SSS'21 Session Schedule
October 30, 2021 (Saturday)
FromToRoom A

09:30

09:45

Opening Address

09:45

10:00

Break

10:00

11:40

Room B

Room D

1A1

1B1

1C1

1D1 (Organized Session)(10:00-11:15)(10:00-11:15)(10:00-11:40)(10:00-11:40)

Modeling, Filtering, Control andAnalysis of Stochastic Systems andStochastic Processes (1)

11:40

Room C

System Identification andStochastic Optimization Methods

Stochastic Analytical Methods for

Parameter Estimation (1)and Evolutionary Methods (1)Control and Filtering

Room E

Lunch

13:00
1A2 (Special Lecture)(13:00-14:00)

13:00

14:00

HJB Equations of Stochastic Control
Problems with Exponential Type
Criteria
Hideo Nagai (MMDS, Osaka Univ.)

14:00

14:20

Break

14:20

16:00

1A3

1B3

1C3

1D34 (Organized Session)

1E34 (Organized Session)(14:20-16:00)(14:20-15:35)(14:20-16:00)(14:20-17:35)(15:10-18:50)

Modeling, Filtering, Control andAnalysis of Stochastic Systems andStochastic Processes (2)

16:00

16:20

System Identification andStochastic Optimization Methods

Parameter Estimation (2)and Evolutionary Methods (2)

Break

16:20

18:25

1A4

1B4

1C4 (Organized Session)(16:20-17:35)(16:20-17:35)(16:20-18:25)

Neural Networks and ChaoticSystems

Image Processing and Pattern

Stochastic Control and DynamicalRecognition (1)Systems (1)Quantitative Finance

Filtering of Stochastic Systems

SSS'21 Session Schedule
October 31, 2021 (Sunday)
From

10:00

To

11:40

Room A

Room B
2B1

2C1 (Organized Session)

2D12 (Organized Session)(10:00-11:40)(10:00-11:40)(10:00-11:40)(10:25-14:55)

Applications in Engineering related
Mathematical Finance (1)Stochastic Systems (1)
13:00

13:00

13:20

Room D

2A1

to Stochastic Processes and11:40Room C

Mathematical Theory of Stochastic
and Deterministic Controls

LunchAward and Announcement ofInvestment Problems in Finance

SSS'22 Next Yearand Insurance
13:20

13:40

Break

13:40

14:55

2A2

2B2

2C2 (Tutorial Lecture)(13:40-14:55)(13:40-14:55)(13:40-14:40)

Applications in Engineering related

Rare Event Modeling for Linear

to Stochastic Processes andMathematical Finance (2)Stochastic Systems (2)
14:55

15:15

Kenji Kashima (Kyoto Univ.)
Break

15:15

16:55

Estimation and Control

2A3

2B3

2C3 (Organized Session)

2D3 (Organized Session)(15:15-16:30)(15:15-16:30)(15:15-16:55)(15:15-16:55)

Applications in Engineering related
to Stochastic Processes andStochastic Systems (3)Image Processing and Pattern

Stochastic Control and DynamicalRecognition (2)Systems (2)Filtering and System Identification

October 30, 2021 (Saturday),Room A

1A1: Modeling, Filtering, Control and Analysis of Stochastic Systems and Stochastic Processes (1)Chair: Takayuki Wada (Osaka University)

10:00

Performance Assessment of Controllers based on Optimally Controlled Stationary States of Stochastic Systems
Masahiko Tamai (Toshiba Lighting & Technology Corporation)
Hiroyuki Asahara (Okayama University of Science)Hirokazu Ohtagaki (Okayama University of Science)

10:25

Stochastic Viscosity Solution to Obstacle SPDE
Tadashi Hayashi (Mitsubishi UFJ Trust and Banking Corporation)

10:50

Characterization of stochastic equilibrium controls by the Malliavin calculus
Jiang Yu Nguwi (Nanyang Technological University)

1A2: Special Lecture
Chair: Jiro Akahori (Ritsumeikan University)

13:00

HJB Equations of Stochastic Control Problems with Exponential Type Criteria
Hideo Nagai (MMDS, Osaka University)(60min)1A3: Modeling, Filtering, Control and Analysis of Stochastic Systems and Stochastic Processes (2)Chair: Yasumasa Fujisaki (Osaka University)

