Jump-diffusion過程下の確率制御を応用した 気候変動下の防災投資政策に関する試案 [A conceptual model of optimizing disaster adaptation policy based on stochastic control under jump-diffusion process]

Ishikura, T., Yokomatsu, M., & Matsushima, K. (2024). Jump-diffusion過程下の確率制御を応用した 気候変動下の防災投資政策に関する試案 [A conceptual model of optimizing disaster adaptation policy based on stochastic control under jump-diffusion process]. In: Proceedings of Infrastructure Planning. Committee of Infrastructure Planning and Management.

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Abstract

Hazards of tectonic origin, such as earthquakes and volcanoes, and those of meteorological origin, such as typhoons and torrential rains, which are influenced by climate change, differ in terms of the frequency and probability of disaster occurrence and the spatial extent of damage to the socio-economy. This study develops an optimal investment planning concept for disaster risk management that differentiates between rare and large-scale disaster risks and regularly occurring small-scale disaster risks, as a stochastic control model under a jump-diffusion process. We further develop an algorithm to numerically calculate the optimal value function and investigate the relationship between disaster characteristics and the optimal policy through numerical simulations.

Item Type:	Book Section
Uncontrolled Keywords:	rare disaster, disaster prevention, stochastic control, jump difusion process, climate change
Research Programs:	Advancing Systems Analysis (ASA) Advancing Systems Analysis (ASA) > Systemic Risk and Resilience (SYRR)
Depositing User:	Luke Kirwan
Date Deposited:	29 May 2024 12:54
Last Modified:	29 May 2024 13:18
URI:	https://pure.iiasa.ac.at/19753

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