Basic Information

Faculty

• Faculty of Science

Email Address

• Email Address

  hamaguchi.yushi.6akyoto-u.ac.jp

Professional Memberships

• 日本応用数理学会
• 日本数学会

Academic Degree

• 26 Mar. 2018

  京都大学修士（理学）
• 23 Mar. 2021

  京都大学博士（理学）

Academic Resume (Undergraduate School/Majors)

• 京都大学, 理学部理学科, 卒業

Research History

• From Apr. 2024, To Present

  Kyoto University, Graduate School of Science Division of Mathematics, Associate Professor
• From May 2021, To Mar. 2024

  Osaka University, Graduate School of Engineering Science, Department of Systems Innovation, Division of Mathematical Science for Social Systems, Assistant Professor
• From Apr. 2021, To May 2021

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

  Japan Society for the Promotion of Science, Research Fellowship for Young Scientists (DC1)

ID,URL

• ORCID ID

  0000-0002-1204-8808

• J-Global ID

  202101011793929469

• Researcher number

  50914884

• External link

  https://sites.google.com/view/yushihamaguchi

researchmap URL

• https://researchmap.jp/hmgch2950

Research

Research Interests

• probability theory
• Stochastic differential equation
• Stochastic Volterra integral equation
• stochastic control
• Time-inconsistency
• mathematical finance

Research Areas

• Natural sciences, Applied mathematics and statistics
• Natural sciences, Basic analysis

Papers

• Global maximum principle for optimal control of stochastic Volterra equations with singular kernels: An infinite dimensional approach

  Yushi Hamaguchi

  preprint, Mar. 2025

  
• A generalized coupling approach for the weak approximation of stochastic functional differential equations

  Yushi Hamaguchi; Dai Taguchi

  preprint, Dec. 2024

  
• Periodic portfolio selection with quasi-hyperbolic discounting

  Yushi Hamaguchi; Alex S.L. Tse

  preprint, Oct. 2024

  
• Weak well-posedness of stochastic Volterra equations with completely monotone kernels and nondegenerate noise

  Yushi Hamaguchi

  The Annals of Applied Probability, 01 Apr. 2025, Peer-reviewed

  
• Markovian lifting and asymptotic log-Harnack inequality for stochastic Volterra integral equations

  Yushi Hamaguchi

  Stochastic Processes and their Applications, Sep. 2024, Peer-reviewed

  
• On the maximum principle for optimal control problems of stochastic Volterra integral equations with delay

  Yushi Hamaguchi

  Applied Mathematics & Optimization, 13 Mar. 2023, Peer-reviewed

  
• Variation of constants formulae for forward and backward stochastic Volterra integral equations

  Yushi Hamaguchi

  Journal of Differential Equations, Jan. 2023, Peer-reviewed

  
• Approximations for adapted M-solutions of type-II backward stochastic Volterra integral equations

  Yushi Hamaguchi; Dai Taguchi

  ESAIM: Probability and Statistics, 2023, Peer-reviewed, Corresponding author

  
• Linear-quadratic stochastic volterra controls II. Optimal strategies and Riccati-Volterra equations

  Yushi Hamaguchi; Tianxiao Wang

  ESAIM: Control, Optimisation and Calculus of Variations, Jun. 2024, Peer-reviewed, Lead author, Corresponding author

  
• Linear-quadratic stochastic Volterra controls I: Causal feedback strategies

  Yushi Hamaguchi; Tianxiao Wang

  Stochastic Processes and their Applications, Jul. 2024, Peer-reviewed, Lead author, Corresponding author

  
• Infinite horizon backward stochastic Volterra integral equations and discounted control problems

  Yushi Hamaguchi

  ESAIM: Control, Optimisation and Calculus of Variations, Oct. 2021, Peer-reviewed

  
• Small-Time Solvability of a Flow of Forward–Backward Stochastic Differential Equations

  Yushi Hamaguchi

  Applied Mathematics & Optimization, Aug. 2021, Peer-reviewed

  
• BSDEs driven by cylindrical martingales with application to approximate hedging in bond markets

  Yushi Hamaguchi

  Japan Journal of Industrial and Applied Mathematics, 14 Jun. 2021, Peer-reviewed

  
• Extended backward stochastic Volterra integral equations and their applications to time-Inconsistent stochastic recursive control problems

  Yushi Hamaguchi

  Mathematical Control & Related Fields, 2021, Peer-reviewed

  
• Time-Inconsistent Consumption-Investment Problems in Incomplete Markets under General Discount Functions

  Yushi Hamaguchi

  SIAM Journal on Control and Optimization, Jan. 2021, Peer-reviewed

  

Misc.