14:20

A Novel Approach to the Optimal Control of an SIR Epidemic Model with Vaccination
Akira Ohsumi (Prof. Emeritus of Kyoto Institute of Technology)

14:45

Variational Deep Solver of Variational Inequalities
Koji Moritoki (Ritsumeikan University)
Jiro Akahori (Ritsumeikan University)
Shogo Semba (Ritsumeikan University)
Nobuto Seo (Ritsumeikan University)

15:10

An Algebraic Approach to The Ramer-Kusuoka Formula and Its Applications
Tasuku Kubo (Ritsumeikan University)

15:35

On the Distribution of Square Integral of Fractional Brownian Motion
Kenji DOHI (Ritsumeikan University)

1A4: Neural Networks and Chaotic Systems
Chair: Yoji Morita (Kyoto University of Advanced Science)

16:20

Bifurcation Phenomena of Nonlinear Systems Described by Swing Equation and Its Piece-wise Continuous
Maps
Takahiro Yamaguchi(Okayama University of Science)
Hiroyuki Asahara (Okayama University of Science)
Hirokazu Ohtagaki (Okayama University of Science)

16:45

An introduction to Neural Stochastic Diﬀerential Equations
Takahiro Tsuchiya (Aizu University)

17:10

Solving the Steiner Tree Problem in Graphs with a Chaotic Neural Network: a Time-Series Analysis of the
Objective Function Value
Misa Fujita (Chukyo University)
Tatsuya Saito (Chukyo University)

October 30, 2021 (Saturday),Room B

1B1: System Identiﬁcation and Parameter Estimation (1)Chair: Yuichi Sawada (Kyoto Institute of Technology)

10:25

Estimation of Bivariate SVAR Systems via Small Random Perturbations
Yoji Morita (Professor emeritus of Kyoto University of Advanced Science)
Yoshitaka Sawada (Kyoto University of Advanced Science)
Shigeyoshi Miyagawa (Professor emeritus of Kyoto University of Advanced Science)

10:50

Estimation of Epidemiological Parameters of the SIR Model
Akira Ohsumi (Prof. Emeritus of Kyoto Institute of Technology)

1B3: System Identiﬁcation and Parameter Estimation (2)Chair: Yuichi Sawada (Kyoto Institute of Technology)

14:20

The inﬂuence of velocity refresh in Sequential MCMC with the Invertible Particle Flow and Discrete Bouncy
Particle Sampler
Yu Han (Meiji University)
Kazuyuki Nakamura (Meiji University)

14:45

Multirate SOC Estimation of Lithum-Ion Batteries using Constant Phase Element Model
Takao Kikuchi(Ritsumeikan University)
Kiyotsugu Takaba (Ritsumeikan University)

15:10

Parameter estimation of a random Duﬃng-van der Pol system via Fokker-Planck type residual
Katsutoshi Yoshida (Utsunomiya University)
Yoshikazu Yamanaka (Utsunomiya University)

1B4: Image Processing and Pattern Recognition (1)Chair: Yoshiharu Koya (Kobe City College of Technology)

16:20

Optimal Ellipse Fitting for Detecting Contour of Pill Bugs
Nanami Fujiwara (Fukuoka Institute of Technology)
Hiroyuki Fujioka (Fukuoka Institute of Technology)
Kaoru Fujioka (Fukuoka Womenś University)

16:45

Hierarchical lossless compression method for digital pathology using CNN predictors
Ryo Nakazawa (Chukyo University)
Yuki Kawai (Hagiwara Techno Solutions)
Tsuyoshi Otake (Tamagawa University)
Hisashi Aomori (Chukyo University)
Ichiro Matsuda (Tokyo University of Science)
Susumu Itoh (Tokyo University of Science)

17:10

Reconstruction-Based Super-Resolution using Cellular Neural Networks Predictors Controlled by Edge Orientation
Yusuke Itano (Chukyo University)
Ryuya Ukai (Mitubishi Electric Engineering)
Tsuyoshi Otake (Tamagawa University)
Hisashi Aomori (Chukyo University)

October 30, 2021 (Saturday),Room C (1/2)

1C1: Stochastic Optimization Methods and Evolutionary Methods (1)Chair: Kazuyuki Nakamura (Meiji University)

