Kohatsu Higa Arturo Ｋｏｈａｔｓｕ・ＨｉｇａＡ

Connect your ORCID iD *help

… Alternative Names

Ｋｏｈａｔｓｕ・ＨｉｇａＡコハツ・ヒガアルトゥーロ

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

Less

Researcher Number	80420412
Other IDs
Affiliation (Current)	2025: 立命館大学, 理工学部, 教授
Affiliation (based on the past Project Information) *help	2011 – 2024: 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 Section 12010:Basic analysis-related / Basic analysis Except Principal Investigator General mathematics (including Probability theory/Statistical mathematics) / Money/ Finance / Basic analysis
Keywords	Principal Investigator シミュレーション / 確率微分方程式 / 無限次元解析 / Malliavin解析 / 数値解析 / 確率論 / 停止時間 / 弱い微分 / 密度関数 / 確率変数 … More / ジャンプ型モデル / 確率的の流れ / 反射付き確率微分方程式 / 部分積分公式 / 拡散課程 / 安定過程の最大 / 微分 / ジャンプ型確率微分方程式 / 最大 / 安定過程 / 拡散過程 / 漸近展開 / ジャンプ型確率過程 / ジャンプ / 停止された拡散過程 / 応用数学 / シミュレーション方法シミュレーション方法 / モデル化 / なめらかでない係数 / 確率解析 / 誤差のないシミュレーション / parametrix / 近似 / BSDE / Multi-levelモンテカルロ方法 / 確率過程 / 非線形偏微分方程式 / 非線形 / 誤差評価 / リスク / ミュレーション / 取引費用 / 制御論 / market timer現象 / インサイダー取引モデル / モンテカルロ法 / 数理ファイナンス … More Except Principal Investigator 金融論 / 確率微分方程式 / 期待効用最大化 / ハミルトン・ヤコビ方程式 / 粘性解 / 大偏差確率制御 / ラフパス解析 / ループ空間 / 場の量子論 / 確率解析 / 準古典極限 / 確率過程 / 金融 / 資産価格 / ファイナンス / 企業金融 / エキゾチックデリバティブ / 金利の期間構造 / 国際情報交換 / 国際研究者交流 / 構造型アプローチ / 熱核法 / 応用数学 / 確率論 / 拡散過程の対称化 / 連鎖倒産モデル / ラフボラティリティモデル / 連続時間マクロファイナンス / フラクショナルボラティリティ / 静的ヘッジ / タイミングリスク / フーリエ法 / 数理ファイナンス / large deviation control / Hamilton-Jacobi equation / viscosity solutions / insider trading / transaction costs / quasi-variational inequalities / expected utility maximization problems / ブラウン運動 / 確率制御 / Hamilton-Jacobi-Bellman方程式 / ファクターモデル / 最小エントロピー / 指数型ウィナー汎関数 / 最適制御 / べき型期待効用最大化 / 最小エントロピー測度 / HJB方程式 / スペクトル理論 / モーメント問題 / 密度関数推定 / super kernel / リスク鋭感的ポートフォリオ最大化 / 線形ガウス型市場モデル / インサイダー取引 / 取引費用 / 準変分不等式 / 期待効用最大化問題 / 新古典不等式 / アレクサンドロフ空間 / 超縮小性 / アレクサンドロ / ループ群 / 処罰問題 / 確率測度の幾何学 / 最適輸送写像 / 弱近似 / リスク鋭感的制御 / ダウンサイドリスク / ハルナック不等式 / 局所最大値原理 / インサイダー取引モデル / 価値尺度 / ダウンサイドリスク最小化 / H-J-B方程式 / ポートフォリオ最適化、大偏差確率制御 / リスク鋭感的価値尺度 / インサイダー取引市場モデル / エルゴード型H-J-B方程式 / ロバスト性 / リスク鋭感的確率制御 / エルゴード型確率制御 / 双対性定理 / デリバティブの価値評価 / ポートフォリオ最適化 / H-J-B 方程式 / 繰り込み / 無限次元解析 / 対数ソボレフ不等式 / 境界条件付きHodge-Kodaira型作用素 / ラフパス解 / アダマール変分 / ループ空間無限次元解析 / シュレーディンガー作用素 / 対数効用 / インサイダー / コンペンセーター / フィルターの拡大 / セミマルチンゲール Less

