Motoh Tsujimura
CV Research Real Options Workshop Teaching FMA
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Research

Research Theme
Studies on finance and its applications to decision-making under uncertainty

The present research subjects
  • investment project management under ambiguity/risk
  • environmental policy under ambiguity/risk

Keywords
real options, stochastic cocntrol, ambiguity, environmental policy, investment project


Book
  • 2016. Stochastic Control: Theory and Applications, Motoh Tsujimura and Akira Maeda, Asakura Publisher. (in Japanese)

Papers

Refereed Academic Papers
  • 2024. A Rational Logit Dynamic for Decision-Making Under Uncertainty: Well-Posedness, Vanishing-Noise Limit, and Numerical Approximation, Yoshioka, H., Tsujimura, M., Yoshioka, Y., In: Franco, L., de Mulatier, C., Paszynski, M., Krzhizhanovskaya, V.V., Dongarra, J.J., Sloot, P.M.A. (eds) Computational Science – ICCS 2024. ICCS 2024. Lecture Notes in Computer Science, vol 14838. Springer, Cham. DOI: https://doi.org/10.1007/978-3-031-63783-4_20
  • 2024. Generalized pair-wise logit dynamic and its connection to a mean field game: theoretical and computational investigations focusing on resource management, Hidekazu Yoshioka and Motoh Tsujimura, Dynamic Games and Applications. DOI: https://doi.org/10.1007/s13235-024-00569-4
  • 2024. Numerical analysis of an extended mean field game for harvesting common fishery resource, Hidekazu Yoshioka, Motoh Tsujimura, and Yumi Yoshioka, Computers and Mathematics with Applications, 165, 88-105. DOI: https://doi.org/10.1016/j.camwa.2024.04.003
  • 2023. Distributionally-Robust Optimization for Sustainable Exploitation of the Infinite-Dimensional Superposition of Affine Processes with an Application to Fish Migration, Hidekazu Yoshioka, Motoh Tsujimura, and Yumi Yoshioka, In J. Mikyška et al. (Eds.) ICCS 2023, LNCS 14077, 569-582. DOI: https://doi.org/10.1007/978-3-031-36030-5_45
  • 2023. Time-average stochastic control based on a singular local Lévy model for environmental project planning under habit formation, Hidekazu Yoshioka, Motoh Tsujimura, Kunihiko Hamagami, and Haruka Tomobe, Mathematical Methods in the Applied Sciences, 46(9), 9847-11297, DOI: 10.1002/mma.9140.
  • 2023. Modeling and computation of cost-constrained adaptive environmental management with discrete observation and intervention, Hidekazu Yoshioka, Motoh Tsujimura, and Haruka Tomobe, Journal of Computational and Applied Mathematics, 424, 114974, DOI: https://doi.org/10.1016/j.cam.2022.114974.
  • 2023. A robust consumption model when the intensity of technological progress is ambiguous, Motoh Tsujimura and Hidekazu Yoshioka, Mathematics and Financial Economics,17(1), 23-47, DOI: 10.1007/s11579-022-00325-5.
  • 2023.Assessing the value of investment in thermal generation capacity under price ambiguity in electricity and capacity markets, Motoh Tsujimura, The Social Sciences, 52(4), 299-313. (in Japanese)
  • 2022. Assessing Capital Investment Strategy with Convex Adjustment Cost under Ambiguity, Junichi Imai and Motoh Tsujimura, International Journal of Real Options and Strategy, 9, 11-39. DOI: https://doi.org/10.12949/ijros.9.11
