Yushi Hamaguchi / 濱口 雄史
Associate Professor / 准教授
Department of Mathematics, Graduate School of Science, Kyoto University / 京都大学大学院理学研究科 数学・数理解析専攻
Room 803, Graduate School of Science Bldg. No.6, Kyoto University / 京都大学理学部6号館803号室
E-mail: hamaguchi "at" math.kyoto-u.ac.jp
Research interests / 研究分野
probability theory, stochastic differential equation, stochastic Volterra equation, stochastic control, time-inconsistency, mathematical finance
確率論, 確率微分方程式, 確率Volterra方程式, 確率制御, 時間非整合性, 数理ファイナンス
Sep 29 - Oct 3. Time-inconsistent consumption-investment problems in incomplete markets under general discount functions. UQ-Osaka Workshop on Financial Mathematics and Economics, University of Queensland. [Invited]
Nov 21-22, 2025. 第12回確率論とPDE研究集会, 津田塾大学小平キャンパス. [Invited]
May 31 - Jun 3, 2026 (tentative). Workshop on Mathematical Finance and Related Topics, Jeju Island. [Invited]
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 Fellow (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 Fellow (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.
Event coordination / 研究集会運営
Oct, 2025 - present. Kyoto Mathematics Colloquium / 京大数学談話会
Apr, 2024 - present. Kansai Probability Seminar / 関西確率論セミナー
Dec 23-26, 2024. 2024年度確率論シンポジウム
May, 2021 - Mar, 2024. 大阪大学確率論セミナー
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
Y. Hamaguchi, Global maximum principle for optimal control of stochastic Volterra equations with singular kernels: An infinite dimensional approach. Journal of Differential Equations, 446, 113618. [arXiv:2503.07514]
Y. Hamaguchi and D. Taguchi, A generalized coupling approach for the weak approximation of stochastic functional differential equations. [arXiv:2412.18523] [preprint]
Y. Hamaguchi and A.S.L. Tse, Periodic portfolio selection with quasi-hyperbolic discounting. [arXiv:2410.18240] [preprint]
Y. Hamaguchi, Weak well-posedness of stochastic Volterra equations with completely monotone kernels and nondegenerate noise. The Annals of Applied Probability, 35(2), 1442-1488, 2025. [arXiv:2310.16030]
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]
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]
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]
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]
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]
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]
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]
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]
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]
Y. Hamaguchi, Small-time solvability of a flow of forward-backward stochastic differential equations. Applied Mathematics & Optimization, 84, 567-588, 2021. [arXiv:1902.11178]
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。
Sep 26, 2025. Markovian lifts of stochastic Volterra equations. Online seminar, UC Berkeley. [Invited]
Sep 9, 2025. Markovian lifts of stochastic Volterra equations. Stochastic Analysis and Application Research Center Colloquium, KAIST. [Invited]
Sep 2-4, 2025. 確率Volterra方程式に関する最適制御と大域的最大原理. 日本応用数理学会2025年度年会, 東京理科大学.
Jun 26, 2025. Global maximum principle for optimal control of stochastic Volterra equations. UQ-Osaka Seminar on Financial Mathematics and Economics. [Invited]
May 24-28, 2025. Global maximum principle for optimal control of stochastic Volterra equations with singular kernels. Workshop on Mathematical Finance at Seoul, Seoul National University. [Invited]
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.