Weak derivatives of non-smooth stochastic flows and applicationsPrincipal Investigator
- Principal Investigator
  
  Kohatsu・Higa A
- Project Period (FY)
  2024 – 2027
- Research Category
  
  Grant-in-Aid for Scientific Research (C)
- Review Section
  
  Basic Section 12010:Basic analysis-related
- Research Institution
  Ritsumeikan University
Integration by parts formulas for non-smooth diffusion processes and their applicationsPrincipal Investigator
- Principal Investigator
  
  Kohatsu・Higa A
- Project Period (FY)
  2020 – 2024
- 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

[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] Upper bounds for the derivatives of the density associated to solutions of stochastic differential equations with jumps2024
- Author(s)
  V. Bally, L. Caramellino, A. Kohatsu-Higa
- Journal Title
  
  Journal of Mathematical Analysis and Its Applications
  
  Volume: 531 Issue: 2 Pages: 127817-127817
- DOI
  10.1016/j.jmaa.2023.127817
- Peer Reviewed / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-20K03666
[Journal Article] Small time chaos approximations for heat kernels of multidimensional diffusions2023
- Author(s)
  Ivanenko, D., Kohatsu-Higa, A. & Kulik
- Journal Title
  
  Bit,Numerical Mathematics
  
  Volume: 1 Issue: 1 Pages: 16-16
- DOI
  10.1007/s10543-023-00949-z
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-20K03666
[Journal Article] On the Convergence Order of a Binary Tree Approximation of Symmetrized Diffusion Processes2023
- Author(s)
  Jiro Akahori, Jie Yen Fan, Yuri Imamura
- Journal Title
  
  Mathematics and Computers in Simulation
  
  Volume: 1 Pages: 1-20
- DOI
  10.1016/j.matcom.2023.03.030
- Peer Reviewed / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-20K03666, KAKENHI-PROJECT-20K03731
[Journal Article] Simulation of Reflected Brownian motion on two dimensional wedges2023
- Author(s)
  Pierre Bras and Arturo Kohatsu-Higa
- Journal Title
  
  Stochastic Processes and Their Applications
  
  Volume: 156 Pages: 349-378
- DOI
  10.1016/j.spa.2022.11.011
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-20K03666
[Journal Article] Joint density of the stable process and its supremum: Regularity and upper bounds2023
- Author(s)
  J. Gonzalez Cazares, A. Kohatsu-Higa, A. Mijatovic
- Journal Title
  
  Bernouilli
  
  Volume: 29 Issue: 4 Pages: 3443-3469
- DOI
  10.3150/23-bej1590
- Peer Reviewed / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-20K03666
[Journal Article] Hedging error as generalized timing risk2023
- Author(s)
  J. Akahori. F. Barsotti and Y. Imamura
- Journal Title
  
  Quantitative Finance
  
  Volume: 23 Issue: 4 Pages: 693-703
- DOI
  10.1080/14697688.2022.2154255
- Peer Reviewed / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-20K03666, KAKENHI-PROJECT-20K03731
[Journal Article] Using moment approximations to study the density of jump driven SDEs2022
- Author(s)
  Vlad Bally, Lucia Caramellino, Arturo Kohatsu-Higa
- Journal Title
  
  Electronic Journal of Probability
  
  Volume: 27 Issue: none Pages: 1-21
- DOI
  10.1214/22-ejp785
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-20K03666
[Journal Article] Limit Theorems for Iterates of the Szasz-Mirakyan Operator in Probabilistic View2022
- Author(s)
  Akahori Jiro、Namba Ryuya、Semba Shunsuke
- Journal Title
  