• 時間非整合な選好を持つ投資家の効用最大化問題

  濱口 雄史

  第11回白浜研究集会報告集, 2019

  
• Large financial marketにおける無裁定理論

  濱口 雄史

  第9回白浜研究集会報告集, 2018

  
• PCS過程とバリアオプション

  濱口 雄史

  第8回白浜研究集会報告集, 2016

  

Presentations

• Global maximum principle for optimal control of stochastic Volterra equations with singular kernels

  Yushi Hamaguchi

  Workshop on Mathematical Finance at Seoul, 24 May 2025, Invited

  
• 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

  濱口 雄史

  大分確率論セミナー, 25 Feb. 2025, Invited

  
• A generalized coupling approach for the weak approximation of stochastic functional differential equations

  濱口 雄史

  立命館数理ファイナンスセミナー, 23 Jan. 2025

  
• Maximum principle for optimal control problems of stochastic Volterra equations with singular kernels

  Yushi Hamaguchi

  The 14th AIMS Conference, 18 Dec. 2024, Invited

  
• ヴォルテラ型ガウス過程の無限次元リフト

  濱口 雄史

  京都大学数学教室談話会, 11 Dec. 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

  濱口 雄史

  大阪大学確率論セミナー, 10 Dec. 2024

  
• A global maximum principle for optimal control of stochastic Volterra equations with singular kernels

  濱口 雄史

  確率解析とその周辺, 04 Dec. 2024

  
• A generalized coupling approach for the weak approximation of stochastic functional differential equations

  Yushi Hamaguchi

  18 Oct. 2024, Bloomsbury Probability Seminar, Invited

  
• Spike variations for stochastic Volterra equations with singular kernels

  Yushi Hamaguchi

  Joint Risk & Stochastics and Financial Mathematics seminar, 17 Oct. 2024, Invited

  
• Markovian lifts of stochastic Volterra equations

  Yushi Hamaguchi

  Finance and Stochastics seminar, 15 Oct. 2024, Invited

  
• A generalized coupling approach for the weak approximation of stochastic functional differential equations

  濱口雄史

  日本数学会2024年度秋季総合分科会, 04 Sep. 2024

  
• A generalized coupling approach for the weak approximation of stochastic functional differential equations

  Yushi Hamaguchi

  Asian Quantitative Finance Conference, 08 Aug. 2024, Invited

  
• Uniqueness in law for stochastic Volterra equations

  濱口 雄史

  関西確率論セミナー, 19 Apr. 2024

  
• 確率Volterra方程式の無限次元Markovリフト

  濱口 雄史

  日本数学会2024年度年会 (統計数学分科会特別講演), 17 Mar. 2024, Invited

  
• 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

  濱口 雄史

  日本応用数理学会第20回研究部会連合発表会, 05 Mar. 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