10:00

On the Eﬀect of Norm Selection in Scenario Approach to Robust Feasibility Problem
Tomoyuki Iori (Osaka University)
Yasumasa Fujisaki (Osaka University)

10:25

A new higher order scheme for solving non-linear PDEs implied by a non-linear discrete Clark-Ocone formula
Yui Furuichi (Ritsumeikan University)

10:50

Local Bifurcation Points Derivation Method in Autonomous Systems Using Particle Swarm Optimization
Tomoki Gotoh (Chukyo University)
Hiroaki Kurokawa (Tokyo University of Technology)
Haruna Matsushita (Kagawa University)
Takuji Kousaka (Chukyo University)

11:15

Sparse Robust Control Design via Scenario Program
Zhicheng Zhang (Osaka University)
Yasumasa Fujisaki (Osaka University)

1C3: Stochastic Optimization Methods and Evolutionary Methods (2)Chair: Takahiro Tsuchiya (Aizu University)

14:20

An Evaluation of Parallelized Nested Layer Particle Swarm Optimization for Bifurcation Point Detection
Tomo Hasegawa (Tokyo University of Technology)
Haruna Matsushita (Kagawa University)
Takuji Kousaka (Chukyo University)
Hiroaki Kurokawa (Tokyo University of Technology)

14:45

Mixing time and simulated annealing for the stochastic cellular automata
Bruno Hideki Fukushima-Kimura (Hokkaido University)
Satoshi Handa (atama plus K.K)
Katsuhiro Kamakura (Hokkaido University)
Yoshinori Kamijima (Hokkaido University)
Akira Sakai (Hokkaido University)

15:10

A Direct Method for Solving Hamilton-Jaobi-Bellman Equations via Deep Learning
Nobuto Seo (Ritsumeikan University)
Jiro Akahori (Ritsumeikan University)
Reika Kambara (Ritsumeikan University)
Koji Moritoki (Ritsumeikan University)

15:35

A Numerical Scheme for Solving Stochastic Control Problems via Stochastic Hamiltonian Systems
Shogo Semba (Ritsumeikan University)
Jiro Akahori (Ritsumeikan University)
Takatoshi Hirano (Ritsumeikan University)
Reika Kambara (Ritsumeikan University)

Continued on the next page

October 30, 2021 (Saturday),Room C (2/2)

1C4 (Organized Session): Stochastic Control and Dynamical Systems (1)Organizers & Co-Chairs: Kiyotsugu Takaba and Daisuke Tarama (Ritsumeikan University)

16:20[Invited]On the Mathematical Analysis for the Stochastic Infectious Model under Subclinical Infections and Vaccination
Masaaki Ishikawa (Yamaguchi University)

16:45[Invited]
On Recursive Quantum State Smoothing
Kentaro Ohki (Kyoto University)

17:10[Invited]
A stochastic variational principle for the compressible Navier-Stokes equation
Xin Chen (Shanghai Jiao Tong University)
Ana Bela Cruzeiro (University of Lisbon)
Tudor S. Ratiu (Shanghai Jiao Tong University)

17:35[Invited]
Optimal control of the SIR epidemic model by using dynamical systems theory
Kazuyuki Yagasaki (Kyoto University)

18:00[Invited]
Optimal stochastic control problems in space-time domains
Ana Bela Cruzeiro (University of Lisbon)
Carlos Oliveira (University of Lisbon)
Jean-Claude Zambrini (University of Lisbon)

October 30, 2021 (Saturday),Room D

1D1 (Organized Session): Stochastic Analytical Methods for Control and Filtering
Organizer & Chair: Jun Sekine (Osaka University)

10:00(50min)[Invited]
Second-Order PHD Filtering for Repulsive Ground Truth Dynamics Using Determinantal Point Processes
Nicolas Privault (Nanyang Technological University)
Timothy Teoh (Nanyang Technological University)

10:50

Zero-Sum Stackelberg Stochastic Linear-Quadratic Diﬀerential Games
Jingrui Sun (Southern University of Science and Technology)
Hanxiao Wang (National University of Singapore)
Jiaqiang Wen (Southern University of Science and Technology)

11:15

Existence and probabilistic representation of the solutions of semilinear parabolic PDEs with fractional Laplacians
Guillaume Penent (Nanyang Technological University)