  Journal of Theoretical Probability
  
  Volume: - Issue: 2 Pages: 1-18
- DOI
  10.1007/s10959-022-01199-5
- Peer Reviewed / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-19K23410, KAKENHI-PROJECT-20K03666
[Journal Article] Density estimates for jump diffusion processes2022
- Author(s)
  Arturo Kohatsu-Higa, Eulalia Nualart , Ngoc Khue Tran
- Journal Title
  
  Applied Mathematics and Computation
  
  Volume: 420 Pages: 1-10
- DOI
  10.1016/j.amc.2021.126814
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-20K03666
[Journal Article] Higher-order deep solver of non-linear PDEs implied by a non-linear discrete Clark-Ocone formula2022
- Author(s)
  Jiro Akahori, Yui Furuichi, Kaori Okuma
- Journal Title
  
  JSIAM Letters
  
  Volume: 14 Issue: 0 Pages: 9-12
- DOI
  10.14495/jsiaml.14.9
- NAID
  130008154507
- ISSN
  1883-0609, 1883-0617
- Language
  English
- Peer Reviewed / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-20K03666
[Journal Article] Completely solvable stochastic Hamiltonian system describing a continuous-time integrated climate-economy model2021
- Author(s)
  Akahori Jiro、Nagata Kensuke、Suzuki Kota
- Journal Title
  
  JSIAM Letters
  
  Volume: 13 Issue: 0 Pages: 5-8
- DOI
  10.14495/jsiaml.13.5
- NAID
  130007995834
- ISSN
  1883-0609, 1883-0617
- Language
  English
- Peer Reviewed / Open Access / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-20K03666
[Journal Article] Itô calculus for Cramér-Lundberg model2020
- Author(s)
  Akahori Jiro、Constantinescu Corina、Miyagi Kei
- Journal Title
  
  JSIAM Letters
  
  Volume: 12 Issue: 0 Pages: 25-28
- DOI
  10.14495/jsiaml.12.25
- NAID
  130007845768
- ISSN
  1883-0609, 1883-0617
- Language
  English
- Peer Reviewed / Open Access / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-20K03666
[Journal Article] Generalizations of Ho-Lee's binomial interest rate model II: randomization2020
- Author(s)
  Jiro; Akahori, Yu Chiba
- Journal Title
  
  JSIAM Letters
  
  Volume: 12 Issue: 0 Pages: 57-60
- DOI
  10.14495/jsiaml.12.57
- NAID
  130007906274
- ISSN
  1883-0609, 1883-0617
- Language
  English
- Peer Reviewed / Open Access / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-20K03666
[Journal Article] Improved local approximation for multidimensional diffusions: The G-rates2020
- Author(s)
  S Bodnarchuk, D Ivanenko, A Kohatsu-Higa, A Kulik
- Journal Title
  
  Theory of Probability and Mathematical Statistics
  
  Volume: 101 Pages: 13-38
- Peer Reviewed / Open Access / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-20K03666
[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: - Issue: 9 Pages: 5543-5574
- DOI
  10.1016/j.spa.2020.03.016
- Peer Reviewed / Open Access / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-16H03642, KAKENHI-PROJECT-16K05215, KAKENHI-PROJECT-20K03666
[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 Issue: 3 Pages: 1455-1473
- DOI
  10.1007/s10959-020-01007-y
- Peer Reviewed / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-16K05215, KAKENHI-PROJECT-20K03666
[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 Issue: none
- DOI
  10.1214/19-ejp352
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-16K05215
[Journal Article] Performance of agricultural cooperative banks in Japan: Difference between stock and flow output variables2019
- Author(s)
  Kozo Harimaya and Koichi Kagitani
- Journal Title
  
  Agricultural Finance Review
  
  Volume: 80/1 Issue: 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] Bridge representation and modal-path approximation2019
- Author(s)
  Jiro Akahori, Xiaoming Song, Tai-Ho Wang
- Journal Title
  
  Stochastic Processes and their Applications
  
  Volume: 129 Issue: 1 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] 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] 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, Japan"2018
- Author(s)
  Kozo Harimaya and Yasufumi Ozaki
- Journal Title
  
