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Kohatsu Higa Arturo  Ｋｏｈａｔｓｕ・Ｈｉｇａ Ａ

ORCIDConnect your ORCID iD *help
… Alternative Names

KOHATSU HIGA Arturo  KOHATSU・HIGA A

KOHATSUHIGA Auturo  コハツ・ヒガ アルトゥーロ

KOHATSU-HIGA Arturo  コハツヒガ アルツーロ

A Kohatsu・Higa  コハツ・ヒガ アルツーロ

ARTURO Kohatsu-higa  アルトゥーロ コハツ・ヒガ

A Kohatsu・HIga  コハツ・ヒガ アルツーロ

KOHATSU-HIGA Artuto  KOHATSU-HIGA Arturo

アルトゥロ コハツーヒガ

コハツーヒガ アルトゥロ  コハツーヒガ アルトゥーロ

ARTURO Kohatsu-Higa  アルトゥーロ コハツーヒガ

コハツ-ヒガ アルトゥーロ

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Researcher Number 80420412
Other IDs
Affiliation (Current) 2021: 立命館大学, 理工学部, 教授
Affiliation (based on the past Project Information) *help 2011 – 2020: 立命館大学, 理工学部, 教授
2007 – 2010: Osaka University, 基礎工学研究科, 准教授
2007 – 2008: Osaka University, graduate school of engineering science, associate professor
2006: 大阪大学, 大学院基礎工学研究科, 助教授
2005: 大阪大学, 大学院・基礎工学研究科, 助教授
Review Section/Research Field
Principal Investigator
General mathematics (including Probability theory/Statistical mathematics) / Basic analysis / Basic Section 12010:Basic analysis-related
Except Principal Investigator
General mathematics (including Probability theory/Statistical mathematics) / Basic analysis / Money/ Finance
Keywords
Principal Investigator
シミュレーション / 確率微分方程式 / 確率論 / 数値解析 / Malliavin解析 / 無限次元解析 / ジャンプ型モデル / 確率変数 / 数理ファイナンス / モンテカルロ法 … More / インサイダー取引モデル / market timer現象 / 制御論 / 取引費用 / ミュレーション / リスク / 誤差評価 / 非線形 / 非線形偏微分方程式 / 確率過程 / Multi-levelモンテカルロ方法 / 密度関数 / BSDE / 近似 / parametrix / 誤差のないシミュレーション / 確率解析 / なめらかでない係数 / モデル化 / シミュレーション方法シミュレーション方法 / 応用数学 / 拡散課程 / 部分積分公式 / 停止時間 / 反射付き確率微分方程式 … More
Except Principal Investigator
準古典極限 / 確率解析 / 場の量子論 / ループ空間 / ラフパス解析 / 大偏差確率制御 / 粘性解 / ハミルトン・ヤコビ方程式 / 期待効用最大化 / 確率微分方程式 / 金融論 / セミマルチンゲール / フィルターの拡大 / コンペンセーター / インサイダー / 対数効用 / シュレーディンガー作用素 / ループ空間無限次元解析 / アダマール変分 / ラフパス解 / 境界条件付きHodge-Kodaira型作用素 / 対数ソボレフ不等式 / 無限次元解析 / 繰り込み / H-J-B 方程式 / ポートフォリオ最適化 / デリバティブの価値評価 / 双対性定理 / エルゴード型確率制御 / リスク鋭感的確率制御 / ロバスト性 / エルゴード型H-J-B方程式 / インサイダー取引市場モデル / リスク鋭感的価値尺度 / ポートフォリオ最適化、大偏差確率制御 / H-J-B方程式 / ダウンサイドリスク最小化 / 価値尺度 / インサイダー取引モデル / 局所最大値原理 / ハルナック不等式 / ダウンサイドリスク / リスク鋭感的制御 / 弱近似 / 最適輸送写像 / 確率測度の幾何学 / 処罰問題 / ループ群 / アレクサンドロ / 超縮小性 / アレクサンドロフ空間 / 新古典不等式 / 期待効用最大化問題 / 準変分不等式 / 取引費用 / インサイダー取引 / 線形ガウス型市場モデル / リスク鋭感的ポートフォリオ最大化 / super kernel / 密度関数推定 / モーメント問題 / スペクトル理論 / HJB方程式 / 最小エントロピー測度 / べき型期待効用最大化 / 最適制御 / 指数型ウィナー汎関数 / 最小エントロピー / ファクターモデル / Hamilton-Jacobi-Bellman方程式 / 確率制御 / ブラウン運動 / expected utility maximization problems / quasi-variational inequalities / transaction costs / insider trading / viscosity solutions / Hamilton-Jacobi equation / large deviation control / 数理ファイナンス / フーリエ法 / タイミングリスク / 静的ヘッジ / フラクショナルボラティリティ / 連続時間マクロファイナンス / ラフボラティリティモデル / 連鎖倒産モデル / 拡散過程の対称化 / 確率論 / 応用数学 / 熱核法 / 構造型アプローチ / 国際研究者交流 / 国際情報交換 / 金利の期間構造 / エキゾチックデリバティブ / 企業金融 / ファイナンス / 資産価格 / 金融 / 確率過程 Less

  • Research Projects

    (12 results)

  • Research Products

    (806 results)

  • Co-Researchers

    (58 People)

  •  Integration by parts formulas for non-smooth diffusion processes and their applicationsPrincipal InvestigatorOngoing

    • Principal Investigator
      Kohatsu・Higa A
    • Project Period (FY)
      2020 – 2023
    • Research Category
      Grant-in-Aid for Scientific Research (C)
    • Review Section
      Basic Section 12010:Basic analysis-related
    • Research Institution
      Ritsumeikan University

  •  Infinite dimensional analysis using the parametrix methodPrincipal Investigator

    • Principal Investigator
      Kohatsu Higa Arturo
    • Project Period (FY)
      2016 – 2019
    • Research Category
      Grant-in-Aid for Scientific Research (C)
    • Research Field
      Basic analysis
    • Research Institution
      Ritsumeikan University

  •  A Dynamic Analysis of Corporate Profitability and Risk Choices: Theory and Empirical Data from Japanese Firms

    • Principal Investigator
      HORI Keiichi
    • Project Period (FY)
      2016 – 2019
    • Research Category
      Grant-in-Aid for Scientific Research (B)
    • Research Field
      Money/ Finance
    • Research Institution
      Kwansei Gakuin University

  •  Heat Kernel Approach in Financial Engineering of New Generation

    • Principal Investigator
      Akahori Jiro
    • Project Period (FY)
      2013 – 2017
    • Research Category
      Grant-in-Aid for Scientific Research (B)
    • Research Field
      Money/ Finance
    • Research Institution
      Ritsumeikan University

  •  Non-smooth stochastic differential equations: Applications to numerical simulationsPrincipal Investigator

    • Principal Investigator
      KOHATSU HIGA Arturo
    • Project Period (FY)
      2012 – 2014
    • Research Category
      Grant-in-Aid for Scientific Research (B)
    • Research Field
      General mathematics (including Probability theory/Statistical mathematics)
    • Research Institution
      Ritsumeikan University

  •  New development of infinite dimensional stochastic analysis and its applications

    • Principal Investigator
      AIDA Shigeki
    • Project Period (FY)
      2009 – 2011
    • Research Category
      Grant-in-Aid for Scientific Research (A)
    • Research Field
      Basic analysis
    • Research Institution
      Tohoku University
      Osaka University

  •  Numerical Analysis of Jump-Models and Applications of Malliavin Calculus in FinancePrincipal Investigator

    • Principal Investigator
      ARTURO Kohatsu-higa
    • Project Period (FY)
      2009 – 2011
    • Research Category
      Grant-in-Aid for Scientific Research (B)
    • Research Field
      General mathematics (including Probability theory/Statistical mathematics)
    • Research Institution
      Ritsumeikan University
      Osaka University

  •  Development of the methods of stochastic control and filtering in mathematical finance

    • Principal Investigator
      NAGAI Hideo
    • Project Period (FY)
      2008 – 2012
    • Research Category
      Grant-in-Aid for Scientific Research (B)
    • Research Field
      General mathematics (including Probability theory/Statistical mathematics)
    • Research Institution
      Kansai University
      Osaka University

  •  Mathematical Finance : Insider Models and Applications of MalliavinCalculusPrincipal Investigator

    • Principal Investigator
      KOHATSU-HIGA Arturo
    • Project Period (FY)
      2006 – 2008
    • Research Category
      Grant-in-Aid for Scientific Research (B)
    • Research Field
      General mathematics (including Probability theory/Statistical mathematics)
    • Research Institution
      Osaka University

  •  Enlargement of filtration generated by semimartingales and its applications to mathematical finance

    • Principal Investigator
      YAMAZATO Makoto
    • Project Period (FY)
      2006 – 2008
    • Research Category
      Grant-in-Aid for Scientific Research (C)
    • Research Field
      General mathematics (including Probability theory/Statistical mathematics)
    • Research Institution
      University of the Ryukyus

  •  Stochastic analysis and semi-classical problems on infinite dimensional spaces

    • Principal Investigator
      AIDA Shigeki
    • Project Period (FY)
      2006 – 2008
    • Research Category
      Grant-in-Aid for Scientific Research (C)
    • Research Field
      Basic analysis
    • Research Institution
      Osaka University

  •  Expected utility maximiaation problems and stochastic control

    • Principal Investigator
      NAGAI HIideo
    • Project Period (FY)
      2004 – 2007
    • Research Category
      Grant-in-Aid for Scientific Research (B)
    • Research Field
      General mathematics (including Probability theory/Statistical mathematics)
    • Research Institution
      Osaka University

All 2020 2019 2018 2017 2016 2015 2014 2013 2012 2011 2010 2009 2008 2007 2006 2005 2004 Other

All Journal Article Presentation Book

  • [Book] Jump SDEs and the Study of Their Densities2019
    • Author(s)
      Arturo Kohatsu-Higa and Atsushi Takeuchi
    • Total Pages
      376
    • Publisher
      Springer
    • ISBN
      9789813297401
    • Data Source
      KAKENHI-PROJECT-16K05215

  • [Book] Option pricing in incomplete markets": Modeling based on geometric Levy processes and minimal entropy martingale measures2012
    • Author(s)
      Y. Miyahara
    • Total Pages
      185
    • Publisher
      Imperial College Press
    • Data Source
      KAKENHI-PROJECT-20340019

  • [Book] Option pricing in Incomplete Markets: Modeling Based on Geometric Levy Processes and Minimal Entropy Martingale Measures2012
    • Author(s)
      Y. Miyahara
    • Total Pages
      185
    • Publisher
      Imperial College Press
    • Data Source
      KAKENHI-PROJECT-20340019

  • [Book] Feynman-Kac-Type Theorems and Gibbs Measures on Path Space. With Applications into Rigorous Quantum Field Theory2011
    • Author(s)
      J.Lorinczi, F.Hiroshima, V.Betz (共同執筆)
    • Total Pages
      506
    • Publisher
      Walter de Gruyter
    • Data Source
      KAKENHI-PROJECT-21244009

  • [Book] Feynman-Kac-Type Theorems and Gibbs measures on Path space. With applications to rigorous quantum field theory2011
    • Author(s)
      J.L.rinczi, Fumio Hiroshima, V.Betz
    • Publisher
      Walter de Gruyter Inc
    • Data Source
      KAKENHI-PROJECT-21244009

  • [Book] Encyclopedia of Quantitative Finance2010
    • Author(s)
      H.Nagai (分担執筆)
    • Publisher
      Wiley(In press)
    • Data Source
      KAKENHI-PROJECT-20340019

  • [Book] Stochastic Processes and Applications to Mathematical Finance : Proceedings of the 6th International Symposium2007
    • Author(s)
      S. Ogawa, J. Akahori and S. Watanabe
    • Total Pages
      297
    • Publisher
      Ritsumeikan University, World Scientific Publishing Co.,
    • Data Source
      KAKENHI-PROJECT-18340029

  • [Book] Differential equations and eigenfunctionexpansion2006
    • Author(s)
      S., Kotani
    • Publisher
      Iwanami
    • Description
      「研究成果報告書概要(欧文)」より
    • Data Source
      KAKENHI-PROJECT-16340025

  • [Journal Article] Second order probabilistic parametrix method for unbiased simulation of stochastic differential equations2020
    • Author(s)
      Patrik Andersson, Arturo Kohatsu-Higa, Tomooki Yuasa
    • Journal Title

      Stochastic Processes and their Applications

      Volume: -

    • DOI

      10.1016/j.spa.2020.03.016

    • Peer Reviewed / Int'l Joint Research
    • Data Source
      KAKENHI-PROJECT-16H03642, KAKENHI-PROJECT-16K05215

  • [Journal Article] Large time asymptotic properties of the stochastic heat equation2020
    • Author(s)
      Arturo Kohatsu-Higa and David Nualart
    • Journal Title

      Journal of Theoretical Probability

      Volume: ー

    • DOI

      10.1007/s10959-020-01007-y

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-16K05215

  • [Journal Article] p-conformal maps on the triangular lattice2019
    • Author(s)
      Jiro Akahori, Yuuki Ida, Greg Markowsky
    • Journal Title

      Statistics and Probability Letters

      Volume: 151 Pages: 42-48

    • DOI

      10.1016/j.spl.2019.03.010

    • Peer Reviewed / Int'l Joint Research
    • Data Source
      KAKENHI-PROJECT-16K05215

  • [Journal Article] Integration by parts formula for killed processes: a point of view from approximation theory2019
    • Author(s)
      Noufel Frikha, Arturo Kohatsu-Higa, and Libo Li
    • Journal Title

      Electronic Journal of Probability

      Volume: 24

    • DOI

      10.1214/19-ejp352

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-16K05215

  • [Journal Article] Bridge representation and modal-path approximation2019
    • Author(s)
      Jiro Akahori, Xiaoming Song, Tai-Ho Wang
    • Journal Title

      Stochastic Processes and their Applications

      Volume: 129 Pages: 174-204

    • DOI

      10.1016/j.spa.2018.02.013

    • Peer Reviewed / Int'l Joint Research
    • Data Source
      KAKENHI-PROJECT-16K05215, KAKENHI-PROJECT-16H03642

  • [Journal Article] Performance of agricultural cooperative banks in Japan2019
    • Author(s)
      Kozo Harimaya and Koichi Kagitani
    • Journal Title

      Agricultural Finance Review

      Volume: 80/1 Pages: 38-50

    • DOI

      10.1108/afr-03-2019-0036

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-19K01765, KAKENHI-PROJECT-16H03642, KAKENHI-PROJECT-19H01505

  • [Journal Article] Asymptotic Static Hedge via Symmetrization2018
    • Author(s)
      J. Akahori, Barsotti, F., & Imamura, Y.
    • Journal Title

      arXiv

      Volume: arXiv:1801.04045 [q-fin.PR]

    • Open Access / Int'l Joint Research
    • Data Source
      KAKENHI-PROJECT-25285102

  • [Journal Article] Effects of Bank Branch Competition on Rural Firm Entry and Exit: Evidence from Hokkaido, Japan2018
    • Author(s)
      Kozo Harimaya and Yasufumi Ozaki
    • Journal Title

      Theoretical Economics Letters

      Volume: 8 Pages: 390-404

    • DOI

      10.4236/tel.2018.83028

    • Peer Reviewed / Open Access
    • Data Source
      KAKENHI-PROJECT-16K03760, KAKENHI-PROJECT-16H03642

  • [Journal Article] The effects of consolidation on bank cost savings: Evidence from Japanese regional banks2018
    • Author(s)
      Kozo Harimaya
    • Journal Title

      Japan and the World Economy

      Volume: 印刷中 Pages: 41-49

    • DOI

      10.1016/j.japwor.2018.03.002

    • Peer Reviewed / Open Access
    • Data Source
      KAKENHI-PROJECT-16K03760, KAKENHI-PROJECT-16H03642

  • [Journal Article] Tuning of a Bayesian estimator under discrete time observations and unknown transition density2018
    • Author(s)
      A. Kohatsu-Higa, N. Vayatis and K. Yasuda
    • Journal Title

      Theory of Stochastic Processes

      Volume: 39 Pages: 18-52

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-16K05215

  • [Journal Article] Stochastic formulations of the parametrix method2018
    • Author(s)
      Arturo Kohatsu-Higa　and Go Yuki
    • Journal Title

      ESAIM: Probability and Statistics

      Volume: 22 Pages: 178-209

    • DOI

      10.1051/ps/2018013

    • Peer Reviewed / Int'l Joint Research
    • Data Source
      KAKENHI-PROJECT-16K05215, KAKENHI-PROJECT-16H03642

  • [Journal Article] Default Contagion with Domino Effect, A First Passage Time Approach2017
    • Author(s)
      Jiro Akahori, Hai Ha Pham
    • Journal Title

      arXiv

      Volume: arXiv:1708.08411 [q-fin.MF]

    • Open Access / Int'l Joint Research
    • Data Source
      KAKENHI-PROJECT-25285102

  • [Journal Article] Corporate governance structure and efficiencies of cooperative banks2017
    • Author(s)
      Nobuyoshi Yamori, Kozo Harimaya, and Kei Tomimura
    • Journal Title

      International Journal of Finance and Economics

      Volume: 22 Pages: 368-378

    • DOI

      10.1002/ijfe.1593

    • NAID

      120006398792

    • Peer Reviewed / Open Access
    • Data Source
      KAKENHI-PROJECT-16K03760, KAKENHI-PROJECT-16H02027, KAKENHI-PROJECT-15H03366, KAKENHI-PROJECT-16H03642, KAKENHI-PROJECT-17H02533

  • [Journal Article] The efficiency of Japanese financial cooperatives: An application of parametric distance functions2017
    • Author(s)
      Nobuyoshi Yamori, Kozo Harimaya, and Kei Tomimura
    • Journal Title

      Journal of Economics and Business

      Volume: 94 Pages: 43-53

    • DOI

      10.1016/j.jeconbus.2017.09.001

    • Peer Reviewed / Open Access
    • Data Source
      KAKENHI-PROJECT-16K03760, KAKENHI-PROJECT-16H02027, KAKENHI-PROJECT-16H03642, KAKENHI-PROJECT-17H02533

  • [Journal Article] Weak rate of convergence of the Euler-Maruyama scheme for stochastic differential equations with non-regular drift2017
    • Author(s)
      Kohatsu-Higa Arturo、Lejay Antoine、Yasuda Kazuhiro
    • Journal Title

      Journal of Computational and Applied Mathematics

      Volume: 326 Pages: 138-158

    • DOI

      10.1016/j.cam.2017.05.015

    • Peer Reviewed / Int'l Joint Research
    • Data Source
      KAKENHI-PROJECT-16H03642

  • [Journal Article] A Discrete-Time Clark?Ocone Formula and its Application to an Error Analysis2017
    • Author(s)
      Jiro Akahori, Takafumi Amaba, Kaori Okuma
    • Journal Title

      Journal of Theoretical Probability

      Volume: published online Pages: 932-960

    • DOI

      10.1007/s10959-016-0666-8

    • Peer Reviewed / Acknowledgement Compliant
    • Data Source
      KAKENHI-PROJECT-25285102, KAKENHI-PROJECT-16H03642

  • [Journal Article] Agency Contracts, Noncommitment Timing Strategies and Real Options2017
    • Author(s)
      Keiichi Hori, Hiroshi Osano
    • Journal Title

      The Japanese Economic Review

      Volume: - Pages: 521-554

    • DOI

      10.1111/jere.12144

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-25245031, KAKENHI-PROJECT-16H03642

  • [Journal Article] Probability density of lognormal fractional SABR model2017
    • Author(s)
      Jiro Akahori, Xiaoming Song, Tai-Ho Wang
    • Journal Title

      arXiv:1702.08081

      Volume: NA

    • Peer Reviewed / Acknowledgement Compliant / Open Access / Int'l Joint Research
    • Data Source
      KAKENHI-PROJECT-25285102

  • [Journal Article] LAN property for an ergodic diffusion with jumps2017
    • Author(s)
      Kohatsu-Higa Arturo、Nualart Eulalia、Tran Ngoc Khue
    • Journal Title

      Statistics

      Volume: 51 Pages: 419-454

    • DOI

      10.1080/02331888.2016.1239727

    • Peer Reviewed / Int'l Joint Research
    • Data Source
      KAKENHI-PROJECT-16K05215

  • [Journal Article] The Value of Timing Risk2017
    • Author(s)
      Jiro Akahori, Flavia Barsotti, Yuri Imamura
    • Journal Title

      arXiv:1701.05695

      Volume: NA

    • Peer Reviewed / Acknowledgement Compliant / Open Access / Int'l Joint Research
    • Data Source
      KAKENHI-PROJECT-25285102

  • [Journal Article] Unbiased simulation of stochastic differential equations using parametrix expansions2017
    • Author(s)
      Andersson, Patrik; Kohatsu-Higa, Arturo
    • Journal Title

      Bernoulli

      Volume: 23 Pages: 2028-2057

    • DOI

      10.3150/16-bej803

    • Peer Reviewed / Int'l Joint Research
    • Data Source
      KAKENHI-PROJECT-16K05215

  • [Journal Article] Regularity of the density of a stable-like driven sde with Holder continuous coefficients2016
    • Author(s)
      Arturo Kohatsu-Higa, Libo Li
    • Journal Title

      Stochastic Analysis and Its Applications

      Volume: 34 Pages: 979-1024

    • DOI

      10.1080/07362994.2016.1198706

    • Acknowledgement Compliant / Int'l Joint Research
    • Data Source
      KAKENHI-PROJECT-16K05215

  • [Journal Article] Bridge representation and modal-path approximation2016
    • Author(s)
      Jiro Akahori, Xiaoming Song, Tai-Ho Wang
    • Journal Title

      arXiv:1607.03074

      Volume: NA

    • Peer Reviewed / Acknowledgement Compliant / Open Access / Int'l Joint Research
    • Data Source
      KAKENHI-PROJECT-25285102

  • [Journal Article] Attraction properties for general urn processes and applications to a class of interacting reinforced particle systems2016
    • Author(s)
      Jiro Akahori, Andrea Collevecchio, Timothy Garoni, Kais Hamza
    • Journal Title

      arXiv:1602.05677

      Volume: NA

    • Peer Reviewed / Acknowledgement Compliant / Open Access / Int'l Joint Research
    • Data Source
      KAKENHI-PROJECT-25285102

  • [Journal Article] Parametrix methods for skew diffusions.2016
    • Author(s)
      Arturo Kohatsu-Higa, Dai Taguchi, Jie Zhong
    • Journal Title

      Potential Analysis

      Volume: 45 Pages: 299-329

    • DOI

      10.1007/s11118-016-9547-0

    • Peer Reviewed / Acknowledgement Compliant / Int'l Joint Research
    • Data Source
      KAKENHI-PROJECT-16K05215

  • [Journal Article] STRONG RATE OF CONVERGENCE FOR THE EULER-MARUYAMA APPROXIMATION OF STOCHASTIC DIFFERENTIAL EQUATIONS WITH IRREGULAR COEFFICIENTS2015
    • Author(s)
      Hoang-Long Ngo, Taguchi Dai,
    • Journal Title