  • 2022. Optimal sizing of the sediment replenishment capacity based on robust ergodic control of subordinator-driven dynamics, Hidekazu Yoshioka and Motoh Tsujimura, Optimization, 71(11), 3383-3417. DOI: 10.1080/02331934.2022.2103414
  • 2022. Modeling and computation of an integral operator Riccati equation for an infinite-dimensional stochastic differential equation governing streamflow discharge, Hidekazu Yoshioka, Motoh Tsujimura, Tomohiro Tanaka, Yumi Yoshioka, and Ayumi Hashiguchi, Computers and Mathematics with Applications, 126, 115-148. DOI: 10.1016/j.camwa.2022.09.0
  • 2022. Derivation and Computation of Integro-Riccati Equation for Ergodic Control of Infinite-Dimensional SDE, Hidekazu Yoshioka, Motoh Tsujimura. In: Groen, D., de Mulatier, C., Paszynski, M., Krzhizhanovskaya, V.V., Dongarra, J.J., Sloot, P.M.A. (eds) Computational Science – ICCS 2022. ICCS 2022. Lecture Notes in Computer Science, vol 13353. Springer, Cham. DOI: 10.1007/978-3-031-08760-8_47
  • 2022. Analytical and numerical solutions to ergodic control problems arising in environmental management, Hidekazu Yoshioka, Motoh Tsujimura, Yuta Yaegashi, Mathematical Methods in the Applied Sciences, 2022; 1-24. DOI: 10.1002/mma.8338.
  • 2022. Hamilton–Jacobi–Bellman–Isaacs equation for rational inattention in the long-run management of river environments under uncertainty, Hidekazu Yoshioka and Motoh Tsujimura, Computers and Mathematics with Applications, 112, 23-54.
  • 2021. Impulsive fishery resource transporting strategies based on an open-ended stochastic growth model having a latent variable, Hidekazu Yoshioka, Tomomi Tanaka, Futoshi Aranishi, Motoh Tsujimura, Yumi Yoshioka, Mathematical Methods in the Applied Sciences, DOI: 10.1002/mma.7982.
  • 2021. Examination of Exfoliation Dynamics of Algae with sediment transport, K. Hamagami, H. Yoshioka, S. Ito, M. Tsuchiya, M. Tsujimura, Y. Yoshioka, and Y. Yaegashi, Water Science, 65(3), 157-167.
  • 2021. HJB and Fokker-Planck equations for river environmental management based on stochastic impulse control with discrete and random observation Computers and Mathematics with Applications, Hidekazu Yoshioka, Motoh Tsujimura, Kunihiko Hamagami, Yuta Yaegashi, and Yumi Yoshioka, Computers and Mathematics with Applications, 96, 131-154. DOI: 10.1016/j.camwa.2021.05.015.
  • 2021. Cost-efficient monitoring of continuous-time stochastic processes based on discrete observations, Hidekazu Yoshioka, Yuta Yaegashi, Motoh Tsujimura, and Yumi Yoshioka, Applied Stochastic Models in Business and Industry. 37(1), 113-138. DOI:10.1002/asmb.2559.
  • 2020. A hybrid stochastic river environmental restoration modeling with discrete and costly observations, Hidekazu Yoshioka, Motoh Tsujimura, Kunihiko Hamagami, and Yumi Yoshioka, Optimal Control Applications and Method, 41(6), 1964-1994. DOI: 10.1002/oca.2616
  • 2020. Finite volume computation for the non-stationary probability density function of an impulsively controlled 1-D diffusion process, Yuta Yaegashi; Hidekazu Yoshioka; Motoh Tsujimura; Masayuki Fujihara, Journal of Advanced Simulation in Science and Engineering, 7(2), 262-278. DOI:10.15748/jasse.7.262
  • 2020. Stochastic control of single-species population dynamics model subject to jump ambiguity, Hidekazu Yoshioka and Motoh Tsujimura, Journal of Biological Dynamics,14(1), 696-729. DOI: 10.1080/17513758.2020.1811408.