  Theoretical Economics Letters
  
  Volume: 8 Issue: 03 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 banks."2018
- 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] LAN property for an ergodic diffusion with jumps2017
- Author(s)
  Kohatsu-Higa Arturo、Nualart Eulalia、Tran Ngoc Khue
- Journal Title
  
  Statistics
  
  Volume: 51 Issue: 2 Pages: 419-454
- DOI
  10.1080/02331888.2016.1239727
- Peer Reviewed / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-16K05215
[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] 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] 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 banks"2017
- Author(s)
  Nobuyoshi Yamori, Kozo Harimaya, and Kei Tomimura
- Journal Title
  
  International Journal of Finance and Economics
  
  Volume: 22 Issue: 4 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] Agency conflicts, Noncommitment Timing Strategies, and Real Options2017
- Author(s)
  Keiichi Hori, Hiroshi Osano
- Journal Title
  
  Japanese Economic Review
  
  Volume: - Pages: 521-554
- DOI
  10.1111/jere.12144
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-25245031, KAKENHI-PROJECT-16H03642
[Journal Article] Unbiased simulation of stochastic differential equations using parametrix expansions2017
- Author(s)
  Andersson, Patrik; Kohatsu-Higa, Arturo
- Journal Title
  
  Bernoulli
  
  Volume: 23 Issue: 3 Pages: 2028-2057
- DOI
  10.3150/16-bej803
- Peer Reviewed / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-16K05215
[Journal Article] “The efficiency of Japanese financial cooperatives: An application of parametric distance functions"2017
- Author(s)
  Nobuyoshi Yamori, Kozo Harimaya, and Kei Tomimura
- Journal Title
  
  Journal of Economics and Business
  
  Volume: 94 Pages: 45-53
- 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] 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] 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 Issue: 6 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] Parametrix methods for skew diffusions.2016
- Author(s)
  Arturo Kohatsu-Higa, Dai Taguchi, Jie Zhong
- Journal Title
  
  Potential Analysis
  
  Volume: 45 Issue: 2 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] 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] A Discrete-Time Clark-Ocone Formula and its Application to an Error Analysis2016
- Author(s)
  Jiro Akahori, Takafumi Amaba, Kaori Okuma
- Journal Title
  
  Journal of Theoretical Probability
  
  Volume: published online Issue: 3 Pages: 932-960
- DOI
  10.1007/s10959-016-0666-8
- Peer Reviewed / Acknowledgement Compliant
- Data Source
  KAKENHI-PROJECT-25285102, KAKENHI-PROJECT-16H03642
[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] 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] 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] 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 / 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 Issue: 2 Pages: 419-439
- DOI
  10.1007/s13160-014-0147-3
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-23330109, KAKENHI-PROJECT-25285102
[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] 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 Issue: 10 Pages: 859-864
- DOI
  10.1016/j.crma.2014.08.013
- 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
  
  The Institute of Statistical Mathematics Cooperative Research Report
  
  Volume: 328 Pages: 105-109
- 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] 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] 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] 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 Issue: 5 Pages: 1881-1909
- DOI
  10.1016/j.spa.2014.01.003
- Peer Reviewed
- 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] 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] Holder continuity property of the densities of SDEs with singular drift coefficients2014
- Author(s)
  Masafumi Hayashi and Arturo Kohatsu and Go Yuki
- Journal Title
  
  Electron. J. Probab
  
  Volume: 19 Issue: none 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] On a symmetrization of diffusion processes2014
- Author(s)
  Jiro Akahori and Yuri Imamura
- Journal Title
  
  Quantitative Finance
  
  Volume: 印刷中 Issue: 7 Pages: 1211-1216
- DOI
  10.1080/14697688.2013.825923
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-25285102, KAKENHI-PROJECT-26780193
[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] 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_8
- ISBN
  9781461459057, 9781461459064
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-23740089, 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] Expected power-utility maximization under incomplete information and with Cox-process observation2013
- Author(s)
  H. Nagai
- Journal Title
  
