立命館大学数理科学科 » 2015年度 http://www.math.ritsumei.ac.jp/home2 立命館大学理工学部数理科学科です。幅広い領域での数学の研究・活用を通して人類の福祉と発展に貢献できる人材を育成することを目標としています。 Thu, 21 May 2026 04:16:43 +0000 ja hourly 1 https://wordpress.org/?v=3.9.40 Math-Fi seminar on 28 Mar. http://www.math.ritsumei.ac.jp/home2/?p=771 http://www.math.ritsumei.ac.jp/home2/?p=771#comments Wed, 23 Mar 2016 07:15:24 +0000 http://www.math.ritsumei.ac.jp/?p=771
  • Date : 28 Mar. (Mon.)
  • Place: W.W. 7th-floor, 4th lab.
  • Time : 16:30-18:00
  • Speaker: Marie Kratz (ESSEC, Paris)
    • Title: On Risk Concentration
    • Abstract: We study the local behavior of (extreme) quantiles of the sum of heavy-tailed random variables, to infer on risk concentration. Looking at the literature, asymptotic (for high threshold) results have been obtained when assuming (asymptotic) independence and second order regularly varying conditions on the variables. Other asymptotic results have been obtained in the dependent case when considering specific copula structures.
      Our contribution is to investigate on one hand, the non-asymptotic case (i.e. for any threshold), providing analytical results on the risk concentration for copula models that are used in practice, and comparing them with results obtained via Monte-Carlo method. On the other hand, when looking at extreme quantiles, we assume a multivariate second order regular variation condition on the vectors and provide asymptotic risk concentration results. We show that many models used in practice come under the purview of such an assumption and provide a few examples.
      Moreover this ties up related results available in the literature under a broad umbrella. 
      This presentation is based on two joint works, one with M. Dacorogna and L. Elbahtouri (SCOR), the other with B. Das (SUTD, Singapore). 
    ]]>     http://www.math.ritsumei.ac.jp/home2/?feed=rss2&p=771 0     Math-Fi seminar on 10 Mar. http://www.math.ritsumei.ac.jp/home2/?p=789 http://www.math.ritsumei.ac.jp/home2/?p=789#comments Sun, 06 Mar 2016 05:09:17 +0000 http://www.math.ritsumei.ac.jp/?p=789
  • Date : 10 Mar. (Thu.)
  • Place: W.W. 7th-floor, 4th lab.
  • Time : 16:30-18:00
  • Speaker: Hiroshi Tsukada (Osaka City University)
    • Title: Tanaka formula for Lévy processes
    ]]>     http://www.math.ritsumei.ac.jp/home2/?feed=rss2&p=789 0     Math-Fi seminar on 3 Mar. http://www.math.ritsumei.ac.jp/home2/?p=791 http://www.math.ritsumei.ac.jp/home2/?p=791#comments Mon, 29 Feb 2016 05:17:38 +0000 http://www.math.ritsumei.ac.jp/?p=791
  • Date : 3 Mar. (Thu.)
  • Place: W.W. 7th-floor, 4th lab.
  • Time : 16:30-18:00
  • Speaker: Miguel Martinez (Universite Marne La-Vallee)
    • Title: Bouncing skew brownian motions
    ]]>     http://www.math.ritsumei.ac.jp/home2/?feed=rss2&p=791 0     Math-Fi seminar on 18 Feb. http://www.math.ritsumei.ac.jp/home2/?p=793 http://www.math.ritsumei.ac.jp/home2/?p=793#comments Sun, 14 Feb 2016 05:24:27 +0000 http://www.math.ritsumei.ac.jp/?p=793
  • Date : 18 Feb. (Thu.)
  • Place: W.W. 7th-floor, 4th lab.