  濱口 雄史

  マルコフ過程とその周辺, 17 Feb. 2024, Invited

  
• 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

  濱口 雄史

  福岡大学確率論セミナー, 31 Jan. 2024, Invited

  
• 確率Volterra方程式の弱解の存在と一意性

  濱口 雄史

  関西大学確率論セミナー, 20 Jan. 2024, Invited

  
• 確率Volterra方程式の弱解の存在と一意性

  濱口 雄史

  確率論シンポジウム, 28 Dec. 2023

  
• Infinite dimensional Markovian lifts of stochastic Volterra equations

  濱口 雄史

  確率解析とその周辺, 15 Dec. 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

  濱口 雄史

  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, 01 Dec. 2023, Invited

  
• 確率Volterra方程式の無限次元リフトとその応用

  濱口 雄史

  九州確率論セミナー, 17 Nov. 2023, Invited

  
• Weak well-posedness of stochastic Volterra integral equations

  Yushi Hamaguchi

  Stochastic Analysis, 09 Nov. 2023, Invited

  
• 確率Volterra積分方程式のMarkovリフトと漸近的対数Harnack不等式

  濱口 雄史

  日本数学会2023年度秋季総合分科会, 20 Sep. 2023

  
• Markovian lifting and asymptotic log-Harnack inequality for stochastic Volterra integral equations

  Yushi Hamaguchi

  Stochastic Processes and Related Fields, 07 Sep. 2023, Invited

  
• Markovian lifting and asymptotic log-Harnack inequality for stochastic Volterra integral equations

  Yushi Hamaguchi

  Statistics, modeling and operations research seminar, 01 Sep. 2023, Invited

  
• Markovian Lifting and Asymptotic Log-Harnack Inequality for Stochastic Volterra Integral Equations

  Yushi Hamaguchi

  Stochastics around Finance, 30 Aug. 2023, Invited

  
• Markovian lifting and asymptotic log-Harnack inequality for stochastic Volterra integral equations

  濱口 雄史

  東京確率論セミナー, 19 Jun. 2023, Invited

  
• Markovian lifting and asymptotic log-Harnack inequality for stochastic Volterra integral equations

  濱口 雄史

  大阪大学確率論セミナー, 30 May 2023

  
• Periodic portfolio selection under quasi hyperbolic discounting

  Yushi Hamaguchi

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

  
• LQ control problems for stochastic Volterra integral equations

  Yushi Hamaguchi

  Mathematics of Risk, 10 Nov. 2022, Invited

  
• 線形確率ヴォルテラ積分方程式のカオス展開

  濱口 雄史

  日本数学会 2022年度秋季総合分科会, 14 Sep. 2022

  
• Open-loop equilibrium controls in time-inconsistent stochastic recursive control problems

  Yushi Hamaguchi

  The 9th International Colloquium on BSDEs and Mean Field Systems, 28 Jun. 2022, Laure Bastide, Philippe Briand, Paul-Eric Chaudru de Raynal, Céline Labart, Invited

  
• LQ確率制御の基礎と発展

  濱口 雄史

  岡山確率論セミナー, 14 May 2022, Invited

  
• 確率Volterra積分方程式に関するLQ制御問題

  濱口 雄史

  大阪大学確率論セミナー, 26 Apr. 2022

  
• 線型な確率Volterra積分方程式の一般解法

  濱口 雄史

  日本数学会2022年度年会 (アブストラクト公開), 28 Mar. 2022

  
• Open-loop Equilibrium Controls in Time-inconsistent Stochastic Recursive Control Problems

  Yushi Hamaguchi

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

  
• Linear stochastic Volterra integral equations

  濱口 雄史

  岡山 確率解析ワークショップ 2022, 21 Feb. 2022, Invited

  
• Optimal control for stochastic Volterra integral equations with delay

  濱口 雄史

  確率論シンポジウム, 15 Dec. 2021

  
• Optimal control for stochastic Volterra integral equations

  濱口 雄史

  確率解析とその周辺, 04 Nov. 2021

  
• Infinite horizon optimal control problems of stochastic Volterra integral equations

  Yushi Hamaguchi

  The 53rd ISCIE International Symposium on Stochastic Systems Theory and Its Applications (SSS '21), 31 Oct. 2021, Invited

  
• Discounted optimal control problems of stochastic Volterra integral equations

  濱口 雄史

  関西確率論セミナー, 09 Jul. 2021

  
• 無限時間後退確率Volterra積分方程式と確率制御

  濱口 雄史

  関西大学確率論セミナー, 22 May 2021, Invited

  
• 後退確率Volterra積分方程式に関する近似定理

  濱口 雄史

  大阪大学確率論セミナー, 13 Apr. 2021

  
• 時間非整合性を考慮した確率制御問題

  濱口 雄史

  異分野・異業種研究交流会, 31 Oct. 2020

  
• Time-inconsistent stochastic recursive control and backward stochastic Volterra integral equations