  Appl. Math. Optimization
  
  Volume: 67 Issue: 1 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] 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) Issue: 3 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] 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 Issue: 1 Pages: 71-81
- DOI
  10.1007/s10690-012-9159-7
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-25285102
[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 Issue: 4 Pages: 1117-1134
- DOI
  10.1007/s10959-012-0430-7
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-24340022
[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
- ISBN
  9784431541134, 9784431541141
- 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) Issue: 1 Pages: 277-309
- DOI
  10.1007/s11118-011-9263-8
- 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] 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 Issue: 6 Pages: 1301-1309
- DOI
  10.1112/blms/bdt056
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-23330109, KAKENHI-PROJECT-23654056, KAKENHI-PROJECT-25285102
[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] 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 Issue: 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] 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] 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] Laplace approximation for rough differential equation driven by fractional Brownian motion2013
- Author(s)
  Yuzuru Inahama
- Journal Title
  
  Ann. Probab
  
  Volume: 41 Issue: 1 Pages: 170-205
- DOI
  10.1214/11-aop733
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-21244009, KAKENHI-PROJECT-22740061
[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] 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
  
  Abstract and Applied Analysis
  
  Volume: 2013 Pages: 1-12
- DOI
  10.1155/2013/463857
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-24340022, KAKENHI-PROJECT-24540390
[Journal Article] A market model with medium/long-term effects due to an insider2013
- Author(s)
  Hata, Hiroaki, Kohatsu-Higa, Arturo
- Journal Title
  
  Quantitative Finance
  
  Volume: Volume 13, Number 3 Issue: 3 Pages: 421-437
- DOI
  10.1080/14697688.2012.695084
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-20340019, 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] 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 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] 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) Issue: 01 Pages: 222-229
- DOI
  10.4236/jmf.2013.31a021
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-20340019
[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
- ISBN
  9783319020686, 9783319020693
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-23740089, 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) Issue: 5 Pages: 1716-1828
- DOI
  10.1016/j.spa.2013.01.006
- 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] 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] 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 Issue: 289 Pages: 1-32
- DOI
  10.1090/s0025-5718-2013-02786-x
- Peer Reviewed
- Data Source
  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] 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
  
  Archive Rational Mechanic Analysis
  
  Volume: (印刷中) Issue: 2 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] 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 Issue: 2 Pages: 602-638
- DOI
  10.1016/j.jfa.2011.09.023
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-21244009
[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 Issue: 1 Pages: 46-61
- DOI
  10.1080/03610926.2010.513788
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-21244009, KAKENHI-PROJECT-23540205
[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 Issue: 5 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] 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 Issue: 1 Pages: 179-211
- DOI
  10.1137/080739768
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-20340019
[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 Issue: 6 Pages: 2183-2191
- DOI
  10.1090/s0002-9939-2011-11051-7
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-21244009, KAKENHI-PROJECT-22740061
[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] 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] Infinite variation tempered stable Ornstein-Uhlenbeck processes with discrete observations2012
- Author(s)
  Reichiro Kawai, H.Masuda
- Journal Title
  
  Communications in Statistics-Simulation and Computation
  
  Volume: 41(1) Issue: 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] Local asymptotic normality for normal inverse Gaussian Levy processes with high-frequency sampling2012
- 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] 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] 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] 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] 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 Issue: 01 Pages: 1-15
- DOI
  10.1142/s0219024911006553
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-23330109, KAKENHI-PROJECT-24340022
[Journal Article] Computation of Greeks for asset price dynamics driven by stable and tempered stable processes2012
- Author(s)
  Reichiro Kawai, A.Takeuchi
- Journal Title
  
  Quantitative Finance
  
  Volume: (Published online) Issue: 8 Pages: 1303-1316
- DOI
  10.1080/14697688.2011.589403
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-21340024, KAKENHI-PROJECT-23740083, KAKENHI-PROJECT-24340022
[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
  
