Employment / 職歴

• Apr, 2024 - Present. Associate Professor, Department of Mathematics, Graduate School of Science, Kyoto University

2024年4月 - 現在. 京都大学大学院理学研究科 数学・数理解析専攻, 准教授

• May, 2021 - Mar, 2024. Assistant Professor,  Department of Systems Innovation, Graduate School of Engineering Science, Osaka University

2021年5月 - 2024年3月. 大阪大学大学院基礎工学研究科 システム創成専攻, 助教

• Apr, 2021 - May, 2021. Research Fellowship for Young Scientists (PD), Japan Society for the Promotion of Science

2021年4月 - 2021年5月. 日本学術振興会特別研究員 (PD)

• Apr, 2018 - Mar, 2021. Research Fellowship for Young Scientists (DC1), Japan Society for the Promotion of Science

2018年4月 - 2021年3月. 日本学術振興会特別研究員 (DC1)

Education / 学歴

• Apr, 2018 - Mar, 2021. Department of Mathematics, Graduate School of Science, Kyoto University (Doctoral course)

2018年4月 - 2021年3月. 京都大学大学院理学研究科 数学・数理解析専攻 (博士課程)

• Apr, 2016 - Mar, 2018. Department of Mathematics, Graduate School of Science, Kyoto University (Master's course)

2016年4月 - 2018年3月. 京都大学大学院理学研究科 数学・数理解析専攻 (修士課程)

• Apr, 2012 - Mar, 2016. Faculty of Science, Kyoto University 

2012年4月 - 2016年3月. 京都大学理学部

Awards / 受賞歴

• Sep, 2023. MSJ Takebe Katahiro Prize, Studies on stochastic Volterra integral equations and related stochastic control problems. The Mathematical Society of Japan.

2023年9月. 日本数学会賞建部賢弘奨励賞, 確率ヴォルテラ積分方程式および関連した確率制御問題の研究. 日本数学会.

• Jul, 2023. 日本応用数理学会論文賞 (JJIAM部門), BSDEs driven by cylindrical martingales with application to approximate hedging in bond markets. 日本応用数理学会.

• Oct, 2021. SSS Young Author Prize, Infinite horizon optimal control problems of stochastic Volterra integral equations. The 53rd ISCIE International Symposium on Stochastic Systems Theory and Its Applications (SSS'21).

Grants / 競争的資金

• Apr, 2022 - Mar, 2027. Grants-in-Aid for Scientific Research, Grant-in-Aid for Early-Career Scientists, Japan Society for the Promotion of Science. Project: Stochastic Volterra integral equations and related control problems.

2022年4月 - 2027年3月. 日本学術振興会 科学研究費助成事業 若手研究. 研究課題: ヴォルテラ型確率積分方程式および関連する確率制御問題の研究.

• Apr, 2021 - Mar, 2024. Grants-in-Aid for Scientific Research Grant-in-Aid for JSPS Fellows, Grant-in-Aid for JSPS Fellows, Japan Society for the Promotion of Science. Project: Time-inconsistent stochastic control problems and related topics.

2021年4月 - 2024年3月. 日本学術振興会 科学研究費助成事業 特別研究員奨励費. 研究課題: 時間非整合性を考慮した確率制御問題に関する研究.

• Apr, 2018 - Mar, 2021. Grants-in-Aid for Scientific Research Grant-in-Aid for JSPS Fellows, Grant-in-Aid for JSPS Fellows, Japan Society for the Promotion of Science. Project: A study on the no-arbitrage condition and completeness of market models based on infinite dimensional stochastic analysis.

2018年4月 - 2021年3月. 日本学術振興会 科学研究費助成事業 特別研究員奨励費. 研究課題: 無限次元確率解析に基づくマーケットモデルの無裁定条件及び完備性に関する研究.

Conference / 研究集会

• Dec 23-26, 2024. 2024年度確率論シンポジウム

• Nov 30 - Dec 1, 2023. 中之島ワークショップ 金融工学・数理計量ファイナンスの諸問題 2023

• Feb 16-17, 2023. Osaka-UCL Mini-Workshop on Stochastics, Numerics and Risk

• Mar 15-18, 2022. UCL-Osaka International Conference on the Mathematics for Risk and Decisions

1. Y. Hamaguchi, Global maximum principle for optimal control of stochastic Volterra equations with singular kernels: An infinite dimensional approach. arXiv:2503.07514 [preprint]

2. Y. Hamaguchi and D. Taguchi, A generalized coupling approach for the weak approximation of stochastic functional differential equations. arXiv:2412.18523 [preprint]

3. Y. Hamaguchi and A.S.L. Tse, Periodic portfolio selection with quasi-hyperbolic discounting. arXiv:2410.18240 [preprint]