  • Time : 16:30-18:00
  • Speaker: hoang long ngo (Hanoi National University of Education)
    • Title: Piecewise linear Euler-Maruyama approximation for stochastic functional differential equations with non-linear coefficients
    ]]>     http://www.math.ritsumei.ac.jp/home2/?feed=rss2&p=793 0     Math-Fi seminar on 10 Feb. http://www.math.ritsumei.ac.jp/home2/?p=796 http://www.math.ritsumei.ac.jp/home2/?p=796#comments Sat, 06 Feb 2016 05:48:07 +0000 http://www.math.ritsumei.ac.jp/?p=796
  • Date : 10 Feb. (Wed.)
  • Place: W.W. 7th-floor, 4th lab.
  • Time : 17:00-18:30
  • Speaker: Yoshio Miyahara (Nagoya City University)
    • Title: Risk sensitive value measure method and its applications
    ]]>     http://www.math.ritsumei.ac.jp/home2/?feed=rss2&p=796 0     Math-Fi seminar on 21 Jan. http://www.math.ritsumei.ac.jp/home2/?p=797 http://www.math.ritsumei.ac.jp/home2/?p=797#comments Tue, 19 Jan 2016 05:52:55 +0000 http://www.math.ritsumei.ac.jp/?p=797
  • Date : 21 Jan. (Thu.)
  • Place: W.W. 7th-floor, 4th lab.
  • Time : 16:30-18:00
  • Speaker: Dai Taguchi (Ritsumeikan University)
    • Title: Euler-Maruyama scheme with Hölder continuous diffusion coefficient
    ]]>     http://www.math.ritsumei.ac.jp/home2/?feed=rss2&p=797 0     Math-Fi seminar on 7 Jan. http://www.math.ritsumei.ac.jp/home2/?p=799 http://www.math.ritsumei.ac.jp/home2/?p=799#comments Mon, 04 Jan 2016 06:00:22 +0000 http://www.math.ritsumei.ac.jp/?p=799
  • Date : 7 Jan. (Thu.)
  • Place: W.W. 7th-floor, 4th lab.
  • Time : 16:30-18:00
  • Speaker: Takafumi Amaba (Ritsumeikan University)
    • Title: holder continuity of a diffusion local time
    ]]>     http://www.math.ritsumei.ac.jp/home2/?feed=rss2&p=799 0     Math-Fi seminar on 24 Dec. http://www.math.ritsumei.ac.jp/home2/?p=801 http://www.math.ritsumei.ac.jp/home2/?p=801#comments Tue, 22 Dec 2015 06:09:06 +0000 http://www.math.ritsumei.ac.jp/?p=801
  • Date : 24 Dec. (Thu.)
  • Place: W.W. 7th-floor, 4th lab.
  • Time : 16:30-18:00
  • Speaker: Daisuke Shiraishi (Kyoto U/ETHZ)
    • Title: 低次元ブラウン運動の分解
    ]]>     http://www.math.ritsumei.ac.jp/home2/?feed=rss2&p=801 0     Math-Fi seminar on 10 Dec. http://www.math.ritsumei.ac.jp/home2/?p=803 http://www.math.ritsumei.ac.jp/home2/?p=803#comments Mon, 07 Dec 2015 06:18:36 +0000 http://www.math.ritsumei.ac.jp/?p=803
  • Date : 10 Dec. (Thu.)
  • Place: W.W. 7th-floor, 4th lab.
  • Time : 16:30-18:00
  • Speaker: Yoshihiro Ryu (Ritsumeikan University)
    • Title: An Introduction to Giry Monad Part III
    ]]>     http://www.math.ritsumei.ac.jp/home2/?feed=rss2&p=803 0     Math-Fi seminar on 3 Dec. http://www.math.ritsumei.ac.jp/home2/?p=805 http://www.math.ritsumei.ac.jp/home2/?p=805#comments Mon, 30 Nov 2015 06:24:19 +0000 http://www.math.ritsumei.ac.jp/?p=805
  • Date : 3 Dec. (Thu.)
  • Place: W.W. 7th-floor, 4th lab.
  • Time : 16:30-18:00
  • Speaker: Yoshihiro Ryu (Ritsumeikan University)
    • Title: An Introduction to Giry Monad Part III
    ]]>     http://www.math.ritsumei.ac.jp/home2/?feed=rss2&p=805 0