  • 2020. Pollution reduction policies and their associated costs under uncertainty, Motoh Tsujimura, The Social Sciences, 50(2), 83-104. DOI:10.14988/00027791
  • 2020. A Simple Stochastic Process Model for River Environmental Assessment Under Uncertainty, H. Yoshioka., M. Tsujimura, K. Hamagami, and Y. Yoshioka. In: Krzhizhanovskaya V. et al. (eds) Computational Science – ICCS 2020. ICCS 2020. Lecture Notes in Computer Science, 12143. 494-507, Springer, Cham
  • 2020. Analysis and computation of an optimality equation arising in an impulse control problem with discrete and costly observations, Hidekazu Yoshioka and Motoh Tsujimura, Journal of Computational and Applied Mathematics, 366, 112399. https://doi.org/10.1016/j.cam.2019.112399.
  • 2019. Mathematical Modeling for Decision-Making of Observation Timing and Workload for Cost-Effective River Environmental Management, Hidekazu Yoshioka, Motoh Tsujimura, Yuta Yaegashi, and Masayuki Fujihara, Journal of Real Options and Strategy, 11, 25–37. https://doi.org/10.12949/realopn.11.25
  • 2015. Pollutant Abatement Investment under Ambiguity in a Two-Period Model, International Journal of Real Options and Strategy, 3, 13-26.
  • 2013. Assessing Alternative R&D Investment Projects under Uncertainty, International Journal of Real Options and Strategy, 1, pp. 1-16.
  • 2010. Irreversible investment, operating flexibility, and time lag, Asia-Pacific Journal of Operational Research, 27(2), pp. 271-286.(with M. Goto and R. Takashima)
  • 2010. Real Options in a Duopoly Setting: Investment on the Project with Operational Options and Fixed Costs, Journal of Applied Operational Research, 2, pp. 22-32.(with M. Goto and R. Takashima)
  • 2009. The value of a merger and its optimal timing, Applied Financial Economics, 19, pp. 1477-1485. (with M. Okawa).
  • 2008. Induced Effects and Technological Innovation with Strategic Environmental Policy, European Journal of Operational Research, 190, pp. 834-854. (with A. Ohyama)
  • 2008. Choice of alternative environmental policies under uncertainty. JAFEE Journal, pp. 24-51. (with M. Goto and R. Takashima) (in Japanese)
  • 2007. Stock Repurchase Policy with Transaction Costs under Jump Risks, in T. Dohi, S. Osaki and K. Sawaki (eds), Recent Advancement of Stochastic Operations Research, World Scientific, Singapore, pp. 161-174. (with H. Goko and M. Ohnishi)
  • 2006. Political Measures for Strategic Environmental Policy with External Effects, Environmental and Resource Economics, 35, pp. 109-135. (with A. Ohyama)
  • 2006. An Impulse Control of a Geometric Brownian Motion with Quadratic Costs, European Journal of Operational Research, 168, pp. 311-321. (with M. Ohnishi)
  • 2004. Creation of the Tourist Resources Conducive to the Local Society -Financial Approach to the Buried Cultural Property-, Journal of Tourism Research, No. 45. PP. 21-30. (with H. Akakabe and S. Ishikawa) (in Japanese)
  • 2004. Optimal Natural Resources Management under Uncertainty with Catastrophic Risk, Energy Economics, 26, pp. 487-499.
  • 2001. Optimal Implementation of Environmental Improvement Policy with Implementation Costs, Scientiae Mathematicae Japonicae Online, 4, pp. 613-628.