4. Y. Hamaguchi, Weak well-posedness of stochastic Volterra equations with completely monotone kernels and non-degenerate noise. Annals of Applied Probability, to appear. arXiv:2310.16030

5. Y. Hamaguchi, Markovian lifting and asymptotic log-Harnack inequality for stochastic Volterra integral equations. Stochastic Processes and their Applications, 178, 104482, 2024. arXiv:2304.06683

6. Y. Hamaguchi and T. Wang, Linear-quadratic stochastic Volterra controls II: Optimal strategies and Riccati—Volterra equations. ESAIM: Control, Optimisation and Calculus of Variations, 30, 48, 2024. arXiv:2204.10239

7. Y. Hamaguchi and T. Wang, Linear-quadratic stochastic Volterra controls I: Causal feedback strategies. Stochastic Processes and their Applications, 176, 104449, 2024. arXiv:2204.08333

8. Y. Hamaguchi, Variation of constants formulae for forward and backward stochastic Volterra integral equations. Journal of Differential Equations, 343, 332-389, 2023. arXiv:2112.01277

9. Y. Hamaguchi, On the maximum principle for optimal control problems of stochastic Volterra integral equations with delay. Applied Mathematics & Optimization, 87, 42, 2023. arXiv:2109.06092

10. Y. Hamaguchi, Infinite horizon backward stochastic Volterra integral equations and discounted control problems. ESAIM: Control, Optimisation and Calculus of Variations, 27, 101, 2021. arXiv:2105.02438

11. Y. Hamaguchi and D. Taguchi, Approximations for adapted M-solutions of Type-II backward stochastic Volterra integral equations. ESAIM: Probability and Statistics, 27, 19-79, 2023. arXiv:2102.08536

12. Y. Hamaguchi, Extended backward stochastic Volterra integral equations and their applications to time-inconsistent stochastic recursive control problems. Mathematical Control & Related Fields, 11, 197-242, 2021. arXiv:2004.14346

13. Y. Hamaguchi, Time-inconsistent consumption-investment problems in incomplete markets under general discount functions. SIAM Journal on Control and Optimization, 59, 2121-2146, 2021. arXiv:1912.01281

14. Y. Hamaguchi, Small-time solvability of a flow of forward-backward stochastic differential equations, Applied Mathematics & Optimization, 84, 567-588, 2021. arXiv:1902.11178

15. Y. Hamaguchi, BSDEs driven by cylindrical martingales with application to approximate hedging in bond markets. Japan Journal of Industrial and Applied Mathematics, 38, 425-453, 2021. arXiv:1806.04025

Others / その他

• 濱口雄史, 確率Volterra方程式の無限次元Markovリフト. 日本数学会2024年度年会 統計数学分科会特別講演 予稿. (in Japanese)

論文 [4,5] の内容に基づき、確率Volterra方程式の無限次元リフトに関する自身の結果をまとめてあります。

• Feb 25, 2025. 一般化カップリング法による経路依存型確率微分方程式の弱近似. 大分確率論セミナー, 大分大学. [Invited]

• Jan 23, 2025. A generalized coupling approach for the weak approximation of stochastic functional differential equations. 立命館数理ファイナンスセミナー, 立命館大学.

• Dec 18, 2024. Maximum principle for optimal control problems of stochastic Volterra equations with singular kernels. The 14th AIMS Conference, NYU Abu Dhabi. [Invited]

• Dec 11, 2024. ヴォルテラ型ガウス過程の無限次元リフト. 京都大学数学教室談話会, 京都大学.

• Dec 10, 2024. 確率Volterra方程式に関する最適制御と大域的最大原理: 無限次元リフトによるアプローチ. 大阪大学確率論セミナー, 大阪大学.

• Dec 4, 2024. A global maximum principle for optimal control of stochastic Volterra equations with singular kernels. 確率解析とその周辺, 埼玉県.

• Oct 18, 2024. A generalized coupling approach for the weak approximation of stochastic functional differential equations. Bloomsbury Probability Seminar, University College London. [Invited]

• Oct 17, 2024. Spike variations for stochastic Volterra equations with singular kernels. Joint Risk & Stochastics and Financial Mathematics seminar, London School of Economics and Political Science. [Invited]

• Oct 15, 2024. Markovian lifts of stochastic Volterra equations. Finance and Stochastics seminar, Imperial College London. [Invited]

• Sep 4, 2024. 一般化カップリング法による経路依存型確率微分方程式の弱近似. 日本数学会2024年度秋季総合分科会, 大阪大学.

• Aug 8, 2024. A generalized coupling approach for the weak approximation of stochastic functional differential equations. The Eighth Asian Quantitative Finance Conference, National Taipei University of Technology. [Invited]

• Apr 19, 2024. Uniqueness in law for stochastic Volterra equations. 関西確率論セミナー, 京都大学.

