Studies on Optimal Stopping Theory and Its Applications to Financial Economics and Engineering

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Ohnishi mainly studied the theory and applications of optimal stopping problems and optimal stopping games appeared in the pricing of interest rate derivatives. Tabata mainly studied the pricing of derivatives under stochastic Verhulst-Gompertz processes. Nishihara mainly studied the theory of the optimal stopping problems of multi-dimensional diffusion processes, and their applications to the real option problems. Yamazaki studied the theory of the optimal stopping problems and optimal stopping games of Levy processes with negative jumps, and their various applications to financial economics and engineering, and operations research.All of the members published their research results in many international journals, and at various international conferences, workshops, symposia, seminars, and research meetings held in or outside of Japan.