      Mathematics of Computation

      Volume: 印刷中

    • Peer Reviewed / Open Access
    • Data Source
      KAKENHI-PROJECT-24340022

  • [Journal Article] Gaussian type lower bounds for the density of solutions of SDEs driven by fractional Brownian motions2015
    • Author(s)
      Mireia Besalu;, Arturo Kohatsu-Higa, Samy Tindel
    • Journal Title

      Annals of Probability (to appear)

      Volume: 印刷中

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-24340022

  • [Journal Article] Stability problem for one-dimensional stochastic differential equations with discontinuous drift2015
    • Author(s)
      Taguchi Dai
    • Journal Title

      Seminaire de Probabilites(予定)

      Volume: 48

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-24340022

  • [Journal Article] Non-life Insurance Mathematics2014
    • Author(s)
      Makoto Yamazato
    • Journal Title

      Pro Mathematica

      Volume: 28 Pages: 85-127

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-24340022

  • [Journal Article] Remark on the integration by parts formula on the Poisson space2014
    • Author(s)
      A. Takeuchi
    • Journal Title

      to appear in The Institute of Statistical Mathematics Cooperative Research Report

      Volume: 発行中

    • Data Source
      KAKENHI-PROJECT-24340022

  • [Journal Article] Asymptotic behavior of densities for stochastic functional differential equations2014
    • Author(s)
      A. Takeuchi
    • Journal Title

      RIMS Kokyuroku

      Volume: 1903 Pages: 198-204

    • Data Source
      KAKENHI-PROJECT-24340022

  • [Journal Article] LAN property for a simple Levy process2014
    • Author(s)
      Arturo Kohatsu-Higa, Eulalia Nualart, Ngoc Khue Tran
    • Journal Title

      C. R. Acad. Sci. Paris, Ser. I

      Volume: 352 Pages: 859-864

    • DOI

      10.1016/j.crma.2014.08.013

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-24340022

  • [Journal Article] Approximations of non-smooth integral type functionals of one dimensional diffusion processes2014
    • Author(s)
      Arturo Kohatsu-Higa and Ngo Long and Azmi Makhlouf
    • Journal Title

      Stochastic Processes and their Applications

      Volume: 124 Pages: 1881-1909

    • DOI

      10.1016/j.spa.2014.01.003

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-24340022

  • [Journal Article] On Effects of Estimations and Information for Expected Log- Utility Maximization Problems2014
    • Author(s)
      Y. Asakura, K. Yasuda
    • Journal Title

      Proceedings of the 45th ISCIE International Symposium on Stochastic Systems Theory and Its Applications　（electronic proceedings）

      Volume: なし Pages: 90-99

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-24340022

  • [Journal Article] Affine term structure as multi-soliton2014
    • Author(s)
      Hidemi Aihara, Jiro Akahori, and Edouard Grenier
    • Journal Title

      JSIAM Letters

      Volume: 6 Issue: 0 Pages: 17-20

    • DOI

      10.14495/jsiaml.6.17

    • NAID

      130004540626

    • ISSN
      1883-0609, 1883-0617
    • Language
      English
    • Peer Reviewed / Acknowledgement Compliant / Open Access
    • Data Source
      KAKENHI-PROJECT-23330109, KAKENHI-PROJECT-23654056, KAKENHI-PROJECT-25285102

  • [Journal Article] A Heat Kernel Approach to Interest Rate Models2014
    • Author(s)
      Jiro Akahori, Yuji Hishida, Josef Teichmann and Takahiro Tsuchiya
    • Journal Title

      Japan Journal of Industrial and Applied Mathematics

      Volume: 31/2 Pages: 419-439

    • DOI

      10.1007/s13160-014-0147-3

    • Peer Reviewed / Acknowledgement Compliant
    • Data Source
      KAKENHI-PROJECT-23330109, KAKENHI-PROJECT-25285102

  • [Journal Article] Some results on Parisian walks2014
    • Author(s)
      J. Akahori and Y. Ida
    • Journal Title

      JSIAM Letters

      Volume: 6 Issue: 0 Pages: 77-80

    • DOI

      10.14495/jsiaml.6.77

    • NAID

      130004706461

    • ISSN
      1883-0609, 1883-0617
    • Language
      English
    • Peer Reviewed / Acknowledgement Compliant / Open Access
    • Data Source
      KAKENHI-PROJECT-25285102

  • [Journal Article] Stochastic mesh methods for Hormander type diffusion processes2014
    • Author(s)
      Shigeo Kusuoka and Yusuke Morimoto
    • Journal Title

      Advances in Mathematical Economics ed. S.Kusuoka, M.Maruyama

      Volume: Vol.18

    • NAID

      40021337178

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-24340022

  • [Journal Article] On a Symmetrization of Diffusion Processes2014
    • Author(s)
      Jiro Akahori and Yuri Imamura
    • Journal Title

      Quantitative Finance

      Volume: 印刷中 Pages: 1211-1216

    • DOI

      10.1080/14697688.2013.825923

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-25285102, KAKENHI-PROJECT-26780193

  • [Journal Article] Investment Timing Decisions of Managers under Endogenous Contracts2014
    • Author(s)
      Keiichi Hori and Hiroshi Osano
    • Journal Title

      Journal of Corporate Finance

      Volume: 29 Pages: 607-627

    • DOI

      10.1016/j.jcorpfin.2013.11.013

    • NAID

      120005525706

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-23330109, KAKENHI-PROJECT-25245031, KAKENHI-PROJECT-25245052, KAKENHI-PROJECT-25285102, KAKENHI-PROJECT-26380236

  • [Journal Article] Hölder continuity property of the densities of SDEs with singular drift coefficients2014
    • Author(s)
      Masafumi Hayashi and Arturo Kohatsu and Go Yuki
    • Journal Title

      Electronic Journal of Probability

      Volume: 19 Pages: 1-22

    • DOI

      10.1214/ejp.v19-2609

    • Peer Reviewed / Open Access
    • Data Source
      KAKENHI-PROJECT-24340022, KAKENHI-PROJECT-26800061

  • [Journal Article] Convergence rate of stability problems of SDEs with (dis-)continuous coefficients2014
    • Author(s)
      Hiroya Hashimoto and Takahiro Tsuchiya
    • Journal Title

      arXiv:1401.4542 [math.PR]

      Volume: 2014 Pages: 1-14

    • Data Source
      KAKENHI-PROJECT-24340022

  • [Journal Article] Remark on the integration by parts formula on the Poisson space2014
    • Author(s)
      A. Takeuchi
    • Journal Title

      The Institute of Statistical Mathematics Cooperative Research Report

      Volume: 328 Pages: 105-109

    • Data Source
      KAKENHI-PROJECT-24340022

  • [Journal Article] Local Holder continuity property of the densities of solutions of SDEs with singular coefficients2013
    • Author(s)
      M. Hayashi, A. Kohatsu-Higa and G. Yuki.
    • Journal Title

      Tb appear in Journal of Theoretical Probability

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-24340022

  • [Journal Article] A new PDE approach to the large time asymptotics of solutions of Hamilton-Jacobi equations2013
    • Author(s)
      G.Barles, H.Ishii and H.Mitake
    • Journal Title

      Bull. Math. Sci.

      Volume: (in press) Pages: 363-388

    • DOI

      10.1007/s13373-013-0036-0

    • Peer Reviewed / Open Access
    • Data Source
      KAKENHI-PROJECT-20340019, KAKENHI-PROJECT-21224001, KAKENHI-PROJECT-23244015, KAKENHI-PROJECT-24840043

  • [Journal Article] Managerial Incentives and the Role of Advisors in the Continuous-Time Agency Model2013
    • Author(s)
      Keiichi Hori and Hiroshi Osano
    • Journal Title

      Review of Financial Studies

      Volume: 26/ 10 Pages: 2620-2647

    • DOI

      10.1093/rfs/hht027

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-23330109, KAKENHI-PROJECT-23530217, KAKENHI-PROJECT-25245031, KAKENHI-PROJECT-25285102

  • [Journal Article] Expected power-utility maximization under incomplete information and with Cox-process observations2013
    • Author(s)
      H. Nagai
    • Journal Title

      Applied Mathematics and Optimization

      Volume: 67 Pages: 33-72

    • DOI

      10.1007/s00245-012-9180-2

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-20340019, KAKENHI-PROJECT-23244015, KAKENHI-PROJECT-25400150

  • [Journal Article] Asymptotic behavior of densities for stochastic functional differential equations2013
    • Author(s)
      A. Kitagawa and A. Takeuchi
    • Journal Title

      International Journal of Stochastic Analysis

      Volume: 2013 Pages: 1-17

    • DOI

      10.1155/2013/537023

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-23540220, KAKENHI-PROJECT-23740083, KAKENHI-PROJECT-24340022

  • [Journal Article] Computations of Greeks for asset price dynamics with stable and tempered stable processes2013
    • Author(s)
      Reichiro Kawai, A.Takeuchi
    • Journal Title

      Quantitative Finance

      Volume: (Published online) Pages: 1303-1316

    • DOI

      10.1080/14697688.2011.589403

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-21340024, KAKENHI-PROJECT-23740083, KAKENHI-PROJECT-24340022

  • [Journal Article] An Algebraic Approach to the Cameron-Martin-Maruyama-Girsanov Formula2013
    • Author(s)
      Jiro Akahori
    • Journal Title

      Mathematical Journal of Okayama University

      Volume: 55 Pages: 167-190

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-24340022

  • [Journal Article] Optimal simulation schemes for Levy driven stochastic differential equations2013
    • Author(s)
      Arturo Kohatsu-Higa Salvador Ortiz-Latorre Peter Tankov
    • Journal Title

      Tb appear in Mathematics of Computation.

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-24340022

  • [Journal Article] Local Holder Continuity Property of the Densities of Solutions of SDEs with Singular Coefficients2013
    • Author(s)
      M. Hayashi, A. Kohatsu-Higa and G. Yuki
    • Journal Title

      Journal of Theoretical Probability

      Volume: Volume 26, Number 4 Pages: 1117-1134

    • DOI

      10.1007/s10959-012-0430-7

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-24340022

  • [Journal Article] Rotation invariant alpha-stable process から導かれるSDEのオイラー丸山近似の収束について2013
    • Author(s)
      Hiroya Hashimoto and Takahiro Tsuchiya
    • Journal Title

      RIMS 数理解析研究所講究録

      Volume: 1855 Pages: 229-235

    • Data Source
      KAKENHI-PROJECT-24340022

  • [Journal Article] Estimates for the density of functionals of SDE's with irregular drift2013
    • Author(s)
      Arturo Kohatsu-Higa and Azmi Makhlouf
    • Journal Title

      Stochastic Processes and their Applications.

      Volume: 123(5) Pages: 1716-1828

    • DOI

      10.1016/j.spa.2013.01.006

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-24340022

  • [Journal Article] Strong consistency of the Bayesian estimator for the Ornstein-Uhlenbeck process2013
    • Author(s)
      Arturo Kohatsu-Higa, Nicolas Vayatis and Kazuhiro Yasuda
    • Journal Title

      Tb appear in the proceedings of the Metabief Conference

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-24340022

  • [Journal Article] A Market model with Medium/Long term effects due to an insider.2013
    • Author(s)
      Hata, Hiroaki, Kohatsu-Higa, Arturo
    • Journal Title

      Quantitative Mathematical Finance

      Volume: Volume 13, Number 3 Pages: 421-437

    • DOI

      10.1080/14697688.2012.695084

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-20340019, KAKENHI-PROJECT-24340022

  • [Journal Article] Semi-Static Hedging Based on a Generalized Reflection Principle on a Multi Dimensional Brownian Motion2013
    • Author(s)
      Yuri Imamura, Katsuya Takagi
    • Journal Title

      Asia-Pacific Financial Markets

      Volume: 20 Pages: 71-81

    • DOI

      10.1007/s10690-012-9159-7

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-25285102

  • [Journal Article] Weak approximations for SDE’s driven by Levy processes.2013
    • Author(s)
      Kohatsu-Higa, A. and Ngo Long Hoang
    • Journal Title

      Seminar on Stochastic Analysis, Random Fields and Applications VII. Centro Stefano Franscini, Ascona, May 2011　Series：Progress in Probability

      Volume: Vol.67 Pages: 131-169

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-24340022

  • [Journal Article] Laplace approximation for rough differential equation driven by fractional Brownian motion2013
    • Author(s)
      Yuzuru Inahama
    • Journal Title

      Annals of Probability

      Volume: 41 Pages: 170-205

    • DOI

      10.1214/11-aop733

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-21244009, KAKENHI-PROJECT-22740061

  • [Journal Article] A remark on credit risk models and copula2013
    • Author(s)
      S. Kusuoka and T. Nakashima
    • Journal Title

      Advances in Mathematical Economics

      Volume: 16 Pages: 53-58

    • DOI

      10.1007/978-4-431-54114-1_3

    • NAID

      40021336957

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-24340022

  • [Journal Article] Risk-sensitive asset management with Wishart autoregressive type factor model2013
    • Author(s)
      H.Hata and J.Sekine
    • Journal Title

      Journal of Mathematical Finance

      Volume: 3(1A) Pages: 222-229

    • DOI

      10.4236/jmf.2013.31a021

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-20340019

  • [Journal Article] Optimal simulation schemes for Levy driven stochastic differential equations2013
    • Author(s)
      Arturo Kohatsu-Higa Salvador Ortiz-Latorre Peter Tankov
    • Journal Title

      Mathematics of Computation

      Volume: 2013 Pages: 1-32

    • DOI

      10.1090/s0025-5718-2013-02786-x

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-24340022

  • [Journal Article] On the laws of total local times for h-paths and bridges of symmetric Levy processes2013
    • Author(s)
      Masafumi Hayashi and Kouji Yano
    • Journal Title

      Abstr. Appl. Anal.

      Volume: 2013 Pages: 1-12

    • DOI

      10.1155/2013/463857

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-24340022, KAKENHI-PROJECT-24540390

  • [Journal Article] Strong Consistency of Bayesian Estimator for the Ornstein-Uhlenbeck Process2013
    • Author(s)
      A. Kohatsu-Higa, N. Vayatis, K. Yasuda
    • Journal Title

      Inspired by Finance 、The Musiela Festschrift

      Volume: - Pages: 411-438

    • DOI

      10.1007/978-3-319-02069-3_19

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-23740089, KAKENHI-PROJECT-24340022

  • [Journal Article] An Algebraic Approach to the Cameron-Martin-Maruyama-Girsanov Formula2013
    • Author(s)
      Jiro Akahori, Takafumi Amaba, Sachiyo Uraguchi
    • Journal Title

      Mathematical Journal of Okayama University

      Volume: 55 Pages: 167-190

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-25285102

  • [Journal Article] Weak approximations for SDE's driven by Levy processes2013
    • Author(s)
      Kohatsu-Higa, A. and Ngo
    • Journal Title

      Tb appear in the procceedings of the Ascona conference, 2012.

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-24340022

  • [Journal Article] An Ornstein-Uhlenbeck Type Process which Satisfies Sufficient Conditions for a Simulation-Based Filtering Procedure2013
    • Author(s)
      A. Kohatsu-Higa, K. Yasuda
    • Journal Title

      Malliavin Calculus and Stochastic Analysis

      Pages: 173-194

    • DOI

      10.1007/978-1-4614-5906-4

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-24340022

  • [Journal Article] Gaussian K-Scheme: Justification for KLNV method2013
    • Author(s)
      Shigeo Kusuoka
    • Journal Title

      Advances in Mathematical Economics ed. S.Kusuoka, M.Maruyama

      Volume: vol.17 Pages: 71-120

    • NAID

      40021337087

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-24340022

  • [Journal Article] Strict positivity of densities for stochastic differential equations driven by gamma processes2013
    • Author(s)
      A. Takeuchi
    • Journal Title

      The Institute of Statistical Mathematics Cooperative Research Report

      Volume: 300 Pages: 14-24

    • Data Source
      KAKENHI-PROJECT-24340022

  • [Journal Article] ROTATION INVARIANT α-STABLE PROCESS から導かれるSDEのオイラー丸山近似の収束について2013
    • Author(s)
      Takahiro Tsuchiya and Hiroya Hashimoto
    • Journal Title

      To appear RIMS講究録

    • Data Source
      KAKENHI-PROJECT-24340022

  • [Journal Article] Remarks on the rate of strong convergence of Euler-Maruyama approximation for SDEs driven by rotation invariant stable processes2013
    • Author(s)
      Hiroya Hashimoto and Takahiro Tsuchiya
    • Journal Title

      JSIAM Letters

      Volume: 5(0) Issue: 0 Pages: 13-16

    • DOI

      10.14495/jsiaml.5.13

    • NAID

      130003371113

    • ISSN
      1883-0609, 1883-0617
    • Language
      English
    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-24340022

  • [Journal Article] Smoothness of the distribution of the supremum of a multi-dimensional diffusion process2013
    • Author(s)
      M. Hayashi and A. Kohatsu-Higa
    • Journal Title

      Potential Analysis

      Volume: 38(1) Pages: 277-309

    • DOI

      10.1007/s11118-011-9263-8

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-24340022

  • [Journal Article] Tau functions of KP solitons realized in Wiener space2013
    • Author(s)
      Hidemi Aihara, Jiro Akahori, Hiroko Fujii, Yasuhumi Nitta
    • Journal Title

      Bulletin of the London Mathematical Society

      Volume: 45/6 Pages: 1301-1309

    • DOI

      10.1112/blms/bdt056

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-23330109, KAKENHI-PROJECT-23654056, KAKENHI-PROJECT-25285102

  • [Journal Article] Local asymptotic normality for normal inverse Gaussian Levy processes with high-frequency sampling2013
    • Author(s)
      Reichiro Kawai, H.Masuda
    • Journal Title

      ESAIM: Probability and Statistics

      Volume: (to appear) Pages: 13-32

    • DOI

      10.1051/ps/2011101

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-21340024, KAKENHI-PROJECT-23300106, KAKENHI-PROJECT-23740082, KAKENHI-PROJECT-24300107

  • [Journal Article] Remarks on the rate of strong convergence of Euler-Maruyama approximation for SDEs driven by rotation invariant stable processes2013
    • Author(s)
      Hiroya Hashimoto and Takahiro Tsuchiya
    • Journal Title

      JSIAM Letters

      Volume: 5 Pages: 13-16

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-24340022

  • [Journal Article] Strong uniqueness for both Dirichlet operators and stochastic dynamics to Gibbs measures on a path space with exponential interactions2012
    • Author(s)
      Sergio Albeverio, Hiroshi Kawabi and Michael Roeckner
    • Journal Title

      J.Funct.Anal

      Volume: 262 Pages: 602-638

    • DOI

      10.1016/j.jfa.2011.09.023

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-21244009

  • [Journal Article] Down-side risk minimization under prescribed consumption level,2012
    • Author(s)
      H.Nagai
    • Journal Title

      Risk and Decision Analysis

      Volume: 3 Pages: 191-200

    • DOI

      10.3233/rda-2011-0058

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-20340019, KAKENHI-PROJECT-23244015

  • [Journal Article] A Malliavin Calculus method to study densities of additive functionals of SDE's with irregular drifts.2012
    • Author(s)
      Arturo Kohatsu-Higa
    • Journal Title

      Annales de l'Institut Henri Poincare

      Volume: 48 Pages: 871-883

    • DOI

      10.1214/11-aihp418

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-21244009, KAKENHI-PROJECT-24340022

  • [Journal Article] Greeks formulas for asset price model with some Levy processes2012
    • Author(s)
      A. Takeuchi
    • Journal Title

      he Institute of Statistical Mathematics Cooperative Research Report

      Volume: 275 Pages: 8-16

    • Data Source
      KAKENHI-PROJECT-24340022

  • [Journal Article] Eigenvalue problem for fully nonlinear second-order elliptic PDE on balls2012
    • Author(s)
      N. Ikoma
    • Journal Title

      Ann. Inst. H. Poincare Anal. Non Lineaire

      Volume: 29 Pages: 783-812

    • DOI

      10.1016/j.anihpc.2012.04.004

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-20340019, KAKENHI-PROJECT-21340032, KAKENHI-PROJECT-23244015

  • [Journal Article] Absence of ground state of the Nelson model with variable coefficients2012
    • Author(s)
      C.Gerard, F.Hiroshima, A.Pannati and A.Suzuki
    • Journal Title

      J. Funct. Anal.

      Volume: 262 Pages: 273-299

    • DOI

      10.1016/j.jfa.2011.09.010

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-21244009, KAKENHI-PROJECT-22654018, KAKENHI-PROJECT-23340032

  • [Journal Article] Sensitivity Analysis of Expectation with respect to Stochastic Differential Equations with Long Memory through Malliavin Calculus2012
    • Author(s)
      K. Yasuda
    • Journal Title

      Transactions of the Institute of Systems, Control and Information Engineers

      Volume: 25(11) Pages: 328-335

    • NAID

      10031159520

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-24340022

  • [Journal Article] A moment estimate for the derivative process in rough path theory2012
    • Author(s)
      Yuzuru Inahama
    • Journal Title

      Proc.Amer.Math.Soc.

