KOHATSU-HIGA Arturo


KOHATSU-HIGA Arturo

J-GLOBAL         Last updated: Nov 26, 2019 at 02:50
 
Avatar
Name
KOHATSU-HIGA Arturo
Affiliation
Ritsumeikan University
Section
College of Science and Engineering, Department of Mathematical Sciences
Job title
Professor
Degree
PhD(Purdue University)
Other affiliation
Ritsumeikan UniversityRitsumeikan University

Published Papers

 
Integration by parts formula for killed processes: a point of view of approximation theory
Noufel Frikha, Arturo Kohatsu-Higa, Libo Li
Electronical Journal of Probability   24(95) 1-44   Sep 2019
Tuning of a Bayesian estimator under discrete time observations and unknown transition density
A. Kohatsu-Higa, N. Vayatis and K. Yasuda
Theory of Stochastic Processes   39(1)    2018
Arturo Kohatsu-Higa and Go Yuki
ESAIM: Probability and Statistics   22 178−209   2018
LAN property for an ergodic diffusion with jumps
ARTURO KOHATSU-HIGA, EULALIA NUALART AND NGOC KHUE TRAN
Statistics   51(2) 419-454   2017
Exact simulation of stochastic differential equations using parametrix expansions.
Andersson, P. and Kohatsu-Higa, A.
Bernoulli   23(3) 2028-2057   2017

Books etc

 
Jump SDEs and the Study of Their Densities
Kohatsu-Higa, Arturo, Takeuchi, Atsushi
Springer   Jul 2019   ISBN:978-981-329-741-8
Statistical Inference and Malliavin Calculus
J.M. Corcuera and A. Kohatsu-Higa.
Seminar on Stochastic Analysis, Random Fields and Applications VI   2011   
Stochastic Analysis With Financial Applications Hong Kong 2009
A. Kohatsu-Higa and N. Privault and S.Sheu.
Springer-Verlag   Apr 2011   ISBN:978-3-0348-0096-9
Computation of Greek and multidimensional density estimation for asset price models with time-changed Brownian Motion
R. Kawai and A. Kohatsu-Higa.
Applied Mathematical Finance   2010   
Weak Kyle-Back equilibrium models for Max and ArgMax
A. Kohatsu-Higa and S. Ortiz.
SIAM Journal on Financial Mathematics   2010   

Conference Activities & Talks

 
Perspectives on Statistical Methods for Time Dependent Processes (Session organizer)
ISI-WSC 2019   21 Aug 2019   
Integration by parts formula for stopped processes: An unbiased formula
Workshop on Stochastic Analysis and Applications   4 Jun 2019   
Sensitivity analysis: some irregular examples
Seminario: Data Lab   23 Apr 2019   
Organizer
Perturbation Techniques in Stochastic Analysis and Its Applications   15 Mar 2019   
Représentations markoviennes des expansions analytiques des solutions des edp et ses applications
Seminaire de Marne   11 Dec 2018