Nonrefereed Academic Papers
  • 2023. Valuation of Capacity Investment with Price Regulation under Output Price Risk, Motoh Tsujimura, Hidekazu Yoshioka, Ryuta Takashima, and Makoto Goto, RIMS Kôkyûroku, 2272, 114-121. (in Japanese)
  • 2023. Assessing the value of a thermal power plant considering power market and capacity mechanism, Motoh Tsujimura, Hidekazu Yoshioka, Ryuta Takashima, and Makoto Goto, RIMS Kôkyûroku, 2237, 104-115. (in Japanese)
  • 2023. Non-standard jump processes arising in environmental project planning, Hidekazu Yoshioka and Motoh Tsujimura, RIMS Kôkyûroku, 2237, 5-10. (in Japanese)
  • 2022. A review of stochastic controls solving economic agent problems under uncertainty, Motoh Tsujimura, Doshisha Syogaku, 74(2) 189-217. (in Japanese)
  • 2021. Changes in Capital stock with two types of costs under stochastic output demand and capital price, Motoh Tsujimura, RIMS Kôkyûroku, 2207, 71-76.(in Japanese)
  • 2021. Erlangization and ambiguity in environmental policy making, Hidekazu Yoshioka, Motoh Tsujimura, RIMS Kôkyûroku, 2207, 57-61.(in Japanese)
  • 2021. Capital expansion and reduction with fixed and proportional costs under demand ambiguity, Motoh Tsujimura, Doshisha Syogaku, 72(6), 209-227.
  • 2020. Partially reversible capital investment with both fixed and proportional costs under demand risk, RIMS Kôkyûroku, 2173, 108-124.
  • 2020. Growth of the fish Plecoglossus altivelis altivelis, Hidekazu Yoshioka, Yumi Yoshioka, Yuta Yaegashi, and Motoh Tsujimura, In Hidekazu Yoshioka ed, Ayu and River Environment in Hii River, Japan -Research results from 2015 to 2020, Laboratory of Mathematical Sciences for Environment and Ecology, Shimane University, 13-26, 2020. (in Japanese)
  • 2020. Applications of optimal control theory in river and natural resources management, Hidekazu Yoshioka and Motoh Tsujimura, In Hidekazu Yoshioka ed, Ayu and River Environment in Hii River, Japan -Research results from 2015 to 2020, Laboratory of Mathematical Sciences for Environment and Ecology, Shimane University, 63-76, 2020. (in Japanese)
  • 2019. Non-Local Fokker-Planck Equation of Imperfect Impulsive Interventions and its Effectively Super-Convergent Numerical Discretization. In: Tan G., Lehmann A., Teo Y., Cai W. (eds) Methods and Applications for Modeling and Simulation of Complex Systems. AsiaSim 2019. Communications in Computer and Information Science, vol 1094. Springer, Singapore. (Yoshioka H., Yaegashi Y., Tsujimura M., Fujihara M.)
  • 2019. Capital investment under output demand and investment cost ambiguity, RIMS Kôkyûroku, 2111, 125-136.
  • 2019. Partially Reversible Capital Investment under Demand Ambiguity, RIMS Kôkyûroku, 2106, 33-47.
  • 2017. An Abatement Investment Strategy with Stochastic Abatement Technology, RIMS Kôkyûroku, 2029, 1-5.
  • 2017. Impact of Ambiguity on Project Investment Timing: An Introduction, Communications of the Japan Association of Real Options and Strategy, 9(1), 56-61. (in Japanese)
  • 2016. Assessing Capital Investment Strategy with Quadratic Adjustment Cost under Ambiguity, RIMS Kôkyûroku, 1983, 1-7.
  • 2016. Pollution Thresholds under Uncertainty in Asymmetric Duopoly, RIMS Kôkyûroku, 1983, 27-40. (with M. Goto and R. Takashima)
  • 2014. Sequential Investment in Pollution Control Equipment under Uncertainty, Doshisha Syogaku, 66, 267-279
  • 2014. A Two-Period Model of Capital Investment under Ambiguity, RIMS Kôkyûroku, 1886, 18-22.
  • 2011. Valuation of a Reversible Capital Investment Project under Uncertainty, Journal of the Society of Instrument and Control Enginners, 50(11), 987-992. (in Japanese)
  • 2010. Choice of Alternative Environmental Policies with Quadratic Costs under Uncertainty RIMS Kôkyûroku, 1675, pp.248-260. (with M. Goto and R. Takashima)
  • 2008. Capacity investment with adjustment costs under uncertainty, Communications of the Operations Research Society of Japan, 53 pp. 603-607. (in Japanese)
  • 2008. Choice of alternative environmental policies with quadratic cost under uncertainty, Communications of the Operations Research Society of Japan, 53 pp. 235-239. (with M. Goto and R. Takashima) (in Japanese)
  • 2008. The Effect of Strategies on Mergers and Acquisitions, RIMS Kôkyûroku, 1580 pp. 195-205.(with M. Goto, M. Okawa and R. Takashima) (in Japanese)
  • 2008. Three Phased Switching of Operations under Uncertainty RIMS Kôkyûroku, 1580 pp. 185-194.(with M. Goto and R. Takashima)
  • 2008. Choice of Three Environmental Policies under Uncertainty, RIMS Kôkyûroku,1580 pp. 174-184. (with M. Goto and R. Takashima) (in Japanese)
  • 2006. Corporate Strategy and Management under Risk: A Stochastic Control Approach, in Financial Technology, Agency, and Management, edited by H. Takamori and M. Ide (Tokyo, Toyo Keizai Inc), 275-293. (in Japanese)
  • 2004. An Empirical Study on Mergers in Japanese Companies by Real Options Approach, Osaka Economic Papers, 54, pp. with M. Okawa. (in Japanese)
  • 2003. Impulse Control and Its Applications to Mathematical Finance, Osaka Economic Papers, 53, pp. 199-220.
  • 2003. Review of Option Value in Finance and Environmental Economics, Osaka Economic Papers, 52, pp. 1-39. (in Japanese)
  • 2002. Optimal Dividend Policy by an Impulse Control Approach, RIMS Kôkyûroku,, 1252, pp. 139-146. with M. Ohnishi. (in Japanese)
  • 2001. Optimal Impulse Control under a Geometric Brownian Motion, RIMS Kôkyûroku, 1194, pp. 225-232. with M. Ohnishi. (in Japanese)
  • 2000. Price Analysis of Tradable Emission Permits of CO2 by a Real Option Model, Osaka Economic Papers, 50, pp. 50-65.