      Volume: 140 Pages: 2183-2191

    • DOI

      10.1090/s0002-9939-2011-11051-7

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-21244009, KAKENHI-PROJECT-22740061

  • [Journal Article] Infinite variation tempered stable Ornstein-Uhlenbeck processes with discrete observations.2012
    • Author(s)
      Reichiro Kawai, H.Masuda
    • Journal Title

      Communications in Statistics - Simulation and Computation

      Volume: 41(1) Pages: 125-139

    • DOI

      10.1080/03610918.2011.582561

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-21340024, KAKENHI-PROJECT-23300106, KAKENHI-PROJECT-23740082

  • [Journal Article] On Monte Carlo and Quasi-Monte Carlo methods for series representation of infinitely divisible laws2012
    • Author(s)
      Reichiro Kawai, J.Imai
    • Journal Title

      Monte Carlo andQuasi-Monte Carlo Methods 2010(H.Wozniakowski, L.Plaskota (Eds.))(Springer-Verlag)

      Volume: (to appear)

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-21340024

  • [Journal Article] Weak Kyle-Back equilibrium models for Max and ArgMax2012
    • Author(s)
      Kohatsu-Higa and S. Ortiz
    • Journal Title

      SIAM Journal on Financial Mathematics

      Volume: vol.1 Pages: 179-211

    • DOI

      10.1137/080739768

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-20340019

  • [Journal Article] On Weak Approximation of Stochastic Differential Equations with Discontinuous Drift Coefficient2012
    • Author(s)
      A. Kohatsu-Higa, A. Lejay, K. Yasuda
    • Journal Title

      京都大学数理解析研究所講究録

      Volume: 1788 Pages: 94-106

    • Data Source
      KAKENHI-PROJECT-24340022

  • [Journal Article] Downside risk minimization via a large deviations approach2012
    • Author(s)
      H. Nagai
    • Journal Title

      Annals of Applied Probability

      Volume: vol.22 Pages: 608-669

    • DOI

      10.1214/11-aap781

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-20340019, KAKENHI-PROJECT-21340024, KAKENHI-PROJECT-23244015

  • [Journal Article] Maxima and minima of overall survival functions with fixed marginal distributions and transmission of technology2012
    • Author(s)
      Isao Higuchi and Toshio Mikami
    • Journal Title

      Communications in Statistics - Theory and Methods

      Volume: 41 Pages: 46-61

    • DOI

      10.1080/03610926.2010.513788

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-21244009, KAKENHI-PROJECT-23540205

  • [Journal Article] Local maximum principle for Lp-viscosity solutions of fully nonlinear elliptic PDEs with unbounded coefficients2012
    • Author(s)
      S. Koike, A. Swiech
    • Journal Title

      Communications in Pure and Applied Analysis

      Volume: 11, No5 Pages: 1897-1910

    • DOI

      10.3934/cpaa.2012.11.1897

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-20340019, KAKENHI-PROJECT-23244015, KAKENHI-PROJECT-23340028

  • [Journal Article] Absolute continuity conditions for multivariate infinitely divisible distributions and their applications2012
    • Author(s)
      Makoto Yamazato
    • Journal Title

      Theory of Probability and its Applications

      Volume: 56 Pages: 299-312

    • DOI

      10.1137/s0040585x97985406

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-22540145, KAKENHI-PROJECT-24340022

  • [Journal Article] Classical mechanical model of Brownian motion with one particle coupled to a random wave field2012
    • Author(s)
      S. Kusuoka and S. Liang
    • Journal Title

      Stoch. Anal. Appl

      Volume: Vol. 30, Issue 3 Pages: 493-528

    • DOI

      10.1080/07362994.2012.668444

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-21740063, KAKENHI-PROJECT-24340022

  • [Journal Article] A remark on credit risk models and copula2012
    • Author(s)
      KUSUOKA, Shigeo
    • Journal Title

      Advances in Mathematical Economics

      Volume: 16(to appear)

    • NAID

      40021336957

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-21340024

  • [Journal Article] Some Numerical Results of Sensitivity Analysis for Expected Values w.r.t. Linear SDE with Long Memory2012
    • Author(s)
      K. Yasuda
    • Journal Title

      Proceedings of the 43th ISCIE International Symposium on Stochastic Systems Theory and Its Applications (CD・ROM)

    • NAID

      130007377386

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-24340022

  • [Journal Article] The sector constants of continuous state branching processes with immigration2012
    • Author(s)
      Kenji Handa
    • Journal Title

      J.Funct.Anal

      Volume: 262 Pages: 4488-4524

    • DOI

      10.1016/j.jfa.2012.02.026

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-21244009

  • [Journal Article] On the large time behavior of solutions of Hamilton-Jacobi equations associated with nonlinear boundary conditions2012
    • Author(s)
      Guy Barles, 石井仁司, 三竹大寿
    • Journal Title

      Arch. Ration. Mech. Anal

      Volume: (印刷中) Pages: 515-558

    • DOI

      10.1007/s00205-011-0484-1

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-10J01725, KAKENHI-PROJECT-20340019, KAKENHI-PROJECT-23244015, KAKENHI-PROJECT-24840043

  • [Journal Article] Multiscale properties of random walk models of animal movement : lessons from statistical inference2012
    • Author(s)
      Reichiro Kawai, S.Petrovskii
    • Journal Title

      Proceedings of the Royal Society A

      Pages: 1428-1451

    • DOI

      10.1098/rspa.2011.0665

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-21340024

  • [Journal Article] Heat Kernel Interest Rate Models with Time-Inhomogeneous Markov Processes2012
    • Author(s)
      Jiro Akahori, Andrea Macrina
    • Journal Title

      International Journal of Theoretical and Applied Finance

      Volume: 15/1 Pages: 1-15

    • DOI

      10.1142/s0219024911006553

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-23330109, KAKENHI-PROJECT-24340022

  • [Journal Article] Sensitivity analysis for jump processes2011
    • Author(s)
      Atsushi TAKEUCHI
    • Journal Title

      Proceedings of WSAF O9

      Volume: (In press)

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-21340024

  • [Journal Article] Greeks formulae for an asset price model with gamma processes2011
    • Author(s)
      Rei-ichiro KAWAI, Atsushi TAKEUCH
    • Journal Title

      Mathematical Finance

      Volume: (In press)

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-21340024

  • [Journal Article] Statistical Inference and Malliavin Calculus2011
    • Author(s)
      Jose M.Corcuera, Arturo Kohatsu-Higa
    • Journal Title

      Seminar on Stochastic Analysis, Random Fields and Applications VI : Gentro Stefano Franscini (Ascona, Robert C.Dalang, Marco Dozzi, Francesco Russo, editors.)(Birkhauser)

      Pages: 59-82

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-21340024

  • [Journal Article] Displacemenet convexity of generalized relative entropy2011
    • Author(s)
      Shin-ichi Ohta and Asuka Takatsu
    • Journal Title

      Advanced Math

      Volume: 228 Pages: 1742-1787

    • DOI

      10.1016/j.aim.2011.06.029

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-21244009, KAKENHI-PROJECT-22340036

  • [Journal Article] A review of recent results on approximation of solutions of stochastic differential equations2011
    • Author(s)
      B.Jourdain, A.Kohatsu-Higa
    • Journal Title

      Proceedings of the Workshop on Stochastic Analysis with Financial Applications : Hong Kong 2009. Birkhauser 2011

      Pages: 121-144

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-21340024

  • [Journal Article] Jump-adapted discretization schemes for Levy-driven SDEs2011
    • Author(s)
      A.Kohatsu-Higa, P.Tankov
    • Journal Title

      Stochastic processes and their applications

      Volume: (掲載確定)

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-20340019

  • [Journal Article] A Malliavin Calculus method to study densities of additive functionals of SDE's with irregular drifts2011
    • Author(s)
      A. Kohatsu-Higa、A. Tanaka
    • Journal Title

      Annales de l' Institut Henri Poincare

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-21340024

  • [Journal Article] On a Type I Error of a Random Walk Hypothesis on Interest Rates2011
    • Author(s)
      Jiro Akahori, Nien-Lin Liu
    • Journal Title

      International Journal of Innovative Computing, Information and Control

      Volume: 7/1 Pages: 151-131

    • NAID

      130004604491

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-21340024

  • [Journal Article] An optimization approach to weak approximation of stochastic differential equations with jumps2011
    • Author(s)
      Reichiro Kawai, K.Kashima
    • Journal Title

      Applied Numerical Mathematics

      Volume: 61(5) Pages: 641-650

    • DOI

      10.1016/j.apnum.2010.10.012

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-21340024

  • [Journal Article] On simulation of tempered stable random variates2011
    • Author(s)
      Reichiro Kawai, H.Masuda
    • Journal Title

      Journal of Computational and Applied Mathematics

      Volume: 235(8) Pages: 2873-2887

    • DOI

      10.1016/j.cam.2010.12.014

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-21340024, KAKENHI-PROJECT-23740082

  • [Journal Article] A weak approximation of stochastic differential equations with jumps through tempered polynomial optimization2011
    • Author(s)
      Rei-ichiro KAWAI, Kenji Kashima
    • Journal Title

      Stochastic Models

      Volume: Vol.27 No.1(In press)

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-21340024

  • [Journal Article] A Malliavin Calculus method to study densities of additive functionals of SDE's with irregular drifts2011
    • Author(s)
      Arturo Kohatsu-Higa, Akihiro Tanaka
    • Journal Title

      Annales de l'Institut Henri Poincare

      Volume: (In press)

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-21340024

  • [Journal Article] Asymptotics of the probability minimizing a "down-side"risk under paertial information2011
    • Author(s)
      H.Nagai
    • Journal Title

      Quantitative Finance

      Volume: (掲載確定)

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-20340019

  • [Journal Article] On the local asymptotic behavior of the likelihood function for Meixner Levy processes under high-frequency sampling2011
    • Author(s)
      Reichiro Kawai, H.Masuda
    • Journal Title

      Statistics and Probability Letters

      Volume: 81(4) Pages: 460-469

    • DOI

      10.1016/j.spl.2010.12.011

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-21340024, KAKENHI-PROJECT-23740082

  • [Journal Article] Wiener integral for for the coordinate process under the σ-finite measure unifying Brownian penalizations2011
    • Author(s)
      Kouji Yano
    • Journal Title

      ESAIM Probab. Stat

      Volume: 15 Pages: 69-84

    • DOI

      10.1051/ps/2010024

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-20740060, KAKENHI-PROJECT-21244009

  • [Journal Article] Testing for Levy type jumps in Japanese stock market under the financial crisis using high-frequency data2011
    • Author(s)
      Y.Barada, K.Yasuda
    • Journal Title

      International Journal of Innovative Computing, Information and Control

      Volume: Vol.8,No.3(B) Pages: 2215-2223

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-21340024

  • [Journal Article] An optimization approach to weak approximation of stochastic differential equations with jumps2011
    • Author(s)
      Rei-ichiro KAWAI, Kenji Kashima
    • Journal Title

      Applied Numerical Mathematics

      Volume: Vol.61(In press)

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-21340024

  • [Journal Article] Strong consistency of the Bayesian estimator for the Ornstein-Uhlenbeck process2011
    • Author(s)
      Arturo Kohatsu-Higa, Nicolas Vayatis, Kazuhiro Yasuda
    • Journal Title

      To appear in the procceedings of the Metabief Conference

      Volume: 65 Pages: 165-187

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-21340024

  • [Journal Article] Insider modelling and logarithmic utility for models with jumps2011
    • Author(s)
      A. Kohatsu-Higa
    • Journal Title

      Applied Mathematics and Optimization

      Volume: 64 Pages: 217-255

    • DOI

      10.1007/s00245-011-9137-x

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-20340019, KAKENHI-PROJECT-21340024

  • [Journal Article] Sensitivity analysis for jump processes2011
    • Author(s)
      A.Takeuchi
    • Journal Title

      Proceedings of the Workshop on Stochastic Analysis on Stochastic Analysis with Financial Applications : Hong Kong 2009. Birkhauser 2011

      Pages: 207-219

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-21340024

  • [Journal Article] COH-formula and Dirichlet Laplacians on small domains of pinned path spaces2011
    • Author(s)
      Shigeki Aida
    • Journal Title

      Contemporary Mathematics

      Volume: 545 Pages: 1-12

    • DOI

      10.1090/conm/545

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-21244009

  • [Journal Article] Exact simulation of finite variation tempered stable Ornstein-Uhlenbeck processes2011
    • Author(s)
      Reichiro Kawai, H.Masuda
    • Journal Title

      Monte Carlo Methods and Applications

      Volume: 17(3) Pages: 279-300

    • DOI

      10.1515/mcma.2011.012

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-21340024, KAKENHI-PROJECT-23300106, KAKENHI-PROJECT-23740082

  • [Journal Article] Spectral gap for multi-species exclusion processes2011
    • Author(s)
      Yukio Nagahata and Makiko Sasada
    • Journal Title

      J. Stat. Physics

      Volume: 143 Pages: 381-398

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-21244009

  • [Journal Article] Fisher information for fractional Brownian motion under high-frequency sampling2011
    • Author(s)
      Reichiro Kawai
    • Journal Title

      Communications in Statistics-Theory and Methods

      Volume: (to appear)

    • DOI

      10.1080/03610926.2011.594540

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-21340024

  • [Journal Article] Dirichlet spaces on H-convex sets in Wiener space2011
    • Author(s)
      Masanori Hino
    • Journal Title

      Bull. Sci. Math.

      Volume: 135 Pages: 667-683

    • DOI

      10.1016/j.bulsci.2011.07.008

    • NAID

      120003437141

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-21244009, KAKENHI-PROJECT-21740094, KAKENHI-PROJECT-22340017

  • [Journal Article] Vanishing of one-dimensional L^2 cohomologies of loop groups2011
    • Author(s)
      Shigeki Aida
    • Journal Title

      J.Funct.Anal

      Volume: 261 Pages: 2164-2213

    • DOI

      10.1016/j.jfa.2011.06.003

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-21244009

  • [Journal Article] Asymptotics of the probability minimizing a "down-side" risk under paertial information2011
    • Author(s)
      H.Nagai
    • Journal Title

      Quantitative Finance

      Volume: Vol.11 Pages: 789-803

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-20340019

  • [Journal Article] On a zero-one law for the norm process of transient random walk2011
    • Author(s)
      A.Matsumoto, K.Yano
    • Journal Title

      Seminaire de Probabilites XLIII

      Volume: 2006 Pages: 757-798

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-21244009

  • [Journal Article] Volatility estimations under the finanical crisis in the Japanese market and testing for jumps2011
    • Author(s)
      K.Aoki, Y.Barada, J.Tamura, K.Yasuda
    • Journal Title

      Proceedings of the 42th ISCIE International Symposium on Stochastic Systems Theory and Its Applications

      Pages: 112-120

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-21340024

  • [Journal Article] Modelling of financial markets with inside information in continuous time (review paper)2011
    • Author(s)
      A.Kohatsu-Higa, S.Ortiz-Latorre
    • Journal Title

      Stochastics and Dynamics

      Volume: 1 Vol.11 Pages: 415-438

    • DOI

      10.1142/s0219493711003371

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-21340024

  • [Journal Article] Asymptotics of the probability minimizing a "down-side" risk under partial information2011
    • Author(s)
      Hideo Nagai
    • Journal Title

      Quantitative Finance

      Volume: (In press)

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-21340024

  • [Journal Article] On simulation of tempered stable random variates2011
    • Author(s)
      Rei-ichiro KAWAI, Hiroki Masuda
    • Journal Title

      Journal of Computational and Applied Mathematics

      Volume: Vol.235 No.8 Pages: 2873-2887

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-21340024

  • [Journal Article] A weak approximation of stochastic differential equations with jumps through tempered polynomial optimization2011
    • Author(s)
      Reichiro Kawai, K.Kashima
    • Journal Title

      Stochastic Models

      Volume: 27(1) Pages: 26-49

    • DOI

      10.1080/15326349.2011.542721

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-21340024

  • [Journal Article] Greeks formulas for an asset price model with gamma processes2011
    • Author(s)
      R. Kawai、A. Takeuchi
    • Journal Title

      Mathematical Finance

      Volume: 21(4) Pages: 723-742

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-21340024

  • [Journal Article] An Algebraic Approach to the Cameron-Martin-Maruyama-Girsanov Formula2011
    • Author(s)
      Jiro Akahori, Takafumi Amaba, Sachiyo Uraguchi
    • Journal Title

      Mathematical Journal of Okayama University

      Volume: (to appear)

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-21340024

  • [Journal Article] Heat Kernel Interest Rate Models with Time-Inhomogeneous Markov Processes2011
    • Author(s)
      Jiro Akahori, Andrea Macrina
    • Journal Title

      International Journal of Theoretical and Applied Finance

      Volume: (to appear)

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-21340024

  • [Journal Article] Spectral gap for multi-species exelusion processes2011
    • Author(s)
      Yukio Nagahata
    • Journal Title

      J.Statistical Physics

      Volume: 143 Pages: 381-398

    • DOI

      10.1007/s10955-011-0176-0

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-21244009, KAKENHI-PROJECT-21540144, KAKENHI-PROJECT-23540132, KAKENHI-PROJECT-23840036

  • [Journal Article] On finite truncation of infinite shot noise series representation of tempered stable laws2011
    • Author(s)
      Reichiro Kawai, J.Imai
    • Journal Title

      Physica A

      Volume: 390(23-24) Pages: 4411-4425

    • DOI

      10.1016/j.physa.2011.07.028

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-21340024

  • [Journal Article] Smoothness of the distribution of the supremum of a multi-dimensional diffusion2011
    • Author(s)
      M.Hayashi, A.Kohatsu-Higa
    • Journal Title

      To appear in Potential Analysis

      Volume: (Published online)

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-21340024

  • [Journal Article] A Malliavin Calculus method to study densities of ad-ditive functionals of SDE's with irregular drifts2011
    • Author(s)
      A.Kohatsu-Higa, A.Tanaka
    • Journal Title

      To appear in Annales de l'Institut Henri Poincare

      Pages: 871-883

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-21340024

  • [Journal Article] On the local asymptotic behavior of the likelihood function for Meixner Levy processes under high-frequency sampling2011
    • Author(s)
      Rei-ichiro KAWAI, Hiroki Masuda
    • Journal Title

      Statistics and Probability Letters

      Volume: Vol.81 No.4 Pages: 460-469

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-21340024

  • [Journal Article] Euler polynomials, Bernoulli polynomials, and Levy’s stochastic area formula2011
    • Author(s)
      N.Ikeda and Setsuo Taniguchi, Euler polynomials
    • Journal Title

      Bull. Sci. math.

      Volume: 135 Pages: 684-694

    • DOI

      10.1016/j.bulsci.2011.07.009

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-21244009

  • [Journal Article] Levy processes-a generalization of white noise2011
    • Author(s)
      Reichiro Kawai, K.Kashima
    • Journal Title

      SCIE Journal Systems, Control and Information

      Volume: 55(12) Pages: 505-512

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-21340024

  • [Journal Article] Likelihood ratio gradient estimation for Meixner distribution and Levy processes2011
    • Author(s)
      Reichiro Kawai
    • Journal Title

      Computational Statistics

      Volume: (to appear)

    • DOI

      10.1007/s00180-011-0288-7

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-21340024

  • [Journal Article] Two examples of an insider with medium/long term effects on the underlying2011
    • Author(s)
      H.Hata, A.Kohatsu-Higa
    • Journal Title

      Proceedings of the KIER-TMU Workshop, Recent Advances in Financial Engineering, World Scientific

      Pages: 19-42

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-21340024

  • [Journal Article] Maxima and minima of overall survival functions with fixed marginal distributions and transmission of technology2011
    • Author(s)
      I.Higuchi, Toshio Mikami
    • Journal Title

      Communications in Statistics-Theory and Methods-

      Volume: (未定)(In press)

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-21244009

  • [Journal Article] 金融危機下における日本の株式市場でのジャンプの検定2011
    • Author(s)
      Yoshiaki Barada, Yusuke Kubo, Kazuhiro Yasuda
    • Journal Title

      京都大学数理解析研究所講究録

      Volume: (In press)

    • Data Source
      KAKENHI-PROJECT-21340024

  • [Journal Article] Infrared problem for the Nelson model with variable coefficients2011
    • Author(s)
      C.Gerard, F.Hiroshima, A.Pannati and A.Suzuki
    • Journal Title

      Commun.Math.Phys.

      Volume: 308 Pages: 543-566

    • DOI

      10.1007/s00220-011-1289-7

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-21244009, KAKENHI-PROJECT-23340032

  • [Journal Article] On a zero-one law for the norm process of transient random walk2011
    • Author(s)
      A. Matsumoto and K.Yano
    • Journal Title

      Seminaire de Probabilites

      Volume: XLIII Pages: 757-798

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-21244009

  • [Journal Article] Strong consistency of Bayesian estimator under discrete observations and unknown transition density2011
    • Author(s)
      A.Kohatsu-Higa, N.Vayatis, Kazuhiro Yasuda
    • Journal Title

      Proceedings of the Workshop on Stochastic Analysis on Stochastic Analysis with Financial Applications : Hong Kong 2009. Birkhauser 2011

      Pages: 145-168

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-21340024

  • [Journal Article] MODELING OF FINANCIAL MARKETS WITH INSIDE IN FORMATION IN CONTINUOUS TIME2011
    • Author(s)
      Arturo Kohatsu-Higa, Salvador Ortiz-Latorre
    • Journal Title

      Stochastics and Dynamics

      Volume: (In press)

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-21340024

  • [Journal Article] Nonnegative compartment dynamics system modelling with stochastic differential equations2011
    • Author(s)
      Reichiro Kawai
    • Journal Title

      Applied Mathematical Modelling

      Volume: (to appear)

    • DOI

      10.1016/j.apm.2012.02.019

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-21340024

  • [Journal Article] Some Simulation Results on the Computation of Delta of Path-Dependent Options Using a Discrete Version of Clark-Ocone Formula2011
    • Author(s)
      Jiro Akahori, Takafumi Amaba, Kaori Okuma
    • Journal Title

      Proceedings of the 42nd ISCIE International Symposium on Stochastic Systems Theory and Its Application

      Pages: 132-137

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-21340024

  • [Journal Article] Semigroups preserving a convex set in a Banach space2011
    • Author(s)
      Ichiro Shigekawa
    • Journal Title

      Kyoto J. Math.