1D34 (Organized Session): Quantitative Finance
Organizer & Chair: Yong Hyun Shin (Sookmyung Women’s University )14:20(50min)[Invited]
Asset Pricing with Consumption Frictions
Kyung Jin Choi (University of Calgary)
Junkee Jeon (Kyung Hee University)
Hyeng Keun Koo (Ajou University)

15:10

Consumption and Portfolio Selection with Recursive Utility, Stochastic Income, and Liquidity Constraints
Kyoung Jin Choi (University of Calgary)
Minsuk Kwak (Hankuk University of Foreign Studies)
Byung Hwa Lim (The University of Suwon)

15:35

Valuing Real Options with Scale-dependent Payoﬀ
Kyoung Jin Choi (University of Calgary)
Minsuk Kwak (Hankuk University of Foreign Studies)

16:00

Break

16:20

Personal Bankruptcy and Post-bankruptcy Liquidity Constraint
Ho-Seok Lee (Kwangwoon University)
Byung Hwa Lim (The University of Suwon)

16:45

Irreversible investment problem with ﬁnite horizon under regime-switching with jumps
Sunju Lee (National Institute for Mathematical Sciences)
Younhee Lee (Chungnam National University)

17:10

Optimal Market-Making Strategies Under Synchronised Order Arrivals with Deep Neural Networks
So Eun Choi (Korea Advanced Institute of Science and Technology)
Hyun Jin Jang (Ulsan National Institute of Science and Technology)
Kyungsub Lee (Yeungnam University)
Harry Zheng (Imperial College London)

October 30, 2021 (Saturday),Room E

1E34 (Organized Session): Filtering of Stochastic Systems
Organizers & Co-chairs: Jiro Akahori and Arturo Kohatsu-Higa (Ritsumeikan University)

15:10(50min)[Invited]
Stochastic ﬁltering for singular kinetic equations
Andrea Pascucci (University of Bologna)

16:00

Break

16:20

[Invited]
Online performance assessment of particle ﬁlters with adaptive computational complexity(50min)Joaquı́n Mı́guez (Universidad Carlos III de Madrid)Vı́ctor Elvira (University of Edinburgh)
Petar M. Djurić (Stony Brook University)

17:10(50min)[Invited]
The ensemble Kalman ﬁlter and its extension to nonlinear ﬁltering problems
Sebastian Reich (University of Potsdam)

18:00(50min)[Invited]
Particle Approximations for Fluid Dynamics Models
Dan Crisan (Imperial College London)

October 31, 2021 (Sunday),Room A(1/2)

2A1: Applications in Engineering related to Stochastic Processes and Stochastic Systems (1)Chair: Satoru Goto(Saga University)

10:00

Calculation of Lyapunov Exponent in DC-DC Converter with Photovoltaic Module
Satoshi Aoki (Okayama University of Science)
Takuji Kousaka (Chukyo University)
Shota Uchino (Anan College)
Hirokazu Ohtagaki (Okayama University of Science)
Hiroyuki Asahara (Okayama University of Science)

10:25

PPP algorithms with QZSS CLAS by identifying measurment noise covariances
Katsumasa Miyatake(Mitsubishi Electric Corp.)
Kento Suzuki (Ritsumeikan University)
Yukihiro Kubo (Ritsumeikan University)
Sueo Sugimoto (Ritsumeikan University)

10:50

PPP Algorithms based on GR models by applying CLAS and the Fixed Point Smoother
Kento Suzuki (Ritsumeikan University)
Katsumasa Miyatake(Mitsubishi Electric Corp.)
Yukihiro Kubo (Ritsumeikan University)
Sueo Sugimoto (Ritsumeikan University)

11:15

Analysing Relationship between Muscle of Facial Activity and Voice Formant / Vocal Or-gans Shape during
Sound Adjustments
Shogo Saito(Tokyo Denki University)
Tomoki Yanagida(Tokyo Denki University)
Taiga Sasame(Tokyo Denki University)
Keisuke Ota(Tokyo Denki University)
Izumi Hanazaki(Tokyo Denki University)

2A2: Applications in Engineering related to Stochastic Processes and Stochastic Systems (2)Chair: Hiroyuki Asahara (Okayama University of Science)

