気候変動の不確実性を考慮した防災投資の動学的最適化に関する研究– jump-diffusion過程下の確率制御モデル – (Optimization of Disaster Risk Reduction Investment in Era of Climate Change - A Stochastic Control Model in Jump-Diffusion Process)

Ishikura, T., Yokomatsu, M., & Matsushima, K. (2025). 気候変動の不確実性を考慮した防災投資の動学的最適化に関する研究– jump-diffusion過程下の確率制御モデル – (Optimization of Disaster Risk Reduction Investment in Era of Climate Change - A Stochastic Control Model in Jump-Diffusion Process). Japanese Journal of JSCE 81 (1) e24-00175. 10.2208/jscejj.24-00175.

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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:	Article
Research Programs:	Advancing Systems Analysis (ASA) Advancing Systems Analysis (ASA) > Systemic Risk and Resilience (SYRR) Biodiversity and Natural Resources (BNR) Biodiversity and Natural Resources (BNR) > Water Security (WAT)
Depositing User:	Luke Kirwan
Date Deposited:	20 May 2025 06:46
Last Modified:	20 May 2025 06:57
URI:	https://pure.iiasa.ac.at/20593

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