      Volume: 51 Pages: 647-672

    • DOI

      10.1215/21562261-1299918

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-21244009, KAKENHI-PROJECT-22340017

  • [Journal Article] Testing for jumps in Japanese stock market under the financial crisis through high-frequency data2011
    • Author(s)
      Y.Barada, Y.Kubo, K.Yasuda
    • Journal Title

      Proceedings of the 42th ISCIE International Symposium on Stochastic Systems Theory and Its Applications

      Pages: 102-111

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-21340024

  • [Journal Article] COH formula and Dirichlet Laplacians on small domains of pinnedpath spaces2011
    • Author(s)
      Shigeki Aida
    • Journal Title

      Concentration, functional inequalities and isoperi metry (a volume in Contemporary mathematics)

      Volume: 545(In press)

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-21244009

  • [Journal Article] Rough path analysis, An introduction2010
    • Author(s)
      Shigeki Aida
    • Journal Title

      Advanced studies in pure mathematics (In press)

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-21244009

  • [Journal Article] A classical mechanical model of Brownian motion with plural particles2010
    • Author(s)
      Shigeo Kusuoka, Song Liang
    • Journal Title

      Reviews in Math.Physics

      Volume: 22 Pages: 733-838

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-21340024

  • [Journal Article] Asymptotics of the probability minimizing a "down-side" risk2010
    • Author(s)
      Hiroaki Hata, Hideo Nagai, Shuenn-Jyi Sheu
    • Journal Title

      Annals of Applied Probability

      Volume: Vol.20 No.1 Pages: 52-89

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-21340024

  • [Journal Article] Lower bounds for densities of Asian type stochastic differential equations2010
    • Author(s)
      V.Bally, A.Kohatsu-Higa
    • Journal Title

      Journal of Functional Analysis (In press)

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-20340019

  • [Journal Article] Non-local Hamilton-Jacobi equations arising dislocation dynamics2010
    • Author(s)
      Hitoshi Ishii, Yutaka Matsumura
    • Journal Title

      Z.Anal.Anwend

      Volume: 29 Pages: 309-350

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-20340019

  • [Journal Article] Computation of Greek and multidimensional density estimation for asset price models with time-changed Brownian Motion2010
    • Author(s)
      R.Kawai, A.Kohatsu-Higa
    • Journal Title

      Applied mathematical finance

      Volume: 17 Pages: 301-321

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-20340019

  • [Journal Article] Localization for a class of linear systems2010
    • Author(s)
      Yukio Nagahata and Nobuo Yoshida
    • Journal Title

      Electron.J.Probab

      Volume: 15 Pages: 636-653

    • DOI

      10.1214/ejp.v15-757

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-21244009

  • [Journal Article] Excursions away from a regular point for one dimensional symmetric Levy processes without Gaussian part2010
    • Author(s)
      Kouji Yano
    • Journal Title

      Potential anal

      Volume: 32 Pages: 305-341

    • DOI

      10.1007/s11118-009-9152-6

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-21244009

  • [Journal Article] Computation of Greek and multidimensional density estimation for asset price models with time-changed Brownian Motion2010
    • Author(s)
      R. Kawai、A. Kohatsu-Higa
    • Journal Title

      Applied Mathematical Finance

      Pages: 1466-4313

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-21340024

  • [Journal Article] Risk-sensitive asset management2010
    • Author(s)
      H.Nagai
    • Journal Title

      Encyclopedia of Quantitative Finance (In press)

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-21340024

  • [Journal Article] Lower bounds for densities of Asian type stochastic differential equations2010
    • Author(s)
      V.Bally, A.Kohatsu-Higa
    • Journal Title

      Journal of Functional Analysis

      Volume: 258 Pages: 3134-3164

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-21244009

  • [Journal Article] Weak Kyle-Back equilibrium models for Max and ArgMax2010
    • Author(s)
      A.Kohatsu-Higa, S.Ortiz
    • Journal Title

      SIAM Journal on Financial Mathematics vol.1

      Pages: 179-211

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-20340019

  • [Journal Article] Weak Kyle-Back equilibrium models for Max and ArgMax2010
    • Author(s)
      A.Kohatsu-Higa, S.Ortiz
    • Journal Title

      SIAM Journal on Financial Mathematics (In press)

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-21340024

  • [Journal Article] Jump-adapted discretization schemes for Levy-driven SDEs2010
    • Author(s)
      Arturo Kohatsu-Higa, Peter Tankov
    • Journal Title

      Stochastic Processes and Their Applications

      Volume: 120 Pages: 2258-2285

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-21340024

  • [Journal Article] Uniform Estimate for distributions of the sum of i.i.d.random variables with fat tail2010
    • Author(s)
      Hirotaka Fushiya, Shigeo Kusuoka
    • Journal Title

      J.Math.Sci.Univ.Tokyo

      Volume: 17 Pages: 79-121

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-21340024

  • [Journal Article] Non-symmetric diffusions on a Riemannian manifold2010
    • Author(s)
      Ichiro Shigekawa
    • Journal Title

      Adv.Stud.Pure Math

      Volume: 57 Pages: 437-461

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-21244009

  • [Journal Article] Computation of Greek and multidimensional density estimation for asset price models with time-changed Brownian Motion2010
    • Author(s)
      Rei-ichiro KAWAI, Arturo Kohatsu-Higa
    • Journal Title

      Applied Mathematical Finance

      Volume: Vol.17 Pages: 301-321

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-21340024

  • [Journal Article] Spectral gap for zero-range processes with jump rate g(x)=x^γ2010
    • Author(s)
      Yukio Nagahata
    • Journal Title

      Stochastic Process. Appl

      Volume: 120 Pages: 949-958

    • DOI

      10.1016/j.spa.2010.01.019

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-21244009

  • [Journal Article] Risk-sensitive asset management2010
    • Author(s)
      H.Nagai
    • Journal Title

      Encyclopedia of Quantitative Finance, (ed.) R.Cont, John Wiley&Sons Ltd.Chichester

      Pages: 1589-1593

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-20340019

  • [Journal Article] Non-symmetric diffusions on a Riemannian manifold2010
    • Author(s)
      Ichiro Shigekawa
    • Journal Title

      Advanced studies in pure mathematics

      Volume: 57 Pages: 437-461

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-21244009

  • [Journal Article] Penalisation of a stable Levy process involving its one-sided supremum2010
    • Author(s)
      K.Yano, Y.Yano, M.Yor
    • Journal Title

      Ann.Inst.Henri Poincare Probab.Stat.

      Volume: 46 Pages: 1042-1054

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-21244009

  • [Journal Article] Sensitivity analysis for averaged asset price dynamics with gamma processes2010
    • Author(s)
      Reiichiro Kawai, Artsushi Takeuchi
    • Journal Title

      Statistics and Probability Letters Vol.80, No.1

      Pages: 42-49

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-21340024

  • [Journal Article] Asymptotically optimal allocation of stratified sampling with adaptive variance reduction by strata2010
    • Author(s)
      Rei-ichiro KAWAI
    • Journal Title

      ACM Transactions on Modeling and Computer Simulation

      Volume: Vol.20 No.2

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-21340024

  • [Journal Article] An optimization approach to weak approximation of Levy-driven stochastic differential equations2010
    • Author(s)
      Rei-ichiro KAWAI, Kenji Kashima
    • Journal Title

      Perspective in Mathematical System Theory, Control and Signal Processing

      Pages: 263-272

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-21340024

  • [Journal Article] Sensitivity analysis for averaged asset price dynamics with gamma processes2010
    • Author(s)
      Rei-ichiro KAWAI, Atsushi TAKEUCHI
    • Journal Title

      Statistics and Probability Letters

      Volume: 80 Pages: 42-49

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-21340024

  • [Journal Article] Optimal transport and Ricci curvature in Finsler geometry2010
    • Author(s)
      Shin-ichi Ohta
    • Journal Title

      Adv. Stud. Pure Math

      Volume: 57 Pages: 475-516

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-21244009

  • [Journal Article] Logarithmic derivatives of densities for jump processes2010
    • Author(s)
      Atsushi TAKEUCHI
    • Journal Title

      RIMS Kokyuroku

      Volume: 1672 Pages: 94-110

    • Data Source
      KAKENHI-PROJECT-21340024

  • [Journal Article] Cameron-Martin formula for the σ-finite measure unifying Brownian penalizations2010
    • Author(s)
      Kouji Yano
    • Journal Title

      J.Funct.Anal

      Volume: 258 Pages: 3492-3516

    • DOI

      10.1016/j.jfa.2009.11.021

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-20740060, KAKENHI-PROJECT-21244009

  • [Journal Article] Lower bounds for densities of Asian type stochastic differential equations. Journal of Functional Analysis2010
    • Author(s)
      V. Bally、A. Kohatsu-Higa
    • Volume
      Volume 258
    • Pages
      3134-3164
    • Data Source
      KAKENHI-PROJECT-21340024

  • [Journal Article] A review of recent results on Malliavin Calculus and its applications2010
    • Author(s)
      Arturo Kohatsu-Higa, Kazuhiro Yasuda
    • Journal Title

      Radon Series on Computational and Applied Mathematics, Walter de Gruyter

      Volume: 8 Pages: 275-302

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-21340024

  • [Journal Article] Non-symmetric diffusions on a Riemannian manifold2010
    • Author(s)
      I.Shigekawa
    • Journal Title

      Advanced Studies in Pure Mathematics (In press)

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-21244009

  • [Journal Article] Weak Kyle-Back equilibrium models for Max and ArgMax2010
    • Author(s)
      Arturo Kohatsu-Higa, Salvador Ortiz-Latorre
    • Journal Title

      SIAM Journal on Financial Mathematics

      Volume: vol.1 Pages: 179-211

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-21340024

  • [Journal Article] Asymptotics of the probability minimizing a "down-side" risk2010
    • Author(s)
      H.Hata, H.Nagai, S.J.Sheu
    • Journal Title

      Annals of Applied Probability vol.20

      Pages: 52-89

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-20340019

  • [Journal Article] Lower bounds for densities of Asian type stochastic differential equations2010
    • Author(s)
      Vlad Bally, Arturo Kohatsu-Higa
    • Journal Title

      Journal of Functional Analysis

      Volume: Vol.258 Pages: 3134-3164

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-21340024

  • [Journal Article] Optimal transport and Ricci curvature, in Finsler geometry2010
    • Author(s)
      Shin-ichi Ohta
    • Journal Title

      Advanced studies in pure mathematics

      Volume: 57 Pages: 475-516

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-21244009

  • [Journal Article] Rough path analysis, An introduction2010
    • Author(s)
      Shigeki Aida
    • Journal Title

      Advanced studies in pure mathematics

      Volume: 57 Pages: 1-28

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-21244009

  • [Journal Article] A stochastic Taylor-like expansion in the rough path theory2010
    • Author(s)
      Yuzuru Inahama
    • Journal Title

      J. Theoret. Probab

      Volume: 23 Pages: 671-714

    • DOI

      10.1007/s10959-010-0287-6

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-21244009

  • [Journal Article] On sequential calibration for an asset price model with piecewise Levy processes2010
    • Author(s)
      Rei-ichiro KAWAI
    • Journal Title

      IAENG International Journal of Applied Mathematics

      Volume: Vol.40 No.4 Pages: 239-246

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-21340024

  • [Journal Article] Rough path analysis: An introduction2010
    • Author(s)
      Shigeki Aida
    • Journal Title

      Adv.Stud.Pure Math

      Volume: 57 Pages: 1-28

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-21244009

  • [Journal Article] Lower bounds for densities of Asian type stochastic differential equations2010
    • Author(s)
      Vlad Bally and Arturo Kohatsu-Higa
    • Journal Title

      J. Funct. Anal

      Volume: 258 Pages: 3134-3164

    • DOI

      10.1016/j.jfa.2009.10.027

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-21244009

  • [Journal Article] A note on rough differential equation with unbounded coefficients2010
    • Author(s)
      Y.Inahama
    • Journal Title

      Advanced Studies in Pure Mathematics (In press)

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-21244009

  • [Journal Article] Greeks formulae for an asset price model with gamma processes2010
    • Author(s)
      Reiichiro Kawai, A.Takeuchi
    • Journal Title

      Mathematical Finance (In press)

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-21340024

  • [Journal Article] Asymptotics of the probabHity minimizing a "down-side" risk2010
    • Author(s)
      H.Hata, H.Nagai, S.J.Sheu
    • Journal Title

      Annals of Applied Probability 20

      Pages: 52-89

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-20340019

  • [Journal Article] Asymptotics of the probability minimizing a "down-side" risk under partial information2010
    • Author(s)
      H.Nagai
    • Journal Title

      Quantitative Finance (In press)

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-20340019

  • [Journal Article] Semi-classical limit of the lowest eigenvalue of a Schrodinger operator on a Wiener space : I. Unbounded one particle Hamiltonians2010
    • Author(s)
      Shigeki Aida
    • Journal Title

      Asterisque (In press)

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-21244009

  • [Journal Article] The Bismut-Elworthy-Li type formulae for stochastic differential equations with jumps2010
    • Author(s)
      Atsushi TAKEUCHI
    • Journal Title

      Journal of Theoretical Probability

      Volume: 23 Pages: 576-604

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-21340024

  • [Journal Article] Sensitivity analysis for degenerate SDEs with jumps2010
    • Author(s)
      Atsushi TAKEUCHI
    • Journal Title

      統計数理研究所共同研究リポート

      Volume: 247 Pages: 119-126

    • Data Source
      KAKENHI-PROJECT-21340024

  • [Journal Article] Risk-Sensitive Value Measure Method for Projects Evaluation2010
    • Author(s)
      Yoshio Miyahara
    • Journal Title

      Journal of Real Options and Strategy

      Volume: 3 Pages: 185-204

    • NAID

      130000308227

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-20340019

  • [Journal Article] On the pricing of exotic warrant2010
    • Author(s)
      Jiro Akahori, Ryutaro Akasaka
    • Journal Title

      Proceedings of the 41st ISCIE International Symposium on Stochastic Systems Theory and Its Application

      Pages: 241-245

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-21340024

  • [Journal Article] A certain Limit of Iterated CTE2010
    • Author(s)
      Shigeo Kusuoka
    • Journal Title

      Advances in Mathematical Economics ed.Shigeo Kusuoka, M.Maruyama

      Volume: Vol.13 Pages: 99-111

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-21340024

  • [Journal Article] Asymptotics of the probability minimizing a "down-side" risk2010
    • Author(s)
      H.Hata, H.Nagai, S.J.Sheu
    • Journal Title

      Annals of Applied Probability 20

      Pages: 52-89

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-21340024

  • [Journal Article] Quasi-Monte Carlo method for infinitely divisible random vectors via series representations2010
    • Author(s)
      Rei-ichiro KAWAI, Junichi Imai
    • Journal Title

      SIAM Journal on Scientific Computing

      Volume: Vol.32 No.4 Pages: 1879-1897

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-21340024

  • [Journal Article] Limiting behaviors of the Brownian motions on hyperbolic spaces Colloquim Mathematicum2010
    • Author(s)
      Hiroyuki Matsumoto
    • Volume
      119
    • Pages
      475-516
    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-21244009

  • [Journal Article] A stochastic Taylor-like expansion in the rough path theory2010
    • Author(s)
      Yuzuru Inahama
    • Journal Title

      J.Theoret.Probab.

      Volume: 23 Pages: 671-714

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-21244009

  • [Journal Article] Rough path analysis, An introduction2010
    • Author(s)
      S.Aida
    • Journal Title

      ADVANCED studies in pure mathematics (In press)

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-21340024

  • [Journal Article] Asymptotically optimal allocation of stratified sampling with adaptive variance reduction by strata2010
    • Author(s)
      Reiichiro Kawai
    • Journal Title

      ACM Transaction on Modeling and Computer Simulation (In press)

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-21340024

  • [Journal Article] A note on rough differential equations with unbounded diffusion coefficients2010
    • Author(s)
      Yuzuru Inahama
    • Journal Title

      Adv.Stud.Pure Math

      Volume: 57 Pages: 155-170

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-21244009

  • [Journal Article] Large Deviation for stochastic line integrals as $L^p$ current2010
    • Author(s)
      Shigeo Kusuoka, Kazumasa Kuwada, Yozo Tamura
    • Journal Title

      Prob.Theory Related Fields

      Volume: 147 Pages: 649-674

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-21340024

  • [Journal Article] Statistical Inference and Malliavin Calculus2010
    • Author(s)
      J.M.Corcuera, A.Kohatsu-Higa
    • Journal Title

      Seminar on Stochastic Analysis, Random Fields and Applications V (In press)

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-21340024

  • [Journal Article] Risk-Sensitive Value Measure Method for projects Evaluation2010
    • Author(s)
      Y.Miyahara
    • Journal Title

      Journal of Real Options and Strategy vol.3

      Pages: 186-204

    • NAID

      130000308227

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-20340019

  • [Journal Article] Computation of Greeks and multidimensional density estimaton for asset price models with time-changed Brownian motion2010
    • Author(s)
      Reiichiro Kawai, Arturo Kohatus-Higa
    • Journal Title

      Applied Mathematical Finance (In press)

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-21340024

  • [Journal Article] Jump-adapted discretization schemes for Levy-driven SDEs2010
    • Author(s)
      A.Kohatsu-Higa and P. Tankov
    • Journal Title

      Stochastic processes and their applications

      Volume: vol. 120 Pages: 2258-2285

    • DOI

      10.1016/j.spa.2010.07.001

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-20340019

  • [Journal Article] Asymptotics of the probability minimizing a "down-side" risk2010
    • Author(s)
      H. Hata, H. Nagai and S.J. Sheu
    • Journal Title

      Annals of Applied Probability

      Volume: vol.20 Pages: 52-89

    • DOI

      10.1214/09-aap618

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-20340019

  • [Journal Article] Fractional order Taylor's series and the neo-classical inequality2010
    • Author(s)
      Keisuke Hara, Masanori Hino
    • Journal Title

      Bulletin of the London Mathematical Society (In press)

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-21244009

  • [Journal Article] Limiting behaviors of the Brownian motions on hyperbolic spaces2010
    • Author(s)
      Hiroyuki Matsumoto
    • Journal Title

      Colloquim Mathematicum

      Volume: 119 Pages: 193-215

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-21244009

  • [Journal Article] Semi-classical limit of the lowest eigenvalue of a Schr\" odinger Operator on a Wiener space : I. Unbounded one particle Hamiltonians2010
    • Author(s)
      S.Aida
    • Journal Title

      "Festchrift in honour of J.M.Bismut" in Asterisque (In press)

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-21340024

  • [Journal Article] Penalization of a stable Levy process involving its one -sided supremum, Ann2010
    • Author(s)
      Kouji Yano
    • Journal Title

      Inst.Henri Poincare Probab. Stat

      Volume: 46 Pages: 1042-1054

    • DOI

      10.1214/09-aihp339

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-20740060, KAKENHI-PROJECT-21244009

  • [Journal Article] Risk-Sensitive Value Measure Method for Projects Evaluation2010
    • Author(s)
      Y. Miyahara
    • Journal Title

      Journal of Real Options and Strategy

      Volume: vol.3 Pages: 185-204

    • NAID

      130000308227

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-20340019

  • [Journal Article] Asymptotics of the probability minimizing a "down-side" risk under partial information2010
    • Author(s)
      H.Nagai
    • Journal Title

      Quantitative Finance (In press)

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-21340024

  • [Journal Article] Static hedging for knock-in/out options written on the price ratios : A simple case2010
    • Author(s)
      Jiro Akahori, Katsuya Takagi
    • Journal Title

      Proceedings of the 41st ISCIE International Symposium on Stochastic Systems Theory and Its Application

      Pages: 201-205

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-21340024

  • [Journal Article] The Ito-Nisio theorem, quadratic Wiener functionals, and 1-solitons2010
    • Author(s)
      Nobuyuki Ikeda, Setsuo Taniguchi
    • Journal Title

      Stoch.Proc.Appl.

      Volume: 120 Pages: 605-621

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-21244009

  • [Journal Article] Spectral gap for zero-range processes with jump rate $g(x)=x^{\gamma}$2010
    • Author(s)
      Yukio Nagahata
    • Journal Title

      Stochastic Processes and their Application

      Volume: 120 Pages: 949-958

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-21244009

  • [Journal Article] Sets of finite perimeter and the Hausdorff--Gauss measure on the Wiener space2010
    • Author(s)
      Masanori Hino
    • Journal Title

      Journal of Functional Analysis

      Volume: 258 Pages: 1656-1681

    • NAID

      120001759396

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-21244009

  • [Journal Article] The Ito-Nisio theorem, quadratic Wiener functionals and 1-solitons2010
    • Author(s)
      Nobuyuki Ikeda and Setsuo Taniguchi
    • Journal Title

      Stoch.Proc.Appl

      Volume: 120 Pages: 605-621

    • DOI

      10.1016/j.spa.2010.01.009

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-21244009

  • [Journal Article] A class of integral eqations and approximation of p- Laplace equations2010
    • Author(s)
      Hitoshi Ishii, Gou Nakamura
    • Journal Title

      Calc.Var.Patial Differential Equations

      Volume: 37 Pages: 485-552

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-20340019

  • [Journal Article] An Optimization Approach to Weak Approximation of L´evy-Driven Stochastic Differential Equation with Application to Option Pricing2010
    • Author(s)
      Reiichiro Kawai, K.Kashima
    • Journal Title

      2009 IEEE Conference on Decision and Control (CDC) (In press)

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-21340024

  • [Journal Article] On a Stochastic Extension of Integrated Models for Climate Changes2010
    • Author(s)
      Jiro Akahori, Takanobu Kosugi, Takafumi Kumazaki, Ken-ichi Oi
    • Journal Title

      Proceedings of the 41st ISCIE International Symposium on Stochastic Systems Theory and Its Application

      Pages: 229-264

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-21340024

  • [Journal Article] Jump-adapted discretization schemes for Levy-driven SDEs2010
    • Author(s)
      A. Kohatsu-Higa、P. Tankov
    • Journal Title

      Stochastic Processes and their Applications

      Volume: Vol.120 Pages: 2258-2285

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-21340024

  • [Journal Article] Localization for a class of linear systems2010
    • Author(s)
      Yukio Nagahata, Nobuo Yoshida
    • Journal Title

      Electronic Journal of Probability

      Volume: 15 Pages: 636-653

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-21244009

  • [Journal Article] Sets of finite perimeter and the Hausdorff-Gauss measure on the Wiener space2010
    • Author(s)
      Masanori Hino
    • Journal Title

      Journal of Functional Analysis 258

      Pages: 1656-1681

    • NAID

      120001759396

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-21244009

  • [Journal Article] Around the Random Walk Hypothesis on Interest Rates2010
    • Author(s)
      Jiro Akahori, Nien-Lin Liu
    • Journal Title

      Proceedings of the 41st ISCIE International Symposium on Stochastic Systems Theory and Its Application

      Pages: 206-210

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-21340024

  • [Journal Article] Risk-sensitive asset management2010
    • Author(s)
      Hideo Nagai
    • Journal Title

      Encyclopedia of Quantitative Finance, Cont, R.(ed.).John Wiley & Sons Ltd.Chichester, UK

      Pages: 1589-1593

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-21340024

  • [Journal Article] Risk-sensitive asset management, Encyclopedia of Quantitative Finance2010
    • Author(s)
      H. Nagai
    • Journal Title

      Chichester

      Pages: 1589-15931

    • DOI

      10.1002/9780470061602

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-20340019

  • [Journal Article] Fractional order Taylor's series and the neo-classical inequality2010
    • Author(s)
      Keisuke Hara, Masanori Hino
    • Journal Title

      Bulletin of the London Mathematical Society

      Volume: 42 Pages: 467-477

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-21244009

  • [Journal Article] Sets of finite perimeter and the Hausdorff-Gauss measure on the Wiener space2010
    • Author(s)
      Masanori Hino
    • Journal Title

      Journal of Functional Analysis

      Volume: 258 Pages: 1656-1681

    • DOI

      10.1016/j.jfa.2009.06.033

    • NAID

      120001759396

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-21244009, KAKENHI-PROJECT-21740094

  • [Journal Article] 金融工学におけるMalliavin解析を用いた感度計算2010
    • Author(s)
      Arturo Kohatsu-Higa, Kazuhiro Yasuda
    • Journal Title

      オペレーションズ・リサーチ:経営の科学

      Volume: Vol.55, No.10 Pages: 643-649

    • NAID

      110007818521

    • Data Source
      KAKENHI-PROJECT-21340024

  • [Journal Article] Lower bounds for densities of Asian type stochastic differential equations2010
    • Author(s)
      V.Bally, A.Kohatsu-Higa
    • Journal Title

      Jouranal of Functional Analysis (In press)

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-21340024

  • [Journal Article] Fractional order Taylor's series and the neo-classical Fractional order Taylor's series and the neo-classical inequality2010
    • Author(s)
      Keisuke Hara and Masanori Hino
    • Journal Title

      Bull. London Math. Soc.