13:40

An application of deep lerning for rainfall intensity estimation using GNSS receiver
Yutaka Nakagawa (NAIST)
Takeshi Higashino (NAIST)
Minoru Okada (NAIST)

14:05

Emergency Communication Network Using Disaster Aid Vending Machines Based on α-type Learning Automata
Kou Okada (National Institute of Technology, Matsue College)
Mothoshi Hara (National Institute of Technology, Matsue College)
Noriyo Kanayama (National Institute of Technology, Matsue College)
Toru Watanabe (National Institute of Technology, Matsue College)
Satoru Kato (National Institute of Technology, Matsue College)
Hiroyuki Kamaya (National Institute of Technology, Hachinohe College)

14:30

Speech Training System for the Hearing Impaired
Yuki Motoda (Kobe City College of Technology)
Yoshiharu Koya (Kobe City College of Technology)

Continued on the next page

October 31, 2021 (Sunday),Room A(2/2)

2A3: Applications in Engineering related to Stochastic Processes and Stochastic Systems (3)Chair: Hiroyuki Fujioka (Fukuoka Institute of Technology)

15:15

Bayesian Reliability Analysis for Degradation Data Based on Stochastic Process Models
Toru Kaise (University of Hyogo)

15:40

GNSS RAIM Algorithms for Train Positioning Assisted by Railway Route Maps
Yoshihito Oota (Ritsumeikan University)
Kento Suzuki (Ritsumeikan University)
Yukihiro Kubo(Ritsumeikan University)

16:05

A Pseudomeasurement Approach to State Estimation for Liquid Level Control of Separator in an OTEC Plant
Using Uehara Cycle
Kotaro Ushijima(Saga University)
Yoshitaka Matsuda(Saga University)
Takenao Sugi(Saga University)
Satoru Goto(Saga University)
Takafumi Morisaki(Saga University)
Takeshi Yasunaga(Saga University)
Yasuyuki Ikegami(Saga University)

October 31, 2021 (Sunday),Room B

2B1: Mathematical Finance (1)Chair: Takahiro Tsuchiya (Aizu University)

10:00

Continuous Time Portfolio Optimization with Twice Integrated Kernel-Based Collocation
Masashi IEDA (Tokyo University of Science)

10:25

Diﬀusion Estimation via Signatures
Takatoshi Hirano (Ritsumeikan University)
Jiro Akahori (Ritsumeikan University)
Shogo Semba (Ritsumeikan University)
Nobuto Seo (Ritsumeikan University)

10:50

On a determination formula for the estimation of copula-based Value at Risk
Andres Mauricio Molina Barreto (Chuo University)
Naoyuki Ishimura (Chuo University)
Koichiro Takaoka (Chuo University)

11:15

Market Simulator Driven by Malliavin-Manchino Method
Reika Kambara (Ritsumeikan University)
Jiro Akahori (Ritsumeikan University)
Takatoshi Hirano (Ritsumeikan University)
Koji Moritoki (Ritsumeikan University)

2B2: Mathematical Finance (2)Chair: Naoyuki Ichihara (Aoyama Gakuin University)

13:40

Nisio semigroups on graphs and their asymptotic behavior in view of applications to ﬁnance
Yu Sobajima (Ritsumeikan University)

14:05

A Generalization of The Recovery Theorem: A Heat Kernel Approach
VU Huy Hoang (Ritsumeikan University)

14:30

Tanaka-Yor Equation and its Application to Stochastic Diﬀerential Equations
Yuma Tamura (Ritsumeikan University Graduate School)

2B3: Image Processing and Pattern Recognition (2)Chair: Kunihiko Oura (Kokushikan University)

15:15

Fast Implementation of Automatic Building Extraction Using Color Cluster Analysis from Scenery Image
Takuya Futagami (Osaka Electro-Communication University)
Noboru Hayasaka (Osaka Electro-Communication University)

15:40

Real-Time Application for Detection of Raised Hands and Personal Identiﬁcation by Deep Learning Algorithms
for Camera Images
Atsushi Ogino (Konan University)
Masahiro Tanaka (Konan University)