  濱口 雄史

  日本数学会秋季総合分科会

  
• Time-inconsistent stochastic recursive control and backward stochastic Volterra integral equations

  濱口 雄史

  関西確率論セミナー, 12 Jun. 2020

  
• Time-inconsistent consumption-investment problems under general discount functions

  濱口 雄史

  日本数学会2020年度年会

  
• Time-inconsistent consumption-investment problems in incomplete markets

  Yushi Hamaguchi

  The 5th KTGU Mathematics Workshop for Young Researchers, 07 Feb. 2020

  
• Time-inconsistent consumption-investment problems in incomplete markets

  濱口 雄史

  大阪大学確率論セミナー, 04 Feb. 2020

  
• Time-inconsistent consumption-investment problems in incomplete markets

  Yushi Hamaguchi

  立命館数理ファイナンスセミナー, 17 Jan. 2020, Invited

  
• 時間非整合的確率制御問題におけるナッシュ均衡戦略

  濱口 雄史

  2019年度確率論シンポジウム, 17 Dec. 2019

  
• 時間非整合な選好を持つ投資家の効用最大化問題

  濱口 雄史

  第11回白浜研究集会, 10 Dec. 2019

  
• A flow of forward-backward SDEs: Well-posedness and an approximation result

  Yushi Hamaguchi

  Probability and Topics Seminar, 01 Nov. 2019, Invited

  
• Flow of forward-backward stochastic differential equations

  濱口 雄史

  日本数学会2019年度秋季総合分科会, 18 Sep. 2019

  
• Time-inconsistent stochastic control and a flow of forward-backward SDEs

  Yushi Hamaguchi

  Japanese-German Open Conference on Stochastic Analysis 2019, 03 Sep. 2019

  
• Time-inconsistent stochastic control and a flow of FBSDE

  濱口 雄史

  2019年度確率論ヤングサマーセミナー, 29 Aug. 2019

  
• Time-inconsistent stochastic control and a flow of forward-backward SDEs

  濱口 雄史

  京大確率論セミナー, 05 Jun. 2019

  
• Foellmer--Schweizer decompositions in large financial markets: A BSDE approach

  濱口 雄史

  丸の内QFセミナー, 30 Jan. 2019, Invited

  
• Foellmer--Schweizer decompositions in large financial markets: A BSDE approach

  濱口 雄史

  関西大学確率論セミナー, 08 Dec. 2018, Invited

  
• Large financial marketにおけるFoellmer--Schweizer戦略の近似について

  濱口 雄史

  第6回数理ファイナンス合宿型セミナー, 23 Nov. 2018, Invited

  
• Finite-dimensional approximation of solutions of infinite-dimensional BSDEs

  Yushi Hamaguchi

  Probability seminar at Sun Yat-Sen University, 20 Nov. 2018, Invited

  
• Finite-dimensional approximation of solutions of infinite-dimensional BSDEs

  Yushi Hamaguchi

  The Sixth Asian Quantitative Finance Conference 2018, 17 Nov. 2018

  
• 無限次元後退確率微分方程式の解の有限次元近似

  濱口 雄史

  日本数学会 2018年度秋季総合分科会, 25 Sep. 2018

  
• 無限次元後退確率微分方程式の解の有限次元近似

  濱口 雄史

  2018年度確率論ヤングサマーセミナー, 21 Aug. 2018

  
• BSDEs driven by cylindrical martingales with application to approximate hedging in bond markets

  濱口 雄史

  東京確率論セミナー, 25 Jun. 2018

  
• BSDEs driven by cylindrical martingales with application to approximate hedging in bond markets

  濱口 雄史

  関西確率論セミナー, 08 Jun. 2018

  
• BSDEs driven by cylindrical martingales with application to approximate hedging in bond markets