• Mar 17, 2024. 確率Volterra方程式の無限次元Markovリフト. 日本数学会2024年度年会 (統計数学分科会特別講演), 大阪公立大学. [Invited]

• Mar 5, 2024. 行動経済学の観点に基づく時間非整合なポートフォリオ選択問題. 日本応用数理学会第20回研究部会連合発表会, 長岡技術科学大学.

• Feb 17, 2024. 確率Volterra方程式の無限次元Markovリフトと漸近的対数Harnack不等式. マルコフ過程とその周辺, 鹿児島. [Invited]

• Jan 31, 2024. 確率Volterra方程式の無限次元Markovリフトと漸近的対数Harnack不等式. 福岡大学確率論セミナー, 福岡大学. [Invited]

• Jan 20, 2024. 確率Volterra方程式の弱解の存在と一意性, 関西大学確率論セミナー. 関西大学. [Invited]

• Dec 28, 2023. 確率Volterra方程式の弱解の存在と一意性. 確率論シンポジウム, 立命館大学.

• Dec 15, 2023. Infinite dimensional Markovian lifts of stochastic Volterra equations. 確率解析とその周辺, 熊本大学.

• Dec 1, 2023. 行動経済学の観点に基づく時間非整合なポートフォリオ選択問題. 中之島ワークショップ 金融工学・数理計量ファイナンスの諸問題 2023, 大阪. [Invited]

• Nov 17, 2023. 確率Volterra方程式の無限次元リフトとその応用, 九州確率論セミナー. 九州大学. [Invited]

• Nov 9, 2023. Weak well-posedness of stochastic Volterra integral equations. Stochastic Analysis, Kyoto University. [Invited]

• Sep 20, 2023. 確率Volterra積分方程式のMarkovリフトと漸近的対数Harnack不等式. 日本数学会2023年度秋季総合分科会, 東北大学.

• Sep 7, 2023. Markovian lifting and asymptotic log-Harnack inequality for stochastic Volterra integral equations (poster). Stochastic Processes and Related Fields, Kyoto University. [Invited]

• Sep 1, 2023. Markovian lifting and asymptotic log-Harnack inequality for stochastic Volterra integral equations. Statistics, modeling and operations research seminar, The University of Queensland. [Invited]

• Aug 30, 2023. Markovian Lifting and Asymptotic Log-Harnack Inequality for Stochastic Volterra Integral Equations. Stochastics around Finance, Kanazawa. [Invited]

• Jun 19, 2023. Markovian lifting and asymptotic log-Harnack inequality for stochastic Volterra integral equations. 東京確率論セミナー, 慶應義塾大学. [Invited]

• May 30, 2023. Markovian lifting and asymptotic log-Harnack inequality for stochastic Volterra integral equations. 大阪大学確率論セミナー, 大阪大学.

• Feb 17, 2023. Periodic portfolio selection under quasi hyperbolic discounting. Osaka-UCL Mini-Workshop on Stochastics, Numerics and Risk, Osaka University.

• Nov 10, 2022. LQ control problems for stochastic Volterra integral equations. Mathematics of Risk, University of Melbourne. [Invited]

• Sep 14, 2022. 線形確率ヴォルテラ積分方程式のカオス展開. 日本数学会 2022年度秋季総合分科会, 北海道大学.

• Jun 28, 2022. Open-loop equilibrium controls in time-inconsistent stochastic recursive control problems. The 9th International Colloquium on BSDEs and Mean Field Systems, Annecy. [Invited]

• May 14, 2022. LQ確率制御の基礎と発展. 岡山確率論セミナー, 岡山大学. [Invite]

• Apr 26, 2022. 確率Volterra積分方程式に関するLQ制御問題. 大阪大学確率論セミナー, 大阪大学.

• Mar 28, 2022. 線型な確率Volterra積分方程式の一般解法. 日本数学会2022年度年会, 埼玉大学.

• Mar 18, 2022. Open-loop Equilibrium Controls in Time-inconsistent Stochastic Recursive Control Problems. UCL-Osaka International Conference on the Mathematics for Risk and Decisions, online.

• Feb 21, 2022. Linear stochastic Volterra integral equations. 岡山確率解析ワークショップ 2022, online. [Invited]

• Dec 15, 2021. Optimal control for stochastic Volterra integral equations with delay. 確率論シンポジウム, online.

• Nov 4, 2021. Optimal control for stochastic Volterra integral equations. 確率解析とその周辺, online.

• Oct 31, 2021. Infinite horizon optimal control problems of stochastic Volterra integral equations. The 53rd ISCIE International Symposium on Stochastic Systems Theory and Its Applications (SSS '21), Ritsumeikan University. [Invited]

• Jul 9, 2021. Discounted optimal control problems of stochastic Volterra integral equations. 関西確率論セミナー, online.