      Volume: 42 Pages: 467-477

    • DOI

      10.1112/blms/bdq013

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-21244009, KAKENHI-PROJECT-21740094, KAKENHI-PROJECT-22340017

  • [Journal Article] Asymptotics of the probability minimizing a "down-side" risk2010
    • Author(s)
      H.Hata, H.Nagai, S.J.Sheu
    • Journal Title

      Annals of Applied probability

      Volume: 20 Pages: 52-89

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-20340019

  • [Journal Article] Weak Kyle-Back equilibrium models for Max and Arg Max2010
    • Author(s)
      A.Kohatsu-Higa, S.Ortiz
    • Journal Title

      SIAM Journal on Financial Mathematics

      Volume: 1 Pages: 179-211

    • Peer Reviewed
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      KAKENHI-PROJECT-20340019

  • [Journal Article] On a J_1-convergence theorem for stochastic processes on D[0, ∞) having monotone sample paths and its applications2009
    • Author(s)
      M. Yamazato
    • Journal Title

      RIMS kokyuroku 1620

      Pages: 109-118

    • Data Source
      KAKENHI-PROJECT-18540133

  • [Journal Article] Weak Harnack inequality for fully nonlinear uniformly elliptic PDE with unbounded ingredients2009
    • Author(s)
      S.Koike, A.Swiech
    • Journal Title

      Journal of Mathematical Society of Japan vol.61

      Pages: 723-755

    • NAID

      10026998426

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-20340019

  • [Journal Article] Estimating Multidimensional Density Functions using the Malliavin-Thalmaier Formula2009
    • Author(s)
      A.Kohatsu-Higa, K.Yasuda
    • Journal Title

      SIAM Journal on Numerical Analysis 47

      Pages: 1546-1575

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-20340019

  • [Journal Article] On a $J_1$ convergence theorem for stochastic processes on $D[0, \infty)$ having monotone sample paths and its applications2009
    • Author(s)
      M. Yamazato
    • Journal Title

      The 8-th Workshop on Stochastic Numerics. RIMS kokyuroku 1620

      Pages: 109-118

    • Data Source
      KAKENHI-PROJECT-18340029

  • [Journal Article] Penalising symmetric stable Lévy paths2009
    • Author(s)
      Kouji Yano
    • Journal Title

      JMSJ

      Volume: 61 Issue: 3 Pages: 757-798

    • DOI

      10.2969/jmsj/06130757

    • NAID

      10026998447

    • ISSN
      0025-5645, 1881-1167, 1881-2333
    • Language
      English
    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-20740060, KAKENHI-PROJECT-21244009

  • [Journal Article] The two-parameter Poisson-Dirichlet point process2009
    • Author(s)
      Kenji Handa
    • Journal Title

      Bernoulli

      Volume: 15 Pages: 1082-1116

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-21244009

  • [Journal Article] Estimating Multidimensional Density Functions using the Malliavin-Thalmaier Formula2009
    • Author(s)
      A.Kohatsu-Higa, K.Yasuda
    • Journal Title

      SIAM Journal on Numerical Analysis 47

      Pages: 1546-1575

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-21244009

  • [Journal Article] Estimation of densities for Heston-type models through the Malliavin-Thalmaier method and its application to the calculationof Greeks2009
    • Author(s)
      A.Kohatsu-Higa, K.Yasuda
    • Journal Title

      International Journal of Innovative Computing, Information and Control Vol.6, No.1

      Pages: 199-213

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-21340024

  • [Journal Article] Gradient flows on Wasserstein spaces over compact Alexandrov spaces2009
    • Author(s)
      Shin-ichi Ohta
    • Journal Title

      Amer.J.Math. 131

      Pages: 475-516

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-21244009

  • [Journal Article] A Wiener integral approach to non-commutative harmonic oscillators2009
    • Author(s)
      Setsuo Taniguchi
    • Journal Title

      Kyushu Jour.Math. 63-2

      Pages: 347-352

    • NAID

      130000135289

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-21244009

  • [Journal Article] Estimating Multidimensional Density Functions using the Malliavin-Thalmaier Formula.2009
    • Author(s)
      A. Kohatsu-Higa, etal.
    • Journal Title

      SIAM Journal of Numerical Analysis (出版予定)

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-18340029

  • [Journal Article] A review of recent results on Malliavin Calculus and its applications.2009
    • Author(s)
      A. Kohatsu-Higa, et al.
    • Journal Title

      Radon Series on Computational and Applied Mathematics (出版予定)

    • Data Source
      KAKENHI-PROJECT-18340029

  • [Journal Article] Existence of strong solutions of Pucci extremal equations with superlinear growth in Du2009
    • Author(s)
      S.Koike, A.Swiech
    • Journal Title

      Journal of the Fixed Point Theory and its Applications 5

      Pages: 291-304

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-20340019

  • [Journal Article] Semi-classical limit of the lowest eigenvalue of a Schr\" odinger Operator on a Wiener space : II. $P(\phi)_2$-model on a finite volume2009
    • Author(s)
      S.Aida
    • Journal Title

      J.Funct.Anal Vol.256

      Pages: 33421-3367

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-21340024

  • [Journal Article] A multivariate levy process model with linear correlation2009
    • Author(s)
      Reiichiro Kawai
    • Journal Title

      Quantitative Finance Vol.9、 No.5

      Pages: 597-606

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-21340024

  • [Journal Article] A Remark on the Asymptotic Expansion of density function of Wiener Functionals2009
    • Author(s)
      S. Kusuoka, et al.
    • Journal Title

      J. Fuct. Analysis (出版予定)

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-18340029

  • [Journal Article] On the laws of first hitting times of points for one-dimensional symmetric stable Levy processes2009
    • Author(s)
      Kouji Yano, Y.Yano and M.Yor
    • Journal Title

      Seminaire de Probabilites

      Volume: 42 Pages: 187-227

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-21244009

  • [Journal Article] Uniform convexity and smoothness, and their applications in Finsler geometry2009
    • Author(s)
      Shin-ichi Ohta
    • Journal Title

      Math.Ann. 343

      Pages: 669-699

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-21244009

  • [Journal Article] Gradient flows on Wasserstein spaces over compact Alexandrov spaces, Amer2009
    • Author(s)
      Shin-ichi Ohta
    • Journal Title

      J.Math

      Volume: 131 Pages: 475-516

    • DOI

      10.1353/ajm.0.0048

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-21244009

  • [Journal Article] On a J_1 convergence theorem for stochastic processes on D(0, ∞)having monotone sample paths and its applications.2009
    • Author(s)
      Makoto Yamazato
    • Journal Title

      RIMS kokyuroku 1620

      Pages: 109-118

    • Data Source
      KAKENHI-PROJECT-18540133

  • [Journal Article] Estimating Multi-dimensional density functions through the Malliavin-Thalmaier formula and its applications to finance.2009
    • Author(s)
      A. Kohatsu-Higa, et al.
    • Journal Title

      数理解析研究所 講究録 (出版予定)

    • Data Source
      KAKENHI-PROJECT-18340029

  • [Journal Article] A review of some recent results on Malliavin Calculus its applications2009
    • Author(s)
      A.Kohatsu-Higa, K.Yasuda
    • Journal Title

      Advances Financial Modelling Radon Series on Computational and Applied Mathematics 8

      Pages: 275-302

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-21340024

  • [Journal Article] Sensitivity analysis and density estimation on the Hobson-Rogers stochastic volatility model2009
    • Author(s)
      Reiichiro Kawai
    • Journal Title

      International Journal of Theoretical and Applied Finance Vol.12、 No.3

      Pages: 283-295

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-21340024

  • [Journal Article] Semi-classical limit of the lowest eigenvalue of a Schr \" odinger operator on a Wiener space : II. $p (\phi)_2$-model on a finite volume2009
    • Author(s)
      Shigeki Aida
    • Journal Title

      Journal of Functional Analysis (出版予定)

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-18340029

  • [Journal Article] Tree structured independence for exponential Brownian functionals2009
    • Author(s)
      Hiroyuki Matsumoto, J.Weso\lowski, P.Witkowski
    • Journal Title

      Stoch.Proc.Appl. 119

      Pages: 3798-3815

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-21244009

  • [Journal Article] Semi-classical limit of the lowest eigenvalue of a Schrodinger operator on a Wiener space: II.P(φ)_2 -model on a finite volume2009
    • Author(s)
      Shigeki Aida
    • Journal Title

      J.Funct.Anal

      Volume: 256 Pages: 3342-3367

    • DOI

      10.1016/j.jfa.2008.10.001

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-21244009

  • [Journal Article] Penalising symmetric stable L\'evy paths2009
    • Author(s)
      K.Yano, Y.Yano, M.Yor
    • Journal Title

      J.Math.Soc.Japan 61

      Pages: 757-798

    • NAID

      10026998447

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-21244009

  • [Journal Article] Weak Harnack inequality for fully nonlinear uniformly elliptic PDE with unbounded ingredients2009
    • Author(s)
      S.Koike and A.Swiech
    • Journal Title

      JMSJ

      Volume: 61 Issue: 3 Pages: 723-755

    • DOI

      10.2969/jmsj/06130723

    • NAID

      10026998426

    • ISSN
      0025-5645, 1881-1167, 1881-2333
    • Language
      English
    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-20340019

  • [Journal Article] On the pricing of iptions written on the last exit time2009
    • Author(s)
      Jiro Akahori, Yuri Imamura, Yuko Yano
    • Journal Title

      Methodology and Computing in Applied Probability 11巻4号

      Pages: 661-668

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-21340024

  • [Journal Article] Polynomial Programming Approach to Weak Approximation of L'evy-Driven Stochastic Differential Equations with Application to Option Pricing2009
    • Author(s)
      Reiichiro Kawai, K.Kashima
    • Journal Title

      ICROS-SICE International Joint Conference 2009(ICCAS-SICE 2009)

      Pages: 3902-3907

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-21340024

  • [Journal Article] On a $J_1$ convergence t heorem for stochastic processes on $D[0,\infty)$ having monotone sample paths and its applications2009
    • Author(s)
      M. Yamazato
    • Journal Title

      The 8-th Workshop on Stochastic Numerics. RIMS kokyuroku 1620

      Pages: 109-118

    • Data Source
      KAKENHI-PROJECT-18340029

  • [Journal Article] An Operator Approach for Markov Chain Weak Approximations with an Application to Infinite Activity Levy Driven SDEs2009
    • Author(s)
      A. Kohatsu-Higa, et al.
    • Journal Title

      Annals of Applied Probability (出版予定)

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-18340029

  • [Journal Article] Tree structured independence for exponential Brownian functionals, Stochastic Process2009
    • Author(s)
      Hiroyuki Matsumoto, J.Weso.owski and P.Witkowski
    • Journal Title

      Appl

      Volume: 119 Pages: 3793-3815

    • DOI

      10.1016/j.spa.2009.07.008

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-21244009

  • [Journal Article] Estimating Multidimensional Density Functions using the Malliavin-Thalmaier Formula2009
    • Author(s)
      A.Kohatsu-Higa, K.Yasuda
    • Journal Title

      SIAM Journal on Numerical Analysis 47

      Pages: 1546-1575

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-21340024

  • [Journal Article] An Operator Approach for Markov Chain Weak Approximations with an Application to Infinite Activity L\{e}vy Driven SDEs2009
    • Author(s)
      H.Tanaka, A.Kohatsu-Higa
    • Journal Title

      Annals of Applied Probability 19

      Pages: 1026-1062

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-21340024

  • [Journal Article] Semi-classical limit of the lowest eigenvalue of a Schr\"odinger operator on a Wiener space : II.$P(\phi)_2$-model on a finite volume2009
    • Author(s)
      Shigeki Aida
    • Journal Title

      Journal of Functional Analysis Vol.256

      Pages: 3342-3367

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-18540175

  • [Journal Article] Uniform convexity and smoothness, and their applications in Finsler geometry2009
    • Author(s)
      Shin-ichi Ohta
    • Journal Title

      Math.Ann

      Volume: 343 Pages: 669-699

    • DOI

      10.1007/s00208-008-0286-4

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-21244009

  • [Journal Article] Statistical Inference and Malliavin Calculus.2009
    • Author(s)
      A. Kohatsu-Higa, et al.
    • Journal Title

      Seminar on Stochastic Analysis, Random Fields and Applications V (出版予定)(To appear)

    • Data Source
      KAKENHI-PROJECT-18340029

  • [Journal Article] Weak Harnack inequality for fully nonlinear uniformly elliptic PDE with unbounded ingredients2009
    • Author(s)
      S.Koike, A.Swiech
    • Journal Title

      Journal of Mathematical Society of Japan 61

      Pages: 723-755

    • NAID

      10026998426

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-20340019

  • [Journal Article] A WIENER INTEGRAL APPROACH TO NON-COMMUTATIVE HARMONIC OSCILLATORS2009
    • Author(s)
      Setsuo Taniguchi
    • Journal Title

      Kyushu Journal of Mathematics

      Volume: 63-2 Issue: 2 Pages: 347-352

    • DOI

      10.2206/kyushujm.63.347

    • NAID

      130000135289

    • ISSN
      1340-6116, 1883-2032
    • Language
      English
    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-21244009

  • [Journal Article] An Optimization Approach to Weak Approximation of L'evy-Driven Stochastic Differential Equations2009
    • Author(s)
      Reiichiro Kawai, K.Kashima
    • Journal Title

      Perspec. in Math. Sys. Theory, Ctrl., & Signal Process., S.Hara et al. (Eds)LNCIS、Springer-Verlag Berlin Heidelberg 398

      Pages: 263-272

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-21340024

  • [Journal Article] Semi-classical limit of the lowest eigenvalue of a Schrodinger operator on a Wiener space : II. P(φ)_2-model on a finite volume2009
    • Author(s)
      Shigeki Aida
    • Journal Title

      Journal of Functional Analysis 256

      Pages: 3342-3367

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-21244009

  • [Journal Article] Simulation on multidimensional density functions through the Maliavin-Thalmaier formula and its application to finance2009
    • Author(s)
      A.Kohatsu-Higa, K.Yasuda
    • Journal Title

      Proceedings of the 40th ISCIE International Symposium on Stochastic Systems Theory and Its Applications

      Pages: 342-347

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-21340024

  • [Journal Article] PDE approach to utility maximization for market models with hidden Markov factors2009
    • Author(s)
      H. Nagai, et al.
    • Journal Title

      Progress in Probability

      Pages: 493-506

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-18340029

  • [Journal Article] Thermodynamicla approach to life insurance : discrete space-timeframework ; a toy model and its analysis2009
    • Author(s)
      Jiro Akahori, Maho Nishida, Yousuke Seto
    • Journal Title

      Proceedings of the 40th ISCIE International Symposium on Stochastic Systems Theory and Its Application

      Pages: 360-365

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-21340024

  • [Journal Article] Option Pricing Based on Geometric Stable Processes and Minimal Entropy Martingale Measures2009
    • Author(s)
      Y.Miyahara, N.Moriwaki
    • Journal Title

      Recent Advances in Financial Engineering (Proceedings of the 2008 Daiwa International Workshop on Financial Engineering)

      Pages: 119-133

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-20340019

  • [Journal Article] Real time scheme for the volatility estimation in the presence of microstructure noise2009
    • Author(s)
      S. Ogawa
    • Journal Title

      Monte Carlo Methods and Applications 1 4

      Pages: 331-342

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-18340029

  • [Journal Article] A new weak approximation scheme of stochastic differential equations and the Runge-Kutta method2009
    • Author(s)
      Syoiti Ninomiya, et al.
    • Journal Title

      Finance and Stochastics (出版予定)

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-18340029

  • [Journal Article] The two-parameter Poisson-Dirichlet point process2009
    • Author(s)
      Kenji Handa
    • Journal Title

      Bernoulli 15

      Pages: 1082-1116

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-21244009

  • [Journal Article] Existence of strong solutions of Pucci extremal equations with superlinear growth in Du2009
    • Author(s)
      S.Koike and A.Swiech
    • Journal Title

      Journal of the Fixed Point Theory and its Application

      Volume: 5 Pages: 291-304

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-20340019

  • [Journal Article] Central limit theorem for a class of linear systems2009
    • Author(s)
      Y.Nagahata, N.Yoshida
    • Journal Title

      Electronic Journal of Probability 14

      Pages: 960-977

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-21244009

  • [Journal Article] On the laws of first hitting times of points for one-dimensional symmetric stable L\'evy processes2009
    • Author(s)
      K.Yano, Y.Yano, M.Yor
    • Journal Title

      S\' eminaire de Probabilit\'es 42

      Pages: 187-227

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-21244009

  • [Journal Article] Estimating Multi-dimensional density functions for random variables in Wiener space2008
    • Author(s)
      Kohatsu-Higa, Arturo, et. al.
    • Journal Title

      C. R. Acad. Sci., Paris, 346

      Pages: 335-338

    • Description
      「研究成果報告書概要(和文)」より
    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-16340025

  • [Journal Article] PDE approach to utility maximization for market models with hidden Markov factors2008
    • Author(s)
      Hideo NAGAI,.
    • Journal Title

      ゛Progress in Probability゛ Seminar on stochastic analysis, random fields and applicatiops, ed, Dalang, R.

      Pages: 493-506

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-16340025

  • [Journal Article] Hadamard's variation and Poincar\'e's lemma on a certain non-convex domain2008
    • Author(s)
      S. Aida
    • Journal Title

      Proceedings of RIMS Workshop on Stochastic Analysis and Applications, RIMS Kokyuroku Bessatsu, B6

      Pages: 1-14

    • Data Source
      KAKENHI-PROJECT-18340029

  • [Journal Article] Enlargement of filtrations with random times for processes with jumps2008
    • Author(s)
      Kohatsu-Higa Arturo,.
    • Journal Title

      Stochastic Processes and their applications (In press)

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-16340025

  • [Journal Article] Log-Sobolev inequalities with potential functions on pinned path groups2008
    • Author(s)
      Shigeki Aida
    • Journal Title

      Communications on Stochastic Analysis Vol.2, No.1

      Pages: 33-51

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-18540175

  • [Journal Article] Runggaldier : PDE approach to utility maximization for market models with hidden Markov factors,"Progress in Probability" Seminar on stochastic analysis2008
    • Author(s)
      H. Nagai and W.J.
    • Journal Title

      random fields and applications, edited by Dalang, R.C. et al. Birkhauser

      Pages: 493-506

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-18340029

  • [Journal Article] Estimating Multi-dimensional density functions for random variables in Wiener space2008
    • Author(s)
      A. Kohatsu-Higa, et al.
    • Journal Title

      C. R. Math. Acad. Sci. Paris 346

      Pages: 335-338

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-18340029

  • [Journal Article] Estimating Multi-dimensional density functions for random variables in Wiener space2008
    • Author(s)
      A. Kohatsu-Higa
    • Journal Title

      C. R. Math. Acad. Sci. Paris 346

      Pages: 335-338

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-20340019

  • [Journal Article] Log-Sobolev inequalities with potential functions on Pinned path groups2008
    • Author(s)
      Shigeki Aida
    • Journal Title

      Communications on Stochastic Analysis 2

      Pages: 33-51

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-18540175

  • [Journal Article] Hadamard's variation and Poincare's lemma on a certain non-convex domain2008
    • Author(s)
      S. Aida
    • Journal Title

      in the Proceedings of RIMS Workshop on Stochastic Analysis and Applications, RIMS. Kokyuroku Bessatsu B6

      Pages: 1-14

    • Data Source
      KAKENHI-PROJECT-18340029

  • [Journal Article] Estimating Multi-dimensional density functions for random variables in ' Wiener space2008
    • Author(s)
      A., Kohatsu-Higa, et. al.
    • Journal Title

      C. R. Math. Acad. Sci. Paris Vol Vol.346 5-6

      Pages: 335-338

    • Description
      「研究成果報告書概要(欧文)」より
    • Data Source
      KAKENHI-PROJECT-16340025

  • [Journal Article] PDE approach to utility maximization for market models with hidden Markov factors2008
    • Author(s)
      H. Nagai and W.J. Runggaldier:
    • Journal Title

      Progress in Probability

      Volume: vol.59 Pages: 493-506

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-20340019

  • [Journal Article] An Optimal Control Variance Reduction Method for Density Estimation2008
    • Author(s)
      A. Kebaier,.
    • Journal Title

      Stochastic Processes and their applications (出版予定)

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-18340029

  • [Journal Article] Enlargement of filtrations with random times for processes with jumps2008
    • Author(s)
      Kohatsu-Higa, Arturo, et. al.
    • Journal Title

      Stochastic Processes and their applications (In press)

    • Description
      「研究成果報告書概要(和文)」より
    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-16340025

  • [Journal Article] Enlargement of filtrations with random times for processes with jumps2008
    • Author(s)
      A. Kohatsu-Higa. and M.Yamazato
    • Journal Title

      Stochastic Processes and their applications vol.118

      Pages: 1136-1158

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-18340029

  • [Journal Article] PDE approach to utility maximization for market models with hidden Markov factors2008
    • Author(s)
      H. Nagai,.
    • Journal Title

      "Progress in Probability" Seminar on stochastic analysis, random fields and applications,

      Pages: 493-506

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-18340029

  • [Journal Article] Enlargement of filtrations with random times for processes with jumps.2008
    • Author(s)
      A. Kohatsu-Higa, M. Yamazato.
    • Journal Title

      Stochastic Proc. Appl. 118

      Pages: 1136-1158

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-18540133

  • [Journal Article] An Optimal Control Variance Reduction Method for Density Estimation.2008
    • Author(s)
      A. Kebaier
    • Journal Title

      Stochastic Processes and their applications (In press)

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-16340025

  • [Journal Article] Consistent estimation of covariation under nonsynchronicity2008
    • Author(s)
      S. Kusuoka, et al.
    • Journal Title

      Stat. Inference Stoch. Process. 11

      Pages: 93-106

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-18340029

  • [Journal Article] Hadamard's variation and Poincare's lemma on a certainnon-convex domain2008
    • Author(s)
      Shigeki Aida
    • Journal Title

      RIMS Kokyuroku Bessatsu B 6

      Pages: 1-14

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-18540175

  • [Journal Article] Enlargement of filtrations with random times for processes with jumps2008
    • Author(s)
      A. Kohatsu-Higa, M. Yamazato
    • Journal Title

      Stochastic Proc. Appl 118

      Pages: 1136-1158

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-18540133

  • [Journal Article] Log-Sobolev inequalities with potential functions on pinned path groups2008
    • Author(s)
      Shigeki Aida
    • Journal Title

      Communications on Stochastic Analysis 2

      Pages: 33-51

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-18340029

  • [Journal Article] Consistent estimation of covariation under nonsynchronicity (with T.Hayashi)2008
    • Author(s)
      S. Kusuoka
    • Journal Title

      Stat. Inference Stoch. Process 11 no.1

      Pages: 93-106

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-18340029

  • [Journal Article] PDE approach to utility maximization for market models with hidden Markov factors2008
    • Author(s)
      Hideo NAGAI
    • Journal Title

      “Progress in Probability" Seminar on stochastic analysis, random fields and applications

      Pages: 493-506

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-20340019

  • [Journal Article] An Optimal Control Variance Reduction Method for Density Estimation2008
    • Author(s)
      A. Kohatsu-Higa, et al.
    • Journal Title

      Stochastic Processes and their applications 118

      Pages: 2143-2180

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-18340029

  • [Journal Article] An Optimal Control Variance Reduction Method for Density Estimation2008
    • Author(s)
      A. Kebaier and A. Kohatsu-Higa
    • Journal Title

      To appear in Stochastic Processes and their applications. (in press)

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-18540133

  • [Journal Article] Real time scheme for the volatility estimation in the presence of microstructure noise2008
    • Author(s)
      S. Ogawa
    • Journal Title

      Monte Carlo Methods and Applications vol14, No.4(de Gruyter. Berlin.)

