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Staff Introduction

TANIGUCHI, Setsuo / Professor

I have been studying and teaching Stochastic Analysis, especially Stochastic Complex Analysis. Just after Feynman developed his famous path integral, M. Kac pointed out that the Wiener integral is the counterpart to it. In particular, a stochastic oscillatory integral is the one to Feynman path integral representation of propagator. The asymptotic behavior of stochastic oscillatory integral relates to the semi-classical limits. I introduced a new complixification of the path space and established complex change of variables formulae. With these, I am studying the principle of stationary phase on the path space. I am also investigating the KdV equations via stochastic oscillatory integrals.

I have been teaching to graduate students about stochastic models appearing in Mathematical Finance. Moreover, in the joint work with the Nisshin Fire & Marine Insurance Co., I am investigating stochastic models in the non-life insurance.

 

Keywords Stochastic Analysis, Malliavin Calculus, Stochastic Differential Equation
Faculty , Department Faculty of Arts and Science