16:05

NLOS Satellite Detection Methods for Improving GNSS Positioning Accuracy
Daichi Morimoto (Ritsumeikan University)
Yukihiro Kubo (Ritsumeikan University)
Yoshiharu Koya (Kobe city college of Technology)

October 31, 2021 (Sunday),Room C

2C1 (Organized Session): Mathematical Theory of Stochastic and Deterministic Controls
Organizer & Chair: Hidehiro Kaise (Kumamoto University)

10:00

Ergodicity of optimal feedback diﬀusions for stochastic ergodic control problems with inward drift
Naoyuki Ichihara (Aoyama Gakuin University)

10:25

Inverse problems for continuous-time stochastic optimal controls
Yumiharu Nakano (Tokyo Institute of Technology)

10:50

Inﬁnite horizon optimal control problems of stochastic Volterra integral equations
Yushi Hamaguchi (Osaka University)

11:15

∞

Partially observed H -control for discrete-time path-dependent systems: A small noise limit of risk-sensitive
stochastic control
Hidehiro Kaise (Kumamoto University)

2C2: Tutorial Lecture
Organized by IEEE CSS Kansai Chapter
Chair: Kiyotsugu Takaba (Ritsumeikan University)

13:40

Rare Event Modeling for Linear Estimation and Control
Kenji Kashima (Kyoto University)(60min)2C3 (Organized Session): Stochastic Control and Dynamical Systems (2)Organizers & Co-Chairs: Kiyotsugu Takaba and Daisuke Tarama (Ritsumeikan University)

15:15[Invited]
Value Iteration with Gaussian Process Regression for Optimal Control of Continuous-Time Nonlinear Systems
Hirofumi Beppu (Kyoto University)
Ichiro Maruta (Kyoto University)
Kenji Fujimoto (Kyoto University)

15:40[Invited]
A study of backward stochastic diﬀerential equation on a Riemannian manifold
Xin Chen (Shanghai Jiao Tong University)
Wenjir Ye (Shanghai Jiao Tong University)

16:05[Invited]
On Stability Analysis of Stochastic Systems with Quasi-singular Control Laws
Yuki Nishimura (Kagoshima University)

16:30[Invited]On stochastic extensions of nonholonomic constraints
François Gay-Balmaz (CNRS Ecole Normale Supérieure)
Vakhtang Putkaradze (University of Alberta)October 31, 2021 (Sunday),Room D

2D12 (Organized Session): Investment Problems in Finance and Insurance
Organizers & Co-chairs: Kazuhiro Yasuda (Hosei University) and Jun Sekine (Osaka University)

10:25

Robust consumption-investment with return ambiguity: A dual approach with risk ambiguity
Hoi-Ying Wong (The Chinese University of Hong Kong)

10:50

Estimation of Market Impact in the Japanesee Stock Market
Shunsuke Nakamura(Hosei university)
Kazuhiro Yasuda(Hosei university)

11:15

On Optimal Execution Problem with Market Impact for Speciﬁc Case
Tsubasa Ito (Hosei University)
Kazuhiro Yasuda (Hosei University)

11:40

Break(13:00–13:20; Award and Announcement at Room A)(13:20–13:40; Break)

13:40

Numerical Experiment of Pairs Trading Strategies During Pandemic in the Japanese Stock Market
Zhuoya Wang(Hosei University)
Kazuhiro Yasuda(Hosei University)

14:05

Three Fund CPPI Strategy under a Factor Model
Kazuhiro Yasuda (Hosei University)

14:30

Numerical study for expected power utility maximization of insurers
Hiroaki Hata(Hitotsubashi University)
Kazuhiro Yasuda(Hosei University)

2D3 (Organized Session): Filtering and System Identiﬁcation
Organizer & Chair: Masaya Murata (JAXA)

15:15[Invited]
My Research Topics in Stochastic Systems
Tohru Katayama (Professor Emeritus Kyoto University)

15:40[Invited]
Development of State Estimation Method for Automatic Loading of Excavators
Shinji Ishihara (Hitachi Ltd.)

16:05

Studies on Regression Models between the Numbers of Coronavirus Case conﬁrmed and Coronavirus Fatalities
in JapanSueo Sugimoto (Ritsumeikan University)
Teruyo Wada (Osaka University)

16:30

Gaussian Sum Filter with Equal Mixture Weights
Masaya Murata (JAXA)