      Pages: 331-342

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-18340029

  • [Journal Article] An Optimal Control Variance Reduction Method for Density Estimation2008
    • Author(s)
      A. Kebaier and A. Kohatsu-Higa
    • Journal Title

      Stochastic Processes and their applications Vol.118

      Pages: 2143-2180

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-18340029

  • [Journal Article] Hadamard's variation and Poincare's lemma on a certain non-convex domain, in the Proceedings of RIMS Workshop on Stochastic Analysis and Applications2008
    • Author(s)
      Shigeki Aida
    • Journal Title

      RIMS Kokyuroku Bessatsu B6

      Pages: 1-14

    • NAID

      110006487663

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-18540175

  • [Journal Article] Log-Sobolev inequalities with potential functions on pinned path groups2008
    • Author(s)
      S. Aida
    • Journal Title

      Communications on Stochastic Analysis Vol.2, No.1

      Pages: 33-51

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-18340029

  • [Journal Article] Hadamard's variation and Poincare's lemma on a certain non-convex Domain。2008
    • Author(s)
      Shigeki Aida
    • Journal Title

      Proceedings of RIMS Workshop on Stochastic Analysis and Applications, RIMS Kokyuroku Bessatsu B6 B6

      Pages: 1-14

    • Data Source
      KAKENHI-PROJECT-18340029

  • [Journal Article] PDE approach to utility maximization for market models with hidden Markov Factors2008
    • Author(s)
      Hideo NAGAI, et. al.
    • Journal Title

      "Progress in Probability" Seminar on stochastic analysis, random fields and applications, ed. Dalang, R., et. al.

      Pages: 493-506

    • Description
      「研究成果報告書概要(和文)」より
    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-16340025

  • [Journal Article] Enlargement of filtrations with random times for processes with jumps2008
    • Author(s)
      A. Kohatsu-Higa. and M. Yamazato
    • Journal Title

      To appear in Stochastic Processes and their applications (in press)

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-18540133

  • [Journal Article] Weak Approximation of Stochastic Differential Equations and Application to Derivative Pricing2008
    • Author(s)
      Syoiti Ninomiya,.
    • Journal Title

      Applied Mathematical Finance (出版予定)

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-18340029

  • [Journal Article] Enlargement of filtrations with random times for processes with jumps2008
    • Author(s)
      A. Kohatsu-Higa,.
    • Journal Title

      Stochastic Processes and their applications (出版予定)

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-18340029

  • [Journal Article] Anticipative Stochastic Control for Levy processes with Application to Insider Trading2008
    • Author(s)
      A. Kohatsu-Higa, et al.
    • Journal Title

      Mathematical Modelling and Numerical Methods in Finance. Handbook of Numerical Analysis XV

      Pages: 575-595

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-18340029

  • [Journal Article] An Optimal Control Variance Reduction Method for Density Estimation.2008
    • Author(s)
      A. Kebaier, et. al.
    • Journal Title

      Stochastic Processes and their applications (In press)

    • Description
      「研究成果報告書概要(和文)」より
    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-16340025

  • [Journal Article] PDE approach to utility maximization for market models with hidden Markov Factors2008
    • Author(s)
      H., Nagai, W.J., Runggaldier
    • Journal Title

      Progress in Probability" Seminar on stochastic analysis, random fields and applications, edited by Dalang, R.C., et. al. Birkhauser

      Pages: 493-506

    • Description
      「研究成果報告書概要(欧文)」より
    • Data Source
      KAKENHI-PROJECT-16340025

  • [Journal Article] Hadamard's variation and Poincare's lemma on a certain non-convex domain2008
    • Author(s)
      Shigeki Aida
    • Journal Title

      RIMS Kokyuroku Bessatsu B6

      Pages: 1-14

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-18540175

  • [Journal Article] Semi-classical limit of the bottom of spectrum of a Schr\"odinger operator on a path space over a compact Riemannian manifold2007
    • Author(s)
      Shigeki Aida
    • Journal Title

      J. Funct. Anal Vol.251, no.1

      Pages: 59-121

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-18540175

  • [Journal Article] Representation formulas for solutions of Hamilton-Jacobi equations with convex Hamiltonians.2007
    • Author(s)
      H. Ishii, et. al.
    • Journal Title

      Indiana Univ. Math. J. 56

    • Description
      「研究成果報告書概要(和文)」より
    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-16340025

  • [Journal Article] de Finetti's theorem for o-finite measures on R∞＼{0}2007
    • Author(s)
      K.Yamauchi, M.yamazato
    • Journal Title

      Ryukyu Mathematical Journal 19

      Pages: 129-136

    • Data Source
      KAKENHI-PROJECT-18540133

  • [Journal Article] Estimating Multi-dimensional density functions for random variables in Wiener space2007
    • Author(s)
      Kohatsu-Higa Arturo,.
    • Journal Title

      C.R. Acad. Sci., Paris (In press)

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-16340025

  • [Journal Article] "Noncaual Intgeral Equations of Fredholm Type"2007
    • Author(s)
      S. Ogawa
    • Journal Title

      Harmonic, Wavelet and p-Adic Analysis

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-18340029

  • [Journal Article] On a real-time scheme for the estimation of volatility2007
    • Author(s)
      S.Ogawa and K.Wakayama
    • Journal Title

      Monte Carlo Method and Appl, de Gruyter, Berlin Vol.13 No.1

      Pages: 99-116

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-18340029

  • [Journal Article] Horizontal lift of the Brownian motion on the hyperbolic plane and the Selberg trace formula2007
    • Author(s)
      H., Matsumoto
    • Journal Title

      J. Func. Anal 244

      Pages: 565-578

    • Description
      「研究成果報告書概要(欧文)」より
    • Data Source
      KAKENHI-PROJECT-16340025

  • [Journal Article] Models for insider trading with finite utility2007
    • Author(s)
      A., Kohatsu-Higa
    • Journal Title

      Paris-Princeton Lectures on Mathem atical Finance Series : Lecture Notes in Mathematics Vol.1919

      Pages: 103-172

    • Description
      「研究成果報告書概要(欧文)」より
    • Data Source
      KAKENHI-PROJECT-16340025

  • [Journal Article] A remark on Impulse control problems with risk-sensitive criteria,2007
    • Author(s)
      H. Nagai
    • Journal Title

      Stochastic Processes and Applications to Mathematical Finance

      Pages: 219-232

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-18340029

  • [Journal Article] Noncaual Integral Equations of redholmType2007
    • Author(s)
      S. Ogawa
    • Journal Title

      Harmonic,Wavelet and p-Adic Analysis, (Monograph) World Scientif

      Pages: 331-342

    • Data Source
      KAKENHI-PROJECT-18340029

  • [Journal Article] Representation formulas for solutions of Hamilton-Jacobi equations with convex Hamiltonians2007
    • Author(s)
      Ishii, Hitoshi, et. al.
    • Journal Title

      Indiana Univ. Math. J No.56

    • Description
      「研究成果報告書概要(欧文)」より
    • Data Source
      KAKENHI-PROJECT-16340025

  • [Journal Article] A linear-quadratic control problem with discretionary stopping2007
    • Author(s)
      S. Koike, et. al.
    • Journal Title

      Discrete and Continuous Dynamical Systems, Series B 8

      Pages: 261-277

    • Description
      「研究成果報告書概要(和文)」より
    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-16340025

  • [Journal Article] Noncausal Stochastic Calculus Revisitted2007
    • Author(s)
      S. Ogawa
    • Journal Title

      Advances in Deterministic and Stochastic Analysis, (Monograph) World Scientific

      Pages: 297-320

    • Data Source
      KAKENHI-PROJECT-18340029

  • [Journal Article] A remark on Impulse cpntrol problems with risk-sensitive criteria2007
    • Author(s)
      Hideo NAGAI
    • Journal Title

      "Stochastic Processes and Applications to Mathematical Finance", Eds. J. Akahori,., World Scientific

      Pages: 219-232

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-16340025

  • [Journal Article] A linear-quadratic control problem with discretionary stopping2007
    • Author(s)
      S., Koike, et. al.
    • Journal Title

      Discrete and Continuous Dynamical Systems, Series B 8-2

      Pages: 261-277

    • Description
      「研究成果報告書概要(欧文)」より
    • Data Source
      KAKENHI-PROJECT-16340025

  • [Journal Article] Horizontal lift of the Brownian motion on the hyperbolic plane and the Selberg trace formula,2007
    • Author(s)
      H. Matsumoto
    • Journal Title

      Journal of Functional Analysis 244

      Pages: 565-578

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-16340025

  • [Journal Article] Kreins strings with singular left boundary2007
    • Author(s)
      S., Kotani
    • Journal Title

      Report on Math. Phys No.59

      Pages: 305-316

    • Description
      「研究成果報告書概要(欧文)」より
    • Data Source
      KAKENHI-PROJECT-16340025

  • [Journal Article] Semi-classical limit of the bottom of spectrum of a Schr\"odinger operator on a path space over a compact Riemannian manifold2007
    • Author(s)
      S. Aida
    • Journal Title

      J. Funct. Anal Volume251, Issue1

      Pages: 59-12

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-18340029

  • [Journal Article] Estimating Multi-dimensional density functions for random variables in Wiener space2007
    • Author(s)
      A. Kohatsu-Higa,.
    • Journal Title

      C.R. Math. Acad. Sci. Paris (出版予定)

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-18340029

  • [Journal Article] Insider problems for markets driven by L\'evy processes2007
    • Author(s)
      A. Kohatsu-Higa, M. Yamazato
    • Journal Title

      Harmonic, wavelet and p-adic analysis 2

      Pages: 363-381

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-18540133

  • [Journal Article] A convolution approach to multivariate Bessel processes2007
    • Author(s)
      T. V. Nguyen, S. Ogawa, M. Yamazato
    • Journal Title

      Stochastic processes and applications to mathematical finance 4

      Pages: 233-244

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-18540133

  • [Journal Article] Models for insider trading with finite utility2007
    • Author(s)
      A. Kohatsu-Higa
    • Journal Title

      Paris-Princeton Lectures on Mathematical Finance Series: Lecture Notes in Mathematics 1919

      Pages: 103-172

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-18340029

  • [Journal Article] Krein's strings with singular left boundary2007
    • Author(s)
      S. Kotani
    • Journal Title

      Report on Math. Phys. 59

      Pages: 305-316

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-16340025

  • [Journal Article] Models for insider trading with finite utility.2007
    • Author(s)
      A. Kohatsu-Higa
    • Journal Title

      Lecture Notes in Mathematics 1919

      Pages: 103-172

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-18540133

  • [Journal Article] Horizontal lift of the Brownian motion on the hyperbolic plane and the Selberg trace formula2007
    • Author(s)
      H.Matsumoto
    • Journal Title

      Journal of Functional Analysis 244

      Pages: 565-578

    • Data Source
      KAKENHI-PROJECT-16340025

  • [Journal Article] Stopping problems of certain multiplicative functionals and optimal investment with transaction costs2007
    • Author(s)
      H., Nagai
    • Journal Title

      Applied Mathematics and Optimization 55

      Pages: 359-384

    • Description
      「研究成果報告書概要(欧文)」より
    • Data Source
      KAKENHI-PROJECT-16340025

  • [Journal Article] Fiber Hamiltonians in non-relativistic quantum electrodynamics2007
    • Author(s)
      Fumio Hiroshima
    • Journal Title

      Journal of Functional Analysis 252

      Pages: 314-355

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-18540175

  • [Journal Article] Maximum principle for fully nonlinear equations via the iterated comparison function method2007
    • Author(s)
      S. Koike, et. al.
    • Journal Title

      Mathematische Annalen 339.

      Pages: 461-484

    • NAID

      120006385615

    • Description
      「研究成果報告書概要(和文)」より
    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-16340025

  • [Journal Article] Horizontal lift of the Brownian motion on the hyperbolic plane and the Selberg trace formula2007
    • Author(s)
      H. Matsumoto
    • Journal Title

      Journal of Functional Analysis 244

      Pages: 565-578

    • Description
      「研究成果報告書概要(和文)」より
    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-16340025

  • [Journal Article] A remark on Impulse control problems with risk-sensitive criteria2007
    • Author(s)
      Hideo NAGAI
    • Journal Title

      "Stochastic Processes and Applications to Mathematical Finance", Eds. J. Akahori, et. al., World Scientific

      Pages: 219-232

    • Description
      「研究成果報告書概要(和文)」より
    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-16340025

  • [Journal Article] Semi-classical limit of the bottom of spectrum of a Schr\"odinger operator on a path space over a compact Riemannian manifold2007
    • Author(s)
      S. Aida
    • Journal Title

      J. Funct. Anal. 251

      Pages: 59-121

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-18340029

  • [Journal Article] Mass renormalization in non-relativistic quntum electrodynamics with spin 1/22007
    • Author(s)
      Fumio Hiroshima
    • Journal Title

      Reviews in Mathematical Physics 19

      Pages: 405-454

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-18540175

  • [Journal Article] Stopping problems of certain multiplicative functionals and optimal investment with transaction costs2007
    • Author(s)
      H. Nagai
    • Journal Title

      Applied Mathematics and Optimization 55

      Pages: 359-384

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-18340029

  • [Journal Article] Models for insider trading with finite utility.2007
    • Author(s)
      Kohatsu-Higa, Arturo
    • Journal Title

      Paris-Princeton Lectures on Mathematical Finance Series: Lecture Notes in Mathematics 1919

      Pages: 103-172

    • Description
      「研究成果報告書概要(和文)」より
    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-16340025

  • [Journal Article] Krein' s strings with singular left boundary2007
    • Author(s)
      S. Kotani
    • Journal Title

      Report on Math. Phys 59

      Pages: 305-316

    • Description
      「研究成果報告書概要(和文)」より
    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-16340025

  • [Journal Article] Stopping problems of certain multiplicative functionals and optimal investment with transaction costs2007
    • Author(s)
      H.Nagai
    • Journal Title

      Applied Mathematics and Optimization (in press)

    • Data Source
      KAKENHI-PROJECT-18340029

  • [Journal Article] A remark on Impulse control problems with risk-sensitive criteria2007
    • Author(s)
      H., Nagai
    • Journal Title

      Eds. J. Akahori, S. Ogawa and S. Watanabe, "Stochastic Processes and Applications to Mathematical Finance" World Scientific

      Pages: 219-232

    • Description
      「研究成果報告書概要(欧文)」より
    • Data Source
      KAKENHI-PROJECT-16340025

  • [Journal Article] Models for insider trading with finite utility2007
    • Author(s)
      Kohatsu-Higa Arturo
    • Journal Title

      Paris-Princeton Lectures on Mathematical Finance Series: Lecture Notes in Mathematics 1919

      Pages: 103-172

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-16340025

  • [Journal Article] Stopping problems of certain multiplicativ functionals and optimalinvestment with transaction costs2007
    • Author(s)
      Hideo NAGAI
    • Journal Title

      Applied Mathematics and Optimization 55

      Pages: 359-384

    • Description
      「研究成果報告書概要(和文)」より
    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-16340025

  • [Journal Article] On a real-time estimator of the volatility2007
    • Author(s)
      S. Ogawa,.
    • Journal Title

      Monte Carlo Method and Appl. 1

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-18340029

  • [Journal Article] PDE approach to utility maximization for market models with hidden Markov factors2007
    • Author(s)
      H.Nagai, et al.
    • Journal Title

      "Progress in Probability", Birkhauser (In press)

    • Data Source
      KAKENHI-PROJECT-16340025

  • [Journal Article] Insider problems for markets driven by L\'evy processes, Harmonic2007
    • Author(s)
      A. Kohatsu-Higa, M. Yamazato
    • Journal Title

      wavelet and p-adic analysis, World Sci. Publ., Hackensack. NJ

    • Data Source
      KAKENHI-PROJECT-18340029

  • [Journal Article] A remark on Impulse control problems with risk-sensitive criteria2007
    • Author(s)
      H. Nagai
    • Journal Title

      Stochastic Processes and Applications to Mathematical Finance(Eds. J. Akahori, S. Ogawa and S. Watanabe, World Scientific)

      Pages: 219-232

    • Data Source
      KAKENHI-PROJECT-18340029

  • [Journal Article] Models for insider trading with finite utility. Paris-Princeton Lectures on Mathematical Finance Series2007
    • Author(s)
      A. Kohatsu-Higa
    • Journal Title

      Lecture Notes in Mathematics Vol.1919

      Pages: 103-172

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-18340029

  • [Journal Article] A convolution approach to multivariate Bessel processes2007
    • Author(s)
      T. V. Nguyen, S. Ogawa, M. Yamazato
    • Journal Title

      Stochastic processes and applications to mathematical finance, World Sci. Publ., Hackensack, NJ

      Pages: 233-244

    • Data Source
      KAKENHI-PROJECT-18340029

  • [Journal Article] Stopping problems of certain multiplicative functionals and optimal investment with transaction costs2007
    • Author(s)
      Hideo NAGAI
    • Journal Title

      Applied Mathematics and Optimization (in press)

    • Data Source
      KAKENHI-PROJECT-16340025

  • [Journal Article] The probability of two F_q-polynomials to be coprime,2007
    • Author(s)
      H. Sugita.
    • Journal Title

      Proceedings of the International Conference on Probability and Number Theory, ASPM 49

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-16340025

  • [Journal Article] Insider problems for markets driven by Levy processes2007
    • Author(s)
      A.Kohatsu-Higa, M.Yamazato
    • Journal Title

      Abstract and Applied Analysis 2(To appear)

    • Data Source
      KAKENHI-PROJECT-18540133

  • [Journal Article] Semi-classical limit of the bottom of spectrum of a Schroedinger operator on a path space over a compact Riemannian manifold2007
    • Author(s)
      Shigeki Aida
    • Journal Title

      Journal of Functional Analysis 251

      Pages: 59-121

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-18540175

  • [Journal Article] A remark on impulse control problems with risk-sensitive criteria2007
    • Author(s)
      Hideo NAGAI
    • Journal Title

      Proceedings of Ritsumeikan Conference on Stochastic proce sses and applications to mathematical finance (in press)

    • Data Source
      KAKENHI-PROJECT-16340025

  • [Journal Article] "Noncausal Stochastic Calculus revisitted2007
    • Author(s)
      S. Ogawa
    • Journal Title

      The Proceedings of the Conference on Pure and Applied Math. (出版予定)

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-18340029

  • [Journal Article] Maximum principle for fully nonlinear equations via the iterated comparison function method2007
    • Author(s)
      S., Koike, et. al.
    • Journal Title

      Mathematische Annalen 339

      Pages: 461-484

    • NAID

      120006385615

    • Description
      「研究成果報告書概要(欧文)」より
    • Data Source
      KAKENHI-PROJECT-16340025

  • [Journal Article] de Finetti's theorem for σ-finite measures on R ∞2006
    • Author(s)
      K. Yamauchi, M. Yamazato
    • Journal Title

      Ryukyu Math. J 19

      Pages: 129-136

    • Data Source
      KAKENHI-PROJECT-18540133

  • [Journal Article] On a condition that one-dimensional diffusion processes are martingales2006
    • Author(s)
      S. Kotani
    • Journal Title

      Seminaire de Probabilites XXXIX, LNM 1874

      Pages: 149-156

    • Description
      「研究成果報告書概要(和文)」より
    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-16340025

  • [Journal Article] Utility maximization in an insider influenced market2006
    • Author(s)
      A. Kohatsu-Higa. And A. Sulem
    • Journal Title

      Mathematical Finance Vol 16, 1

      Pages: 153-179

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-18340029

  • [Journal Article] Risk-sensitive quasi-variational inequalities for optimal investment with general transaction costs2006
    • Author(s)
      H. Nagai
    • Journal Title

      Asymptotic Analysis vol.48

      Pages: 243-265

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-18340029

  • [Journal Article] A duality approach for the weak approximations of stochastic differential equations2006
    • Author(s)
      E. Clement, A. Kohatsu-Higa. and D. Lamberton
    • Journal Title

      Annals of Applied Probability 2006 Vol.16, No.3

      Pages: 1124-1154

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-18340029

  • [Journal Article] Topics related to gamma processes2006
    • Author(s)
      M. Yamazato
    • Journal Title

      Stochastic processes and applications to mathematical finance 3

      Pages: 157-182

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-18540133

  • [Journal Article] Utility Maximization in an insider influenced market2006
    • Author(s)
      A.Kohatsu-Higa, et al.
    • Journal Title

      Mathematical Finance (In press)

    • Data Source
      KAKENHI-PROJECT-16340025

  • [Journal Article] Utility maximization in an insider influenced market.2006
    • Author(s)
      A.Kohatsu-Higa, et al.
    • Journal Title

      Mathematical Finance Vol 16,1,January

      Pages: 153-179

    • Data Source
      KAKENHI-PROJECT-18340029

  • [Journal Article] Asymptotic solutions of viscous Hamilton-Jacobi equations with Ornstein-Uhlenbeck operator2006
    • Author(s)
      Fujita, Yasuhiro, et. al.
    • Journal Title

      Comm. Partial Differential Equations No.31

      Pages: 827-848

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  • [Journal Article] PDE approach to utility maximization with partial information2006
    • Author(s)
      H. Nagai and W.J. Runggaldier
    • Journal Title

      Suuriken Koukyuuroku 1462

      Pages: 116-130

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  • [Journal Article] The probabilistic solution of the Dirichlet problem for degenerat e elliptic equations2006
    • Author(s)
      Liu, Chuandi, et al.
    • Journal Title

      Bull. Pol. Acad. Sci. Math. 54

      Pages: 163-174

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  • [Journal Article] A duality approach for the weak approximations of stochastic differential equations2006
    • Author(s)
      E. Clement, et. al.
    • Journal Title

      Annals of Applied Probability 16

      Pages: 1124-1154

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  • [Journal Article] PDE approach to utility maximization with partial information2006
    • Author(s)
      H.Nagai, et al.
    • Journal Title

      数理解析研究所講究録 1462

      Pages: 116-130

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  • [Journal Article] A convolution approach to the multivariate Bessel processes2006
    • Author(s)
      S. Ogawa, V. T. Nguyen and M. Yamazato
    • Journal Title

      Proceedings of the 6^<th> Ritsumeikan Conference on Stochastic Processes & Applications to Mathematical Finance

      Pages: 233-245

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      KAKENHI-PROJECT-18340029

  • [Journal Article] Topics related to gamma processes2006
    • Author(s)
      M. Yamazato
    • Journal Title

      Stochastic processes and applications to mathematical finance, World Sci. Publ., Hackensack, NJ

      Pages: 157-182

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      KAKENHI-PROJECT-18340029

  • [Journal Article] Risk-sensitive quasi-variational inequalities for optimal investment with general transaction costs2006
    • Author(s)
      H.Nagai
    • Journal Title

      Asymptotic Analysis Vol.48

      Pages: 243-265

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      KAKENHI-PROJECT-18340029