• May 22, 2021. 無限時間後退確率Volterra積分方程式と確率制御. 関西大学確率論セミナー, online. [Invited]

• Apr 13, 2021. 後退確率Volterra積分方程式に関する近似定理. 大阪大学確率論セミナー, 大阪大学.

• Oct 31, 2020. 時間非整合性を考慮した確率制御問題 (poster). 異分野・異業種研究交流会, online.

• Nov 22, 2020. Time-inconsistent stochastic recursive control and backward stochastic Volterra integral equations. 日本数学会2020年度秋季総合分科会, online.

• Jun 12, 2020. Time-inconsistent stochastic recursive control and backward stochastic Volterra integral equations. 関西確率論セミナー, 京都大学.

• Mar 16, 2020. Time-inconsistent consumption-investment problems under general discount functions. 日本数学会2020年度年会 (中止), 日本大学.

• Feb 7, 2020. Time-inconsistent consumption-investment problems in incomplete markets. The 5th KTGU Mathematics Workshop for Young Researchers, Kyoto University.

• Feb 4, 2020. Time-inconsistent consumption-investment problems in incomplete markets. 大阪大学確率論セミナー, 大阪大学.

• Jan 17, 2020. Time-inconsistent consumption-investment problems in incomplete markets. 立命館数理ファイナンスセミナー, 立命館大学.

• Dec 17, 2019. 時間非整合的確率制御問題におけるナッシュ均衡戦略. 確率論シンポジウム, 慶應義塾大学.

• Dec 10, 2019. 時間非整合な選好を持つ投資家の効用最大化問題. 第11回白浜研究集会, 和歌山.

• Nov 1, 2019. A flow of forward-backward SDEs: Well-posedness and an approximation result. Probability and Topics Seminar, University of Central Florida. [Invited]

• Nov 18, 2019. Flow of forward-backward stochastic differential equations. 日本数学会2019年度秋季総合分科会, 金沢大学.

• Nov 3, 2019. Time-inconsistent stochastic control and a flow of forward-backward SDEs. Japanese-German Open Conference on Stochastic Analysis 2019, Fukuoka University.

• Aug 29, 2019. Time-inconsistent stochastic control and a flow of FBSDE. 2019年度確率論ヤングサマーセミナー, 宮城.

• Jun 5, 2019. Time-inconsistent stochastic control and a flow of forward-backward SDEs. 京大確率論セミナー, 京都大学.

• Jan 30, 2019. Foellmer--Schweizer decompositions in large financial markets: A BSDE approach. 丸の内QFセミナー, 首都大学東京. [Invited]

• Dec 8, 2018. Foellmer--Schweizer decompositions in large financial markets: A BSDE approach. 関西大学確率論セミナー, 関西大学. [Invited]

• Nov 23, 2018. Large financial marketにおけるFoellmer--Schweizer戦略の近似について. 第6回数理ファイナンス合宿型セミナー, 東京. [Invited]

• Nov 20, 2018. Finite-dimensional approximation of solutions of infinite-dimensional BSDEs. Probability seminar, Sun Yat-Sen University. [Invited]

• Nov 17, 2018. Finite-dimensional approximation of solutions of infinite-dimensional BSDEs. The Sixth Asian Quantitative Finance Conference, Sun Yat-Sen University.

• Nov 25, 2018. 無限次元後退確率微分方程式の解の有限次元近似. 日本数学会 2018年度秋季総合分科会, 岡山大学.

• Aug 21, 2018. 無限次元後退確率微分方程式の解の有限次元近似. 2018年度確率論ヤングサマーセミナー, 愛知県.

• Jun 25, 2018. BSDEs driven by cylindrical martingales with application to approximate hedging in bond markets. 東京確率論セミナー, 東京大学.

• Jun 8, 2018. BSDEs driven by cylindrical martingales with application to approximate hedging in bond markets. 関西確率論セミナー, 京都大学.

• May 29, 2018. BSDEs driven by cylindrical martingales with application to approximate hedging in bond markets. 大阪大学確率論セミナー, 大阪大学.

• Mar 5, 2018. Large financial marketにおける無裁定理論. 2018年度確率論早春セミナー, 神戸大学.

• Jan 17, 2018. Large financial marketにおける無裁定理論. 第9回白浜研究集会, 和歌山.

• Dec 11, 2017. Large financial marketにおける無裁定理論. 2017年度確率論シンポジウム, 東北大学.

• Oct 18, 2017. Arbitrage theory in large financial markets. 確率解析とその周辺, 立命館大学.

• Aug 8, 2017. 無限次元マーケットモデルにおける準無裁条件について. 2017年度確率論ヤングサマーセミナー, 岡山.

• Nov 29, 2017. PCS過程とバリアオプション. 第8回白浜研究集会, 和歌山.