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J-GLOBAL ID:201401017808576250   Update date: Mar. 01, 2024

OGIHARA Teppei

オギハラ テッペイ | OGIHARA Teppei
Affiliation and department:
Job title: Associate Professor
Other affiliations (1):
Research field  (2): Applied mathematics and statistics ,  Basic mathematics
Research keywords  (4): Nonsynchronous Observations ,  High-Frequency Financial Data ,  Malliavin Calculus ,  Statistical Inference for Stochastic Processes
Research theme for competitive and other funds  (4):
  • 2021 - 2026 ジャンプを含む確率過程の複雑な観測データに対する統計解析と新しい学習理論への応用
  • 2019 - 2021 Local asymptotic mixed normality for discretely observed diffusion processes
  • 2015 - 2019 Machine Learning Theories on functional spaces and there applications to high-frequency financial data analysis
  • 2015 - 2018 Statistical Inference for stochastic processes and application to high-frequency financial data
Papers (16):
  • Masaaki Fukasawa, Teppei Ogihara. Malliavin Calculus Techniques for Local Asymptotic Mixed Normality and Their Application to Hypoelliptic Diffusions. Bernoulli. 2024. 30. 2. 983-1006
  • Teppei Ogihara, Mitja Stadje. Efficient drift parameter estimation for ergodic solutions of backward SDEs. Scandinavian Journal of Statistics, to appear. 2023
  • Teppei Ogihara, Yuma Uehara. Local Asymptotic Normality for Ergodic Jump-Diffusion Processes via Transition Density Approximation. Bernoulli. 2023. 29. 3. 2342-2366
  • Teppei Ogihara. Asymptotically efficient estimation for diffusion processes with nonsynchronous observations. Japanese Journal of Statistics and Data Science. 2023. 6. 505-550
  • Teppei Ogihara. Misspecified diffusion models with high-frequency observations and an application to neural networks. Stochastic processes and their applications. 2021. 142. 245-292
more...
Patents (1):
  • データ処理方法、データ処理装置およびプログラム
Lectures and oral presentations  (66):
  • Local asymptotic normality for discretely observed jump-diffusion processes
    (Stochastic Analysis and Statistics 2024 / University of Tokyo / Tokyo 2024)
  • Maximum-likelihood estimation for jump-diffusion processes with nonsynchronous observations
    (CMStatistics 2023 / HTW Berlin / Berlin 2023)
  • Local asymptotic normality for discretely observed jump-diffusion processes
    (ANR EFFI Japan-France seminar / Le Mans Université / France 2023)
  • ジャンプ拡散過程の非同期観測モデルの最尤型推定法
    (2023年度統計関連学会連合大会, 京都大学, 京都 2023)
  • Asymptotically efficient parameter estimation for jump-diffusion processes
    (JAFEE-ISM International Symposium on Quantative Finance 2023, Chuo University, Tokyo 2023)
more...
Education (3):
  • 2011 - 2012 University of Tokyo Graduate School of Mathematical Sciences
  • 2007 - 2009 University of Tokyo Graduate School of Mathematical Sciences
  • 2005 - 2007 University of Tokyo Department of Mathematics
Professional career (1):
  • Ph.D. in Mathematical Sciences (University of Tokyo)
Work history (7):
  • 2019/04 - 現在 The Institute of Statistical Mathematics Risk Analysis Research Center
  • 2019/04 - 現在 University of Tokyo The Graduate School of Information Science and Technology Department of Mathematical Informatics Associate Professor
  • 2016/04 - 2019/03 The Institute of Statistical Mathematics Department of Mathematical Analysis and Statistical Inference Assistant Professor
  • 2015/10 - 2019/03 Japan Science and Technology Agency PRESTO Researcher
  • 2014/07 - 2016/03 The Institute of Statistical Mathematics School of Statistical Thinking Assistant Professor
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Committee career (6):
  • 2023/09 - 現在 一般社団法人 日本金融・証券計量・工学学会(JAFEE) 国際担当理事
  • 2023/04 - 現在 日本数学会・日本応用数理学会・統計関連学会連合 数学数理科学のための異分野異業種研究交流会実行委員会
  • 2023/03 - 現在 Asia-Pacific Seminar in Probability and Statistics Board member
  • 2019/06 - 2023/05 日本統計学会 和文誌編集委員
  • 2018/07 - 2023/03 日本数学会 社会連携協議会委員
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Awards (2):
  • 2021/09 - 日本応用数理学会論文賞 JJIAM部門 Asymptotic error distributions of the Euler method for continuous-time nonlinear filtering
  • 2019/09 - 日本統計学会 第1回 ISI 東京大会記念奨励賞
Association Membership(s) (5):
THE JAPAN STATISTICAL SOCIETY ,  THE MATHEMATICAL SOCIETY OF JAPAN ,  日本金融・証券計量・工学学会 (JAFEE) ,  Bernoulli Society ,  The Securities Analysts Association of Japan
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