H. Nagai

发表

Bellman equations of risk sensitive control

H. Nagai, 1995, Proceedings of 1995 34th IEEE Conference on Decision and Control.

Some Results on Risk-Sensitive Control with Full Observation

A. Bensoussan, H. Nagai, J. Frehse, 1995 .

Conditions for No Breakdown and Bellman Equations of Risk-Sensitive Control

A. Bensoussan, H. Nagai, 2000 .

Risk-sensitive portfolio optimization on infinite time horizon

H. Nagai, Kazutaka Kuroda, 2002 .

Risk-Sinsitive Dynamic Portfolio Optimization with Partial Information on Infinite Time Horizon

S. Peng, H. Nagai, 2002 .

An ergodic control problem arising from the principal eigenfunction of an elliptic operator

A. Bensoussan, H. Nagai, 1991 .

Ergodic type Bellman equation of risk-sensitive control and portfolio optimization on infinite time horizon

H. Nagai, Kazutaka Kuroda, 2001 .

Asymptotics of the probability minimizing a "down-side" risk

S. Sheu, H. Nagai, H. Hata, 2010, 1001.2131.

H–J–B Equations of Optimal Consumption-Investment and Verification Theorems

H. Nagai, 2015 .

Bellman Equations of Risk-Sensitive Control

H. Nagai, 1996 .

Bellman–Isaacs equations of ergodic type related to risk‐sensitive control and their singular limits

H. Nagai, Hidehiro Kaise, 1998 .

Min-Max Characterization of a Small Noise Limit on Risk-Sensitive Control

A. Bensoussan, H. Nagai, 1997 .

Expected Log-Utility Maximization Under Incomplete Information and with Cox-Process Observations

Wolfgang J. Runggaldier, Hideo Nagai, W. Runggaldier, 2014 .

Large deviation estimates for controlled semi-martingales

H. Nagai, 2015 .

Asymptotics of the probability of minimizing ‘down-side’ risk under partial information

H. Nagai, 2011 .

On an optimal stopping problem and a variational inequality

H. Nagai, 1978 .

Risk‐Sensitive Asset Management

H. Nagai, 2010 .

Risk-sensitive Portfolio Optimization with Full and Partial Information

H. Nagai, 2004 .

H–J–B Equations of Optimal Consumption-Investment and Verification Theorems

H. Nagai, 2014, Applied Mathematics & Optimization.

An ergodic control problem on whole Euclidean space

A. Bensoussan, H. Nagai, 1989 .

Expected Log-Utility Maximization Under Incomplete Information and with Cox-Process Observations

W. Runggaldier, H. Nagai, Kazufumi Fujimoto, 2013, Asia-Pacific Financial Markets.

Expected Power-Utility Maximization Under Incomplete Information and with Cox-Process Observations

W. Runggaldier, H. Nagai, Kazufumi Fujimoto, 2012, Applied Mathematics & Optimization.

Title Impulsive control of symmetric Markov processesand quasi-variational inequalities

H. Nagai, 2022 .

On an Asymptotic Property of Spectra of a Random Difference Operator

H. Nagai, M. Fukushima, S. Nakao, 1975 .

On an exponential character of the spectral distribution function of a random difference operator

H. Nagai, 1977 .

Extremal holomorphic diffusion processes

H. Nagai, 1993 .

Ergodic control problems arising from portfolio optimization for factor models (Viscosity Solutions of Differential Equations and Related Topics)

H. Nagai, 2002 .

Risk-Sensitive Optimal Investment Problems with Partial Information on Infinite Time Horizon

S. Peng, H. Nagai, 2001 .

Optimal Strategies for Ergodic Control Problems Arising from Portfolio Optimization

H. Nagai, 2002 .

Non zero-sum stopping games of symmetric Markov processes

Hideo Nagai, H. Nagai, 1987 .

Optimal Strategies for Risk-Sensitive Portfolio Optimization Problems for General Factor Models

Hideo Nagai, H. Nagai, 2002, SIAM J. Control. Optim..

Asymptotic analysis for variational inequalities and its application to optimal stopping

H. Nagai, 1988 .

Ergodic control problems on the whole Euclidean space and convergence of symmetric diffusions

H. Nagai, 1992 .