J. Sekine

发表

Explicit Solution to a Certain Non-ELQG Risk-sensitive Stochastic Control Problem

H. Hata, J. Sekine, 2010 .

Solving long term optimal investment problems with Cox-Ingersoll-Ross interest rates

H. Hata, J. Sekine, 2006 .

Bayesian Optimal Power-utility Grows Hyperbolically in the Long Run (Mathematical Economics)

H. Miyata, J. Sekine, 2012 .

Order estimates for the exact Lugannani–Rice expansion

Takashi Kato, J. Sekine, K. Yoshikawa, 2014, Japan Journal of Industrial and Applied Mathematics.

Stochastic modelling with randomized Markov bridges

A. Macrina, J. Sekine, 2014, Stochastics.

Long-term optimal portfolios with floor

J. Sekine, 2012, Finance and Stochastics.

Risk-Sensitive Asset Management in a Wishart-Autoregressive Factor Model with Jumps

H. Hata, J. Sekine, 2017, Asia-Pacific Financial Markets.

A note on long-term optimal portfolios under drawdown constraints

Jun Sekine, J. Sekine, 2006, Advances in Applied Probability.

Notes on Backward Stochastic Differential Equations for Computing XVA

Jun Sekine, Akihiro Tanaka, Akihiro Tanaka, 2020, Proceedings of the Forum "Math-for-Industry" 2018.

Long-Term Optimal Investment with a Generalized Drawdown Constraint

Jun Sekine, J. Sekine, 2013, SIAM J. Financial Math..

Information Geometry for Symmetric Diffusions

J. Sekine, 2001 .

Risk-Sensitive Asset Management in a Wishart-Autoregressive Factor Model with Jumps

H. Hata, J. Sekine, 2017 .

Stochastic Modelling with Randomised Markov Bridges

A. Macrina, J. Sekine, 2019 .

A One-Factor Conditionally Linear Commodity Pricing Model under Partial Information

Takashi Kato, J. Sekine, Hiromitsu Yamamoto, 2014, 1406.4275.

Dynamic Minimization of Worst Conditional Expectation of Shortfall

Jun Sekine, J. Sekine, 2004 .

Order estimates for the exact Lugannani–Rice expansion

Takashi Kato, J. Sekine, K. Yoshikawa, 2013, 1310.3347.

The Hilbert Riemannian structure of equivalent Gaussian measures associated with the Fisher information

J. Sekine, 1995 .