  • [Journal Article] A duality approach for the weak approximations of stochastic differential equations2006
    • Author(s)
      E.Clement, et al.
    • Journal Title

      Annals of Applied Probability (In press)

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      KAKENHI-PROJECT-16340025

  • [Journal Article] Asymptotic solutions of viscous Hamilton-Jacobi equations with Ornstein-Uhlenbeck operator2006
    • Author(s)
      Y.Fujita, et al.
    • Journal Title

      Comm. Partial differential equations 31

      Pages: 827-848

    • Data Source
      KAKENHI-PROJECT-16340025

  • [Journal Article] Asymptotic solutions of Hamilton-Jacobi equations in Euclidean $n$ space2006
    • Author(s)
      Fujita, Yasuhiro, et. al.
    • Journal Title

      Indiana Univ. Math. J No.55

      Pages: 1671-1700

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  • [Journal Article] Utility maximization in an insider influenced market2006
    • Author(s)
      A., Kohatsu-Higa, et. al.
    • Journal Title

      Mathematical Finance Vol.16

      Pages: 163-179

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  • [Journal Article] Asymptotic solutions of viscous Hamilton-Jacobi equations with Ornstein-Uhlenbeck operator2006
    • Author(s)
      Fujita, Yasuhiro, et. al.
    • Journal Title

      Comm. Partial Differential Equations 31

      Pages: 827-848

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  • [Journal Article] A duality approach for the weak approximations of stochastic differential equations2006
    • Author(s)
      E.Clement, et al.
    • Journal Title

      Annals of Applied Probability 16・3

      Pages: 1124-1154

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  • [Journal Article] A duality approach for the weak approximations of stochastic differential equations2006
    • Author(s)
      E.Clement, A.Kohatsu-Higa, D, Lamberton
    • Journal Title

      Annals of Applied Probability 16

      Pages: 1124-1154

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  • [Journal Article] Utility maximization in an insider influenced market2006
    • Author(s)
      A. Kohatsu-Higa, et. al.
    • Journal Title

      Mathematical Finance 16

      Pages: 163-179

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  • [Journal Article] Asymptotic solutions of Hamilton-Jacobi equations in Euclidean nspace2006
    • Author(s)
      Y.Fujita, et al.
    • Journal Title

      Indiana Univ. Math. Journal 55

      Pages: 1671-1700

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  • [Journal Article] Risk-sensitive quasi-variational inequalities for optimal investment with general transaction costs2006
    • Author(s)
      Hideo NAGAI
    • Journal Title

      Asymptotic Analysis 48

      Pages: 243-265

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  • [Journal Article] Risk-sensitive quasi-variational inequalities for optimal investment with general transaction costs2006
    • Author(s)
      H., Nagai
    • Journal Title

      Asymptotic Analysis vol.48

      Pages: 243-265

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  • [Journal Article] Regularity of the diffusion coefficient matrix for generalized exclusion process2006
    • Author(s)
      Nagahata Yukio
    • Journal Title

      Stochastic Processes, Appl. 116・6

      Pages: 957-982

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      KAKENHI-PROJECT-18540175

  • [Journal Article] On a condition that one-dimensional diffusion processes are martingales2006
    • Author(s)
      S., Kotani
    • Journal Title

      Seminaire de Probabilites XXXIX, LNM No.1874

      Pages: 149-156

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  • [Journal Article] de Finetti's theorem for $\sigma$-finite measures on $\mathbb{R}^{\infty\backslash\{0\}}$2006
    • Author(s)
      K. Yamauchi, M. Yamazato
    • Journal Title

      Ryukyu Math. J 19

      Pages: 129-136

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      KAKENHI-PROJECT-18340029

  • [Journal Article] Asymptotic solutions of Hamilton-Jacobi equations in Euclidean $n$ space2006
    • Author(s)
      Fujita, Yasuhiro
    • Journal Title

      Indiana Univ. Math. J. 55

      Pages: 1671-1700

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    • Peer Reviewed
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  • [Journal Article] Utility maximization in an insider influenced market2006
    • Author(s)
      A.Kohatsu-Higa, et al.
    • Journal Title

      Mathematical Finance 16

      Pages: 163-179

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      KAKENHI-PROJECT-16340025

  • [Journal Article] On some laws of iterated logarithmfor Burgers turbulence with Brownian initial data based on the concave majorant2006
    • Author(s)
      Y.Isozaki
    • Journal Title

      Osaka Journal of Mathematics 43(In press)

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  • [Journal Article] A duality approach for the weak approximations of stochastic differential equations2006
    • Author(s)
      E., Clement, et. al.
    • Journal Title

      Annals of Applied Probability Vol.16, No.3

      Pages: 1124-1154

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  • [Journal Article] A duality approach for the weak approximations of stochastic differential equations.2006
    • Author(s)
      E.Clement, et al.
    • Journal Title

      Annals of Applied Probability Vol.16,No.3 - August(to appear)

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  • [Journal Article] A large trader-insider model.2006
    • Author(s)
      A.Kohatsu-Higa, et al.
    • Journal Title

      Procceedings of the Ritsumeikan Congress on Stochastic Process and Mathematical Finance

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      KAKENHI-PROJECT-18340029

  • [Journal Article] On a condition that one-dimensional diffusion processes are martingales, 1874(2006), 149-1562006
    • Author(s)
      S.Kotani
    • Journal Title

      Seminaire de Probabilites XXXIX,・LNM 1874

      Pages: 149-156

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  • [Journal Article] PDE approach to utility maximization with partial information2006
    • Author(s)
      H.Nagai, et al.
    • Journal Title

      数理解析研究所講究録 1462

      Pages: 116-130

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  • [Journal Article] Pricing rule in asymmetric information2006
    • Author(s)
      S. Ogawa and M. Pontier
    • Journal Title

      ESMAI Probab.Stat Vol.11

      Pages: 80-88

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      KAKENHI-PROJECT-18340029

  • [Journal Article] Projection scheme for a reflected stochastic heat equation with additive noise2005
    • Author(s)
      Kohatsu-Higa, A, et al.
    • Journal Title

      Foundation of probability and physics 3

      Pages: 158-167

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  • [Journal Article] Limits of solutions of $p$-Laplace equations as $p$ goes to infinity and related variational problems2005
    • Author(s)
      Ishii., Hitoshi, et. al.
    • Journal Title

      SIAM J. Math. Anal No.37

      Pages: 411-437

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  • [Journal Article] Exponential functionals of Brownian motion, I: Probability laws at fixed time, II: Some related diffusion processes2005
    • Author(s)
      H. Matsumoto, et. al.
    • Journal Title

      Probability Surveys 2

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  • [Journal Article] Limit of solutions of $p$ Laplace equations as $p$ goes to infinity and related variational problems2005
    • Author(s)
      H.Ishii, et al.
    • Journal Title

      SIAM Journal of mathematical Analysis 37

      Pages: 411-437

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  • [Journal Article] Limit of solutions of $p$ Laplace equations as $p$ goes to infinity and related variational problems2005
    • Author(s)
      H. Ishii, et. al.
    • Journal Title

      SIAM Journal of mathematical Analysis 37

      Pages: 411-437

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  • [Journal Article] Optimal consumption and portfolio choice with stopping2005
    • Author(s)
      S., Koike, et. al.
    • Journal Title

      Funkcialaj Ekvacioj 48

      Pages: 183-202

    • NAID

      130000141285

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  • [Journal Article] Densities of one dimensional backward SDEs2005
    • Author(s)
      Antonelli, F., et al.
    • Journal Title

      Potential Analysis 22

      Pages: 263-87

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      KAKENHI-PROJECT-16340025

  • [Journal Article] An extension of linear regulator for degenerate diffusion2005
    • Author(s)
      Baten, MD.A., et al.
    • Journal Title

      IEEE Transaction on Automatic Control 50

      Pages: 1822-1826

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  • [Journal Article] Optimal consumption and portfolio choice with stopping2005
    • Author(s)
      S. Koike, et. al.
    • Journal Title

      Funkcialaj Ekvacioj 48

      Pages: 183-202

    • NAID

      130000141285

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  • [Journal Article] Exponential functionals of Brownian motion I : Probability laws at fixed time.2005
    • Author(s)
      H., Matsumoto, et. al.
    • Journal Title

      Probability Surveys 2

      Pages: 312-347

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  • [Journal Article] Optimal consumption and choice with stopping2005
    • Author(s)
      S.Koike, et al.
    • Journal Title

      Funkcialaj Ekvacioj 48

      Pages: 183-202

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      KAKENHI-PROJECT-16340025

  • [Journal Article] Exponential functionals of Brownian motionII : Some related diffusion processes2005
    • Author(s)
      H., Matsumoto, et. al.
    • Journal Title

      Probability Surveys 2

      Pages: 348-384

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  • [Journal Article] Risk-sensitive portfolio optimization with full and partial information, "Stochastic Analysis and Related Topics"2004
    • Author(s)
      H. Nagai
    • Journal Title

      Advanced Studies in Pure Mathematics 41

      Pages: 257-278

    • Description
      「研究成果報告書概要(和文)」より
    • Peer Reviewed
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  • [Journal Article] Risky fraction processes and Problems with Transaction Costs2004
    • Author(s)
      H., Nagai
    • Journal Title

      "Stochastic Processes and Applications to

      Pages: 271-288

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  • [Journal Article] Nonlinear oblique derivative problems for singular degenerate parabolic equations on a general domain2004
    • Author(s)
      H.Ishii, M.-H.Sato
    • Journal Title

      Nonlinear Analysis 57

      Pages: 1077-1098

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      KAKENHI-PROJECT-16340025

  • [Journal Article] Markov or non-Markov property of $cM-X$ processes2004
    • Author(s)
      H. Matsumoto
    • Journal Title

      J. Math. Soc. Japan 56

      Pages: 519-540

    • NAID

      10013123100

    • Description
      「研究成果報告書概要(和文)」より
    • Peer Reviewed
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      KAKENHI-PROJECT-16340025

  • [Journal Article] Maximum principle and existence of $L^p$-viscosity solutions for fully nonlinear, uniformly elliptic equations with measurable and quadratic terms2004
    • Author(s)
      S.Koike, A.Swiech
    • Journal Title

      Nonlinear Differential Equations and Applications 11/4

      Pages: 491-509

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      KAKENHI-PROJECT-16340025

  • [Journal Article] Maximum principle and existence of $L^p$-viscosity solutions for fully nonlinear, uniformly elliptic equations with measurable and quadratic terms2004
    • Author(s)
      S. Koike, et. al.
    • Journal Title

      Nonlinear Differential Equations and Applications 11

      Pages: 491-509

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  • [Journal Article] Markov or non-Markov property of $cM-X$ procesesses2004
    • Author(s)
      H., Matsumoto
    • Journal Title

      J. Math. Soc. Japan No.56

      Pages: 519-540

    • Description
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  • [Journal Article] Risky fraction processes and Problems with Transaction Costs2004
    • Author(s)
      H. Nagai
    • Journal Title

      "Stochastic Processes and Applications to Mathematical Finance", Eds. J. Akahori, S. Ogawa and S. Watanabe, World Scientific

      Pages: 271-288

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  • [Journal Article] Risk-sensitive portfolio optimization with full and partial information2004
    • Author(s)
      Hideo NAGAI
    • Journal Title

      Advanced Studies in Pure Mathematics 41

      Pages: 257-278

    • Data Source
      KAKENHI-PROJECT-16340025

  • [Journal Article] Maximum principle and existence of 51./14-viscosity solutions for fully nonlinear, uniformly elliptic equations with measurable and quadratic terms2004
    • Author(s)
      S., Koike, et. al.
    • Journal Title

      Nonlinear Differential Equations and Applications 11-4

      Pages: 491-509

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  • [Journal Article] Markov or non-Markov property of $cM-X$ processes2004
    • Author(s)
      H.Matsumoto, Y.Ogura
    • Journal Title

      J.Mathematical Society of Japan 56

      Pages: 519-540

    • NAID

      10013123100

    • Data Source
      KAKENHI-PROJECT-16340025

  • [Journal Article] Risk-sensitive portfolio optimization with full and partial information, "Stochastic Analysis and Related Topics2004
    • Author(s)
      H., Nagai
    • Journal Title

      Advanced Studies in Pure Mathematics 41

      Pages: 257-278

    • Description
      「研究成果報告書概要(欧文)」より
    • Data Source
      KAKENHI-PROJECT-16340025

  • [Journal Article] Risky fraction processes and Problems with Transaction Costs2004
    • Author(s)
      Hideo NAGAI
    • Journal Title

      Stochastic Processes and Applications to Mathematical Finance

      Pages: 271-288

    • Data Source
      KAKENHI-PROJECT-16340025

  • [Journal Article] A moment estimate for the derivative process in rough path theory
    • Author(s)
      Yuzuru Inahama
    • Journal Title

      Proc.Amer.Math.Soc.

      Volume: (未定)(In press)

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      KAKENHI-PROJECT-21244009

  • [Journal Article] A review of recent results on approximation of solutions of stochastic differential equations
    • Author(s)
      B. Jourdain、A. Kohatsu-Higa
    • Journal Title

      Proceedings of the Workshop on Stochastic Analysis with Financial Applications : Hong Kong 2009.Birkhauser 2011

    • Peer Reviewed
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      KAKENHI-PROJECT-21340024

  • [Journal Article] Sampling rate of spatial stochastic processes with independent components in modeling random search paths
    • Author(s)
      Reichiro Kawai
    • Journal Title

      Physical Review E

      Volume: 85(2)021907(to appear) Pages: 2012-2012

    • Peer Reviewed
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      KAKENHI-PROJECT-21340024

  • [Journal Article] Estimating Multidimensional Density Functions using the Malliavin-Thalmaier Formula
    • Author(s)
      A. Kohatsu-Higa and K. Yasuda
    • Journal Title

      in SIAM Journal of Numerical Analysis (In press)

    • Peer Reviewed
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      KAKENHI-PROJECT-18340029

  • [Journal Article] "A new weak approximation scheme of stochastic differential equations and the Runge-Kutta method" (with Mariko Ninomiya)
    • Author(s)
      S.Ninomiya
    • Journal Title

      Finance and Stochastics (In press)

    • Peer Reviewed
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      KAKENHI-PROJECT-18340029

  • [Journal Article] Asymptotics of the probability minimizing a "down-side" risk under partial information
    • Author(s)
      H.Nagai
    • Journal Title

      Quantitative Finance 掲載予定

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-20340019

  • [Journal Article] Semi-classical limit of the lowest eigenvalue of a Schr\"odinger operator on a Wiener space : 11. $P(\phi)_2$-model on a finite vo1ume
    • Author(s)
      Shigeki Aida
    • Journal Title

      Journal of Functional Analysis (In press)

    • Peer Reviewed
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      KAKENHI-PROJECT-18540175

  • [Journal Article] Infrared problem for the Nelson model with variable coefficients
    • Author(s)
      C.Gerard, F.Hiroshima, A.Pnati, A.Suzuki
    • Journal Title

      Communucations in Mathematical Physics

      Volume: (未定)(In press)

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      KAKENHI-PROJECT-21244009

  • [Journal Article] A Remark on the Asymptotic Expansion of density function of Wiener Functionals (with H.Osajima)
    • Author(s)
      S. Kusuoka
    • Journal Title

      in J. Fuct. Analysis (in press)

    • Peer Reviewed
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      KAKENHI-PROJECT-18340029

  • [Journal Article] Risk-sensitive quasi-variational inequalities for optimal investment with general transaction costs
    • Author(s)
      H.Nagai
    • Journal Title

      Asymptotic Analysis (In press)

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      KAKENHI-PROJECT-16340025

  • [Journal Article] An Operator Approach for Markov Chain Weak Approximations with an Application to Infinite Activity Levy Driven SDEs
    • Author(s)
      A. Kohatsu-Higa and H. Tanaka
    • Journal Title

      in Annals of Applied Probability (In press)

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-18340029

  • [Journal Article] Semi-classical limit of the lowest eigenvalue of a Schr\"odinger operator on a Wiener space : II.$P(\phi)_2$-model on a finite volume
    • Author(s)
      S. Aida
    • Journal Title

      in Journal of Functional Analysis (in press)

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      KAKENHI-PROJECT-18340029

  • [Journal Article] A review of recent results on Malliavin Calculus and its applications
    • Author(s)
      A. Kohatsu-Higa and K. Yasuda
    • Journal Title

      In press in Radon Series on Computational and Applied Mathematics, Birkhauser

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-18340029

  • [Journal Article] On singularity of Fisher information matrix for stochastic processes under high frequency sampling
    • Author(s)
      Reichiro Kawai
    • Journal Title

      Numerical Mathematics and Advanced Applications 2011(A.Cangiani et al.(Eds.)(Springer-Verlag)

      Volume: (to appear)

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-21340024

  • [Journal Article] A large trader-insider model
    • Author(s)
      A.Kohatsu-Higa, et al.
    • Journal Title

      Proceedings of the Ritsumeikan Conference on Stochastic Process and mathematical Finance 2005 (In press)

    • Data Source
      KAKENHI-PROJECT-16340025

  • [Journal Article] Enlargement of filtrations with random times for processes with jumps
    • Author(s)
      A., Kohatsu-Higa, et. al.
    • Journal Title

      Stochastic Processes and their applications. (2008) (in press)

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      「研究成果報告書概要(欧文)」より
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  • [Journal Article] Statistical Inference and Malliavin Calculus. In press in Seminar on Stochastic Analysis, Random Fields and Applications V : Centro Stefano Franscini, Ascona, Robert C. Dalang
    • Author(s)
      J.M. Corcuera and A. Kohatsu-Higa
    • Journal Title

      Marco Dozzi, Francesco Russo, editors. Birkhauser

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      KAKENHI-PROJECT-18340029

  • [Journal Article] An Optimal Control Variance Reduction Method for Density Estimation
    • Author(s)
      A., Kebaier, et. al.
    • Journal Title

      Stochastic Processes and their applications, (2008) (in press)

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  • [Presentation] Integration by parts formula for stopped processes: An unbiased formula2019
    • Author(s)
      Arturo Kohatsu-Higa
    • Organizer
      Workshop on Stochastic Analysis and Applications
    • Invited
    • Data Source
      KAKENHI-PROJECT-16K05215

  • [Presentation] Sensitivity analysis: some irregular examples2019
    • Author(s)
      Arturo Kohatsu-Higa
    • Organizer
      Seminar: DataLab
    • Invited
    • Data Source
      KAKENHI-PROJECT-16K05215

  • [Presentation] Stochastic Calculus of General Equilibrium2018
    • Author(s)
      Jiro Akahori
    • Organizer
      Workshop on Stochastic Control and Related Issues
    • Invited / Int'l Joint Research
    • Data Source
      KAKENHI-PROJECT-25285102

  • [Presentation] IBP for Stopped Processes2018
    • Author(s)
      Arturo Kohatsu-Higa
    • Organizer
      Workshop on Stochastic Analysis and Related Topics,nstitute of Mathematical Research (IMR) and the Department of Mathematics at the University of Hong Kong,Hong Kong
    • Invited
    • Data Source
      KAKENHI-PROJECT-16K05215

  • [Presentation] Diffusion Estimation with Fourier Method2018
    • Author(s)
      Jiro Akahori
    • Organizer
      International Conference on Mathematical Finance & Symposium on the Role of Mathematical Finance on FinTech Business
    • Int'l Joint Research
    • Data Source
      KAKENHI-PROJECT-16H03642

  • [Presentation] Unbiased simulation methods of order two2018
    • Author(s)
      Kohatsu-Higa, Arturo
    • Organizer
      WORKSHOP ON "MATHEMATICAL FINANCE AND RELATED ISSUES"
    • Invited
    • Data Source
      KAKENHI-PROJECT-16K05215

  • [Presentation] An IBP formula for a stopped process2018
    • Author(s)
      Arturo Kohatsu-Higa
    • Organizer
      Third Conference on Ambit Fields and Related Topics
    • Invited
    • Data Source
      KAKENHI-PROJECT-16K05215

  • [Presentation] Parametrix based simulations of order 22018
    • Author(s)
      Arturo Kohatsu-Higa
    • Organizer
      Seminaire Bachellier de Paris
    • Invited
    • Data Source
      KAKENHI-PROJECT-16K05215

  • [Presentation] Default Contagion with Domino Effect2018
    • Author(s)
      Jiro Akahori
    • Organizer
      4th Berlin-Princeton-Singapore Workshop on Quantitative Finance
    • Int'l Joint Research
    • Data Source
      KAKENHI-PROJECT-16H03642

  • [Presentation] Unbiased simulation methods of order two2018
    • Author(s)
      Kohatsu-Higa Arturo
    • Organizer
      WORKSHOP ON "MATHEMATICAL FINANCE AND RELATED ISSUES"
    • Int'l Joint Research
    • Data Source
      KAKENHI-PROJECT-16H03642

  • [Presentation] Unbiased Monte Carlo Methods for diffusions and its functionals. The parametrix point of view2018
    • Author(s)
      Kohatsu-Higa, Arturo
    • Organizer
      関西大学確率論セミナー
    • Invited
    • Data Source
      KAKENHI-PROJECT-16K05215

  • [Presentation] On the Law of Square Integral of Fractional Brownian Motion2018
    • Author(s)
      Jiro Akahori
    • Organizer
      Stochastic processes with applications in finance and related fields
    • Int'l Joint Research
    • Data Source
      KAKENHI-PROJECT-16H03642

  • [Presentation] Probabilistic interpretation of the parametrix method2018
    • Author(s)
      Arturo Kohatsu-Higa
    • Organizer
      Stochastic Processes and their Applications
    • Invited
    • Data Source
      KAKENHI-PROJECT-16K05215

  • [Presentation] Polya Urn in Finance2018
    • Author(s)
      Jiro Akahori
    • Organizer
      Quantitative Methods in Finance 2018 Conference
    • Invited
    • Data Source
      KAKENHI-PROJECT-16K05215

  • [Presentation] Polya Urn in Finance2018
    • Author(s)
      Jiro Akahori
    • Organizer
      Quantitative Methods in Finance 2018 Conference
    • Int'l Joint Research
    • Data Source
      KAKENHI-PROJECT-16H03642

  • [Presentation] A Structural Model for Default Contagion2018
    • Author(s)
      Jiro Akahori
    • Organizer
      The Fifth Asian Quantitative Finance Conference
    • Int'l Joint Research
    • Data Source
      KAKENHI-PROJECT-16H03642

  • [Presentation] Stochastic Calculus of General Equilibrium2018
    • Author(s)
      Jiro Akahori
    • Organizer
      Workshop on Stochastic Control and Related Issues
    • Int'l Joint Research
    • Data Source
      KAKENHI-PROJECT-16H03642

  • [Presentation] Introduction to Malliavin-Mancino Fourier estimation method2018
    • Author(s)
      Jiro Akahori
    • Organizer
      Sookmyung Math Finance Conference
    • Int'l Joint Research
    • Data Source
      KAKENHI-PROJECT-16H03642

