・共同発表者	平井祐紀
概要	The Itô–Föllmer calculus, pioneered by Föllmer (1981), is a deterministic counterpart of classical Itô's stochastic calculus. In this talk, we treat linear integral equations with additive noise in the framework of the Itô–Föllmer calculus in Banach spaces. We interpret the term 'noise' as a càdlàg path that has quadratic variation along a sequence of partitions. We give a solution to such an equation by the variation of constants formula and study the regularity of the solution path using that representation. As an application, we consider a purely pathwise approach to the HJM term structure model of bond markets.