  濱口 雄史

  大阪大学確率論セミナー, 29 May 2018

  
• Large financial marketにおける無裁定理論

  濱口 雄史

  2018年度確率論早春セミナー, 05 Mar. 2018

  
• Large financial marketにおける無裁定理論

  濱口 雄史

  第9回白浜研究集会, 17 Jan. 2018

  
• Large financial marketにおける無裁定理論

  濱口 雄史

  2017年度確率論シンポジウム, 11 Dec. 2017

  
• Arbitrage theory in large financial markets

  Yushi Hamaguchi

  確率解析とその周辺, 18 Oct. 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

  濱口 雄史

  2017年度確率論ヤングサマーセミナー, 08 Aug. 2017

  
• PCS過程とバリアオプション

  濱口 雄史

  第8回白浜研究集会, 29 Nov. 2016

  

Awards

• 21 Sep. 2023

  日本数学会賞建部賢弘奨励賞（一般社団法人 日本数学会）
• 15 Oct. 2022

  SSS'21 Young Author Prize（一般社団法人システム制御情報学会）
• 21 Jul. 2023

  日本応用数理学会論文賞 (JJIAM部門)（一般社団法人 日本応用数理学会）

External funds: Kakenhi

• Stochastic Volterra integral equations and related control problems

  Grant-in-Aid for Early-Career Scientists

  Basic Section 12040:Applied mathematics and statistics-related

  Osaka University

  濱口 雄史

  From 01 Apr. 2022, To 31 Mar. 2027, Granted

  確率Volterra方程式;確率発展方程式;無限次元リフト;漸近的対数Harnack不等式;確率法則の一意性;確率Volterra積分方程式;確率制御;LQ制御問題;マルコフリフト;Harnack不等式;確率制御問題;時間非整合性

  https://kaken.nii.ac.jp/grant/KAKENHI-PROJECT-22K13958/

Education

Teaching subject(s)

• From 01 Apr. 2025, To 31 Mar. 2026

  Mathematical Statistics

  N803, Fall, Institute for Liberal Arts and Sciences, 2
• From 01 Apr. 2025, To 31 Mar. 2026

  Forefront of Mathematics and Mathematical Science II

  4139, Fall, Faculty of Science, 2
• From 01 Apr. 2025, To 31 Mar. 2026

  Exercises in Analysis I

  3184, Spring, Faculty of Science, 4
• From 01 Apr. 2025, To 31 Mar. 2026

  Calculus with Exercises A

  N149, Spring, Institute for Liberal Arts and Sciences, 3
• From 01 Apr. 2024, To 31 Mar. 2025

  Elementary Probability

  N131, Spring, Institute for Liberal Arts and Sciences, 2
• From 01 Apr. 2024, To 31 Mar. 2025

  Special study course (Mathematical Science)

  5140, Year-long, Faculty of Science, 12
• From 01 Apr. 2024, To 31 Mar. 2025

  Calculus with Exercises A

  N149, Spring, Institute for Liberal Arts and Sciences, 3

Academic, Social Contribution

Academic Contribution

• 2024年度確率論シンポジウム

  Planning, management, etc., Panel moderator

  京都大学数理解析研究所, From 23 Dec. 2024, To 26 Dec. 2024

  
• Osaka-UCL Mini-Workshop on Stochastics, Numerics and Risk

  Planning, management, etc., Panel moderator

  Masaaki Fukasawa, Yushi Hamaguchi, Andrea Macrina, Jun Sekine, Camilo Garcia Trillos, 大阪大学, From 16 Feb. 2023, To 17 Feb. 2023

  
• 2022年度中之島ワークショップ

  Planning, management, etc., Panel moderator

  大阪大学 数理・データ科学教育研究センター 金融・保険部門, 大阪大学, From 01 Dec. 2022, To 01 Dec. 2022

  
• UCL-Osaka International Conference on the Mathematics for Risk and Decisions

  Planning, management, etc., Panel moderator

  Masaaki Fukasawa, Yushi Hamaguchi, Andrea Macrina, Jun Sekine, Camilo Garcia Trillos, Alex Tse, From 15 Mar. 2022, To 18 Mar. 2022