  • [Presentation] Unbiased simulation methods based on the parametrix I, II2018
    • Author(s)
      Arturo KOHATSU-HIGA
    • Organizer
      Seminaire de probabilites de Nancy
    • Int'l Joint Research
    • Data Source
      KAKENHI-PROJECT-16H03642

  • [Presentation] A Structural Model for Default Contagion2017
    • Author(s)
      Jiro Akahori
    • Organizer
      The Fifth Asian Quantitative Finance Conference
    • Invited / Int'l Joint Research
    • Data Source
      KAKENHI-PROJECT-25285102

  • [Presentation] Simulation methods based on the parametrix2017
    • Author(s)
      Kohatsu-Higa, Arturo
    • Organizer
      London Mathematical Society EPSRC Durham Symposium Stochastic Analysis
    • Int'l Joint Research
    • Data Source
      KAKENHI-PROJECT-16K05215

  • [Presentation] Simulation methods based on the parametrix2017
    • Author(s)
      Kohatsu-Higa Arturo
    • Organizer
      London Mathematical Society EPSRC Durham Symposium Stochastic Analysis
    • Int'l Joint Research
    • Data Source
      KAKENHI-PROJECT-16H03642

  • [Presentation] An Order-1 Markov Chain Approximation of Symmetrized Diffusion Processes2017
    • Author(s)
      Jiro Akahori
    • Organizer
      Osaka-UCL Workshop on Stochastics, Numerics and Risk
    • Place of Presentation
      Osaka, Japan
    • Year and Date
      2017-03-30
    • Invited / Int'l Joint Research
    • Data Source
      KAKENHI-PROJECT-25285102

  • [Presentation] Stochastic Volatility Models of Quadratic Volterra Gaussian Type2017
    • Author(s)
      Jiro Akahori
    • Organizer
      金融工学・数理計量ファイナンスの諸問題 2017
    • Invited
    • Data Source
      KAKENHI-PROJECT-25285102

  • [Presentation] Supersymmetry in Wiener Space2017
    • Author(s)
      Jiro Akahori
    • Organizer
      Stochastic Analysis and Related Fields
    • Invited
    • Data Source
      KAKENHI-PROJECT-25285102

  • [Presentation] Parametrix methods: Probabilistic interpretations2016
    • Author(s)
      Arturo Kohatsu-Higa
    • Organizer
      Stochastic processes - numerical methods and related topics
    • Place of Presentation
      Hanoi, (Vietnam)
    • Year and Date
      2016-08-22
    • Invited
    • Data Source
      KAKENHI-PROJECT-16K05215

  • [Presentation] Some Results on Fractional Brownian Motions2016
    • Author(s)
      Jiro Akahori
    • Organizer
      Sookmyung Women's University Financial Mathematics Seminar
    • Place of Presentation
      Seoul, Korea
    • Year and Date
      2016-12-09
    • Invited
    • Data Source
      KAKENHI-PROJECT-25285102

  • [Presentation] Probabilistic Representation of Tau Functions2016
    • Author(s)
      Jiro Akahori
    • Organizer
      Workshop on SDEs and Stochastic Processes
    • Place of Presentation
      Tianjin, China
    • Year and Date
      2016-04-28
    • Invited / Int'l Joint Research
    • Data Source
      KAKENHI-PROJECT-25285102

  • [Presentation] Hedging Error as a Timing Risk and its Static Hedge2015
    • Author(s)
      J. Akahori
    • Organizer
      Columbia-JAFEE Conference 2015
    • Place of Presentation
      NEW YORK(USA)
    • Year and Date
      2015-10-02
    • Invited / Int'l Joint Research
    • Data Source
      KAKENHI-PROJECT-25285102

  • [Presentation] Weak approximation for non-smooth functionals of SDEs with irregular drift2015
    • Author(s)
      Dai Taguchi
    • Organizer
      Monash-Ritsumeikan Symposium on Probability and Related Fields
    • Place of Presentation
      Melbourne　(australia)
    • Year and Date
      2015-03-26
    • Data Source
      KAKENHI-PROJECT-24340022

  • [Presentation] Weak approximation for non-smooth functionals of SDEs with irregular drift2015
    • Author(s)
      Dai Taguchi
    • Organizer
      確率論早春セミナー
    • Place of Presentation
      立命館大学 （滋賀県）
    • Year and Date
      2015-03-07
    • Data Source
      KAKENHI-PROJECT-24340022

  • [Presentation] Parametrix method for skew diffusions2015
    • Author(s)
      Dai Taguchi
    • Organizer
      日本数学会
    • Place of Presentation
      明治大学　（東京都）
    • Year and Date
      2015-03-21
    • Data Source
      KAKENHI-PROJECT-24340022

  • [Presentation] Statistical Estimation of Diffusion Processes2015
    • Author(s)
      J. Akahori
    • Organizer
      5th Ritsumeikan-Monash Symposium on Probability and Related Fields
    • Place of Presentation
      Melbourne(Australia)
    • Year and Date
      2015-03-27
    • Invited
    • Data Source
      KAKENHI-PROJECT-25285102

  • [Presentation] Asymptotic error distribution of the Euler method for continuous-time nonlinear filtering2015
    • Author(s)
      Hideyuki Tanaka
    • Organizer
      5th Monash-Ritsumeikan Symposium on Probability and Related Fields
    • Place of Presentation
      Melbourne (Australia)
    • Year and Date
      2015-03-25
    • Invited
    • Data Source
      KAKENHI-PROJECT-24340022

  • [Presentation] Asymptotic and Exact Semi-Static Hedges2015
    • Author(s)
      J. Akahori
    • Organizer
      WORKSHOP ON "MATHEMATICAL FINANCE AND RELATED ISSUES"
    • Place of Presentation
      大阪大学(大阪府)
    • Year and Date
      2015-03-16
    • Invited
    • Data Source
      KAKENHI-PROJECT-25285102

  • [Presentation] Asymptotic and Exact Semi-Static Hedges of Barrier Options2015
    • Author(s)
      J.Akahori
    • Organizer
      The Third Asian Quantitative Finance Conference
    • Place of Presentation
      HONG KONG(P.R.CHINA)
    • Year and Date
      2015-07-07
    • Invited / Int'l Joint Research
    • Data Source
      KAKENHI-PROJECT-25285102

  • [Presentation] Stochastic differential equations with irregular coefficients2014
    • Author(s)
      Arturo Kohatsu-Higa
    • Organizer
      Statistics, Jump Processes and Malliavin Calculus: Recent Applications. Barcelona
    • Place of Presentation
      Barcelona (Spain)
    • Year and Date
      2014-06-25
    • Invited
    • Data Source
      KAKENHI-PROJECT-24340022

  • [Presentation] On a Generalization of Malliavin-Mancino's Fourier Estimation Method2014
    • Author(s)
      J.Akahori
    • Organizer
      The Quantitative Methods in Finance 2014 Conference
    • Place of Presentation
      Sydney(Australia)
    • Year and Date
      2014-12-20
    • Invited
    • Data Source
      KAKENHI-PROJECT-25285102

  • [Presentation] Fourier estimation method with positive semi-definite estimators2014
    • Author(s)
      J.Akahori
    • Organizer
      The 8th International Conference on Computational and Financial Econometrics
    • Place of Presentation
      Pisa(Italy)
    • Year and Date
      2014-12-08
    • Data Source
      KAKENHI-PROJECT-25285102

  • [Presentation] Strong Rate of Convergence for the Euler-Maruyama Approximation of Stochastic Differential Equations with Irregular Coefficients2014
    • Author(s)
      Dai Taguchi
    • Organizer
      Quantitative methods in finance conference
    • Place of Presentation
      SYDNEY (Australia)
    • Year and Date
      2014-12-18
    • Data Source
      KAKENHI-PROJECT-24340022

  • [Presentation] Density for stochastic functional differential equations2014
    • Author(s)
      A. Takeuchi
    • Organizer
      11th International Vilnius Conference on Probability Theory and Mathematical Statistics
    • Place of Presentation
      Vilnius(Lituania)
    • Year and Date
      2014-06-30
    • Invited
    • Data Source
      KAKENHI-PROJECT-24340022

  • [Presentation] The Parametrix as a Monte Carlo Simulation Method for SDEs2014
    • Author(s)
      Arturo Kohatsu-Higa
    • Organizer
      Quantitative Mathematical Finance QMF 2014
    • Place of Presentation
      Sydney(Australia)
    • Year and Date
      2014-12-18
    • Invited
    • Data Source
      KAKENHI-PROJECT-24340022

  • [Presentation] On the approximation of the nonlinear filtering equation2014
    • Author(s)
      Hideyuki Tanaka
    • Organizer
      偏微分方程式に付随する確率論的問題, RIMS workshop
    • Place of Presentation
      京都大学(京都府）
    • Year and Date
      2014-09-18
    • Invited
    • Data Source
      KAKENHI-PROJECT-24340022

  • [Presentation] Probabilistic representation of the parametrix method2014
    • Author(s)
      Arturo Kohatsu-Higa
    • Organizer
      Stochastic Analysis in Finance and Insurance. Oberwolfach Workshop.
    • Place of Presentation
      Oberwolfach (Germany)
    • Year and Date
      2014-05-10
    • Invited
    • Data Source
      KAKENHI-PROJECT-24340022

  • [Presentation] A multi-period coherent risk measure defined in terms of sample quantiles2014
    • Author(s)
      J.Akahori
    • Organizer
      International Workshop on Risk Analysis, Ruin and Extremes
    • Place of Presentation
      天津(中華人民共和国)
    • Year and Date
      2014-07-14
    • Invited
    • Data Source
      KAKENHI-PROJECT-25285102

  • [Presentation] On bell-shape property of distributions in a subclass of infinitely divisible distributions on R and applications：2014
    • Author(s)
      Makoto Yamazato
    • Organizer
      無限分解可能過程とその周辺
    • Place of Presentation
      統計数理研究所(東京）
    • Year and Date
      2014-11-27
    • Data Source
      KAKENHI-PROJECT-24340022

  • [Presentation] The Parametrix Method and its Probabilistic Interpretations2014
    • Author(s)
      Arturo Kohatsu-Higa
    • Organizer
      Risk: Modelling, Optimization, Inference. 2014
    • Place of Presentation
      Sydney (Australia)
    • Year and Date
      2014-12-12
    • Invited
    • Data Source
      KAKENHI-PROJECT-24340022

  • [Presentation] On a Generalization of Malliavin-Mancino's Fourier Estimation Method2014
    • Author(s)
      J. Akahori
    • Organizer
      NUS-UTokyo Workshop on Quantitative Finance
    • Place of Presentation
      東京大学(東京都)
    • Year and Date
      2014-09-26
    • Invited
    • Data Source
      KAKENHI-PROJECT-25285102

  • [Presentation] Parametrix of Static Hedge (of a Timing Risk)2014
    • Author(s)
      J. Akahori
    • Organizer
      2014 Actuarial Teachers' and Researchers' Conference
    • Place of Presentation
      Edinburgh(Scotland)
    • Year and Date
      2014-12-01
    • Invited
    • Data Source
      KAKENHI-PROJECT-25285102

  • [Presentation] The parametrix method for jump sdes2014
    • Author(s)
      Arturo Kohatsu-Higa
    • Organizer
      Computational Methods for Jump Processes. Warwick
    • Place of Presentation
      Warwick (England)
    • Year and Date
      2014-07-08
    • Invited
    • Data Source
      KAKENHI-PROJECT-24340022

  • [Presentation] On bell-shape property of distributions in a subclass of infinitely divisible distributions on R and applications2014
    • Author(s)
      Makoto Yamazato
    • Organizer
      IMS FPS-2014 Work shop
    • Place of Presentation
      Sydney (Australia)
    • Year and Date
      2014-07-04
    • Invited
    • Data Source
      KAKENHI-PROJECT-24340022

  • [Presentation] Approximations faibles pour quelques fonctionnelles irregulieres2013
    • Author(s)
      Arturo Kohatsu-Higa
    • Organizer
      Groupe de travail modelisation stochastique et finance
    • Place of Presentation
      パリ、フランス(招待講演)
    • Year and Date
      2013-02-15
    • Data Source
      KAKENHI-PROJECT-24340022

  • [Presentation] Multi level Monte Carlo (MLMC) for irregular functions and irregular diffusions2013
    • Author(s)
      Arturo Kohatsu-Higa
    • Organizer
      International Workshop on Quantitative Finance
    • Place of Presentation
      フィレンツェ、イタリア(招待講演)
    • Year and Date
      2013-03-18
    • Data Source
      KAKENHI-PROJECT-24340022

  • [Presentation] Large deviations for stochastic functional differential equations2013
    • Author(s)
      A. Takeuchi
    • Organizer
      micro-conference on Probability Theory and its Applications
    • Place of Presentation
      Melbourne、Australia(招待講演)
    • Year and Date
      2013-03-20
    • Data Source
      KAKENHI-PROJECT-24340022

  • [Presentation] A remark on credit risk models and copula2013
    • Author(s)
      S. Kusuoka and T. Nakashima
    • Organizer
      JAFEE-Columbia-ISM International Conference on Financial Mathematics, Engineering and Statistics
    • Place of Presentation
      ISM Tachikawa Campus、Tokyo(招待講演)
    • Year and Date
      2013-03-18
    • Data Source
      KAKENHI-PROJECT-24340022

  • [Presentation] Robust estimates of certain large deviation probabilities for controlled semi-martingales2013
    • Author(s)
      H. Nagai
    • Organizer
      Workshop on Stochastic Processes and Applications
    • Place of Presentation
      NCTS, National Tsing Hua University, Taiwan
    • Invited
    • Data Source
      KAKENHI-PROJECT-20340019

  • [Presentation] Some remarks on large deviation estimates for controlled semi-martingales2013
    • Author(s)
      H. Nagai
    • Organizer
      2012 NCTS Workshop on Stochastic processes and Applications, NCTS
    • Place of Presentation
      Taiwan
    • Data Source
      KAKENHI-PROJECT-20340019

  • [Presentation] Positivity of densities for stochastic differential equations driven by gamma processes2012
    • Author(s)
      A. Takeuchi
    • Organizer
      8th World Congress in Probability and Statistics
    • Place of Presentation
      Istanbul、Turkey
    • Year and Date
      2012-07-11
    • Data Source
      KAKENHI-PROJECT-24340022

  • [Presentation] On the higher-order weak approximation of SDEs2012
    • Author(s)
      Ninomiya Syoiti
    • Organizer
      The third workshop on numerical methods for solving the filtering problem and high order methods for solving parabolic PDEs
    • Place of Presentation
      Oxford, UK(招待講演)
    • Data Source
      KAKENHI-PROJECT-24340022

  • [Presentation] Estimates of certain large deviation probabilities for controlled semi-martingales2012
    • Author(s)
      H. Nagai
    • Organizer
      Perspective in Analysis and Probability
    • Place of Presentation
      ETH Zurich, Switzerland
    • Invited
    • Data Source
      KAKENHI-PROJECT-20340019

  • [Presentation] Greeks and Simulation in models with jumps2012
    • Author(s)
      Arturo Kohatsu-Higa
    • Organizer
      Quantitative and Statistical Finance
    • Place of Presentation
      University of Paris Diderot. Paris VII.(フランス)(招待講演)
    • Year and Date
      2012-03-11
    • Data Source
      KAKENHI-PROJECT-21340024

  • [Presentation] Wright-Fisher拡散モデルのジャンプ過程版について2012
    • Author(s)
      Kenji Handa
    • Organizer
      数理物理と確率解析
    • Place of Presentation
      湘南国際村センター
    • Invited
    • Data Source
      KAKENHI-PROJECT-21244009

  • [Presentation] On a Symmetrization of Diffusion Processes2012
    • Author(s)
      Jiro Akahori
    • Organizer
      Quantitative Methods in Finance
    • Place of Presentation
      ケアンズ、オーストラリア(招待講演)
    • Year and Date
      2012-06-27
    • Data Source
      KAKENHI-PROJECT-24340022

  • [Presentation] An Algebraic Approach to the Ramer-Kusuoka Formula2012
    • Author(s)
      Jiro Akahori
    • Organizer
      Perspectives in Analysis and Probability. Conference in Honor of Freddy Delbaen
    • Place of Presentation
      Perspectives in Analysis and Probability. Conference in Honor of Freddy Delbaen (招待講演)
    • Year and Date
      2012-09-24
    • Data Source
      KAKENHI-PROJECT-24340022

  • [Presentation] Recent Results on Integration by Parts Formulae and Applications to Greeks2012
    • Author(s)
      A. Kohatsu-Higa
    • Organizer
      Ajou Workshop in Financial Economics and Finance
    • Place of Presentation
      Suwon, Korea
    • Invited
    • Data Source
      KAKENHI-PROJECT-20340019

  • [Presentation] ROTATION INVARIANT α-STABLE PROCESS から導かれるSDEのオイラー丸山近似の収束について2012
    • Author(s)
      Takahiro Tsuchiya
    • Organizer
      数理解析研究所研究集会:確率論シンポジウムRIMS Workshop : Probability Symposium
    • Place of Presentation
      京都大学数理解析研究所、京都府
    • Year and Date
      2012-12-21
    • Data Source
      KAKENHI-PROJECT-24340022

  • [Presentation] Simulation of Levy Driven Stochastic Differential Equations by2012
    • Author(s)
      Arturo Kohatsu-Higa
    • Organizer
      Bernoulli special semester course
    • Place of Presentation
      ローサン、スイス(招待講演)
    • Year and Date
      2012-06-21
    • Data Source
      KAKENHI-PROJECT-24340022

  • [Presentation] Large deviation estimates for controlled semi-martingales2012
    • Author(s)
      H. Nagai
    • Organizer
      2012 Ajou workshop on financial economics and mathematics
    • Place of Presentation
      Suwon, Korea
    • Data Source
      KAKENHI-PROJECT-20340019

  • [Presentation] Recent Advances in Infinite Dimensional Analysis with Applications2012
    • Author(s)
      Arturo Kohatsu-Higa
    • Organizer
      金融工学・数理計量ファイナンスの諸問題2012
    • Place of Presentation
      大阪大学中ノ島センター、大阪府(招待講演)
    • Year and Date
      2012-12-01
    • Data Source
      KAKENHI-PROJECT-24340022

  • [Presentation] Risk-sensitive portfolio optimization problems with Levy-driven Cox-Ingersoll-Ross interest rates2012
    • Author(s)
      H.Hata
    • Organizer
      Research Seminar in Probability
    • Place of Presentation
      Academia Sinica, Taiwan
    • Year and Date
      2012-09-24
    • Data Source
      KAKENHI-PROJECT-20340019

  • [Presentation] Some remarks on large deviation estimates for controlled semi-martingales2012
    • Author(s)
      H. Nagai
    • Organizer
      2012 NCTS Workshop on Stochastic processes and Applications
    • Place of Presentation
      NCTS, Taiwan
    • Invited
    • Data Source
      KAKENHI-PROJECT-20340019

  • [Presentation] Risk-Sensitive Value Measure and its Applications2012
    • Author(s)
      Yoshio Miyahara
    • Organizer
      Workshop on Stochastic Processes and Applications, NCTS
    • Place of Presentation
      Taiwan
    • Year and Date
      2012-03-09
    • Data Source
      KAKENHI-PROJECT-20340019

  • [Presentation] 確率微分方程式の楠岡近似を実現するソフトウェアライブラリ,(二宮真理子氏との共著)2012
    • Author(s)
      Ninomiya Syoiti
    • Organizer
      情報化ネットワーク社会に向けた高度な専門的数理技術ライブラリの研究と開発2008-2012年度文部科学省科学研究費補助金基盤研究(A) 20241038シンポジウム
    • Place of Presentation
      東京工業大学理財工学研究センター、東京都(招待講演)
    • Data Source
      KAKENHI-PROJECT-24340022

  • [Presentation] Tunneling for spatially cut-off P(φ)_2-Hamiltonians2012
    • Author(s)
      Shigeki Aida
    • Organizer
      Stochastic Analysis and Stochastic PDEs
    • Place of Presentation
      イギリス・ウォーリック大学
    • Invited
    • Data Source
      KAKENHI-PROJECT-21244009

  • [Presentation] Applications of Risk-Sensitive Value Measure Method to Portfolio Evaluation Problems2012
    • Author(s)
      Yoshio Miyahara
    • Organizer
      Bachelier Finance Society
    • Place of Presentation
      Sydney
    • Year and Date
      2012-05-19
    • Data Source
      KAKENHI-PROJECT-20340019

  • [Presentation] Estimates of certain large deviation probabilities for controlled semi-martingales2012
    • Author(s)
      H. Nagai
    • Organizer
      Perspective in Analysis and Probability, Conference in honor of Freddy Delbaen
    • Place of Presentation
      ETH Zurich, Switzerland
    • Data Source
      KAKENHI-PROJECT-20340019

  • [Presentation] Sato's Grassmanian in Wiener space2012
    • Author(s)
      Jiro Akahori
    • Organizer
      3rd Monash-Ritsumeikan Symposium on Probability and Related Fields
    • Place of Presentation
      メルボルン、オーストラリア(招待講演)
    • Year and Date
      2012-06-15
    • Data Source
      KAKENHI-PROJECT-24340022

  • [Presentation] An estimate of spectral gap for simple exclusion process with degenerate rates2012
    • Author(s)
      Yukio Nagahata
    • Organizer
      数理物理と確率解析
    • Place of Presentation
      湘南国際村センター
    • Invited
    • Data Source
      KAKENHI-PROJECT-21244009

  • [Presentation] How does a Hot Spot come into existence?2012
    • Author(s)
      Shimizu and T. Tsuchiya
    • Organizer
      The 44th International Symposium on Stochastic Systems Theory and Its Applications
    • Place of Presentation
      Kokushikan University、Tokyo
    • Year and Date
      2012-11-02
    • Data Source
      KAKENHI-PROJECT-24340022

  • [Presentation] Strict positivity of densities for stochastic differential equations driven by gamma processes2012
    • Author(s)
      A. Takeuchi
    • Organizer
      統計数理研究所共同研究集会「無限分解可能過程と関連する諸問題」
    • Place of Presentation
      統計数理研究所、東京都(招待講演)
    • Year and Date
      2012-11-08
    • Data Source
      KAKENHI-PROJECT-24340022

  • [Presentation] A new semi-closed form solutions to some financial problems : a note on Bayer-Friz-Loeffen's work' (with Yusuka Kubo)2012
    • Author(s)
      Ninomiya Syoiti
    • Organizer
      Rough Paths and PDEs
    • Place of Presentation
      Rough Paths and PDEs (招待講演)
    • Data Source
      KAKENHI-PROJECT-24340022

  • [Presentation] QMC and Higher order methods for SDEs2012
    • Author(s)
      Ninomiya Syoiti
    • Organizer
      Workshop for Quasi-Monte Carlo and Pseudo Random Number Generation
    • Place of Presentation
      東大駒場キャンパス、東京都(招待講演)
    • Data Source
      KAKENHI-PROJECT-24340022

  • [Presentation] On Weak Approximation of Stochastic Differential Equations with Discontinuous Drift Coefficient2012