Discussion Papers
  • 2009. A Real Options Game：Investment on the Project with Operational Options and Fixed Costs, Working Paper Series, Institute of Financial Studies, Waseda University, WIF-09-001. (with M. Goto and R. Takashima) submitted
  • 2007. The value of a merger and its optimal timing, Discussion Paper Series, Faculty of Economics, Ryukoku University, 07-02. (with M. Okawa)
  • 2007. Choice of alternative environmental policies under uncertainty. Discussion Paper Series, Faculty of Economics, Ryukoku University, 07-01. (with M. Goto and R. Takashima) (in Japanese)
  • 2006. Induced Effects and Technological Innovation with Strategic Environmental Policy, Discussion Paper 21COE Program "Interfaces for Advanced Economic Analysis", Kyoto University, No. 109. (with A. Ohyama).
  • 2004. An Impulse Control of a Geometric Brownian Motion with Quadratic Costs, Working Paper, Kyoto University, 75.with M. Ohnishi.
  • 2002. Optimal Natural Resources Management under Uncertainty with Catastrophic Risk, Discussion Papers In Economics And Business, Osaka University, 02-08
  • 2002. Optimal Dividend Policy with Transaction Costs under a Brownian Cash Reserve, Discussion Papers In Economics And Business, Osaka University, 02-07. with M. Ohnishi.
  • 1999. Price Analysis of Tradable Emission Permits of CO2 by a Real Option Model, Discussion Papers In Economics And Business, Osaka University, 99-04.

Others
  • 2006. Optimal capacity expansion and contraction with fixed and quadratic adjustment costs, Proceedings of the Sapporo Symposium on Financial Engineering and Its applications, pp. 7-20. (with M. Goto and R. Takashima)
  • 2004. Dividend and Stock Repurchase Policy with Transaction Costs, Abstract in the 2004 Spring National Conference of Operations Research Society of Japan, pp. 78-79.

Work in Progress