  Volume: 468 Issue: 2141 Pages: 1428-1451
- DOI
  10.1098/rspa.2011.0665
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-21340024
[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] 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 Issue: 1 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] Lcal 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 Issue: 5 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 Issue: 2 Pages: 299-312
- DOI
  10.1137/s0040585x97985406
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-22540145, 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 Issue: 2 Pages: 608-669
- DOI
  10.1214/11-aap781
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-20340019, KAKENHI-PROJECT-21340024, KAKENHI-PROJECT-23244015
[Journal Article] The sector constants of continuous state branching processes with immigration2012
- Author(s)
  Kenji Handa
- Journal Title
  
  J.Funct.Anal
  
  Volume: 262 Issue: 10 Pages: 4488-4524
- DOI
  10.1016/j.jfa.2012.02.026
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-21244009
[Journal Article] A Malliavin calculus method to study densities of additive functionals of SDE's with irregular drifts, Ann. Inst2012
- Author(s)
  Arturo Kohatsu-Higa
- Journal Title
  
  Henri Poincare Probab. Stat
  
  Volume: 48 Issue: 3 Pages: 871-883
- DOI
  10.1214/11-aihp418
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-21244009, KAKENHI-PROJECT-24340022
[Journal Article] Down-side risk minimization under prescribed consumption level2012
- Author(s)
  H.Nagai
- Journal Title
  
  Risk and Decision Analysis
  
  Volume: 3 Issue: 3 Pages: 191-200
- DOI
  10.3233/rda-2011-0058
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-20340019, KAKENHI-PROJECT-23244015
[Journal Article] A classical mechanical model of Brownian motion with one particle coupled to a random wave field2012
- Author(s)
  S. Kusuoka and S. Liang
- Journal Title
  
  Stochastic Analysis and Applications
  
  Volume: Vol. 30, Issue 3 Issue: 3 Pages: 493-528
- DOI
  10.1080/07362994.2012.668444
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-21740063, KAKENHI-PROJECT-24340022
[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] 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] Semigroups preserving a convex set in a Banach space2011
- Author(s)
  Ichiro Shigekawa
- Journal Title
  
  Kyoto J.Math
  
  Volume: 51 Issue: 3 Pages: 647-672
- DOI
  10.1215/21562261-1299918
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-21244009, KAKENHI-PROJECT-22340017
[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) Issue: 5 Pages: 641-650
- DOI
  10.1016/j.apnum.2010.10.012
- 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] 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] 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] 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 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] Exact discrete sampling of finite variation tempered stable Ornstein-Uhlenbeck processes2011
- Author(s)
  Reichiro Kawai, H.Masuda
- Journal Title
  
  Monte Carlo Methods and Applications
  
  Volume: 17(3) Issue: 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] Bernoulli polynomials, and Levy's stochastic area formula, Bull2011
- Author(s)
  N.Ikeda and Setsuo Taniguchi, Euler polynomials
- Journal Title
  
  Sci. Math
  
  Volume: 135 Issue: 6-7 Pages: 684-694
- DOI
  10.1016/j.bulsci.2011.07.009
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-21244009
[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] 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) Issue: 23-24 Pages: 4411-4425
- DOI
  10.1016/j.physa.2011.07.028
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-21340024
[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] Wiener integral for the coordinate process under the sigma-finite measure unifying Brownian penalisations.2011
- Author(s)
  Kouji Yano
- Journal Title
  
  ESAIM Probab. Sta.
  
  Volume: 15 Pages: 69-84
- DOI
  10.1051/ps/2010024
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-20740060, KAKENHI-PROJECT-21244009
[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) Issue: 8 Pages: 2873-2887
- DOI
  10.1016/j.cam.2010.12.014
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-21340024, KAKENHI-PROJECT-23740082
[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] 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] Likelihood ratio gradient estimation for Meixner distribution and Levy processes2011
- Author(s)
  Reichiro Kawai
- Journal Title
  
  Computational Statistics
  
  Volume: (to appear) Issue: 4 Pages: 739-755
- DOI
  10.1007/s00180-011-0288-7
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-21340024
[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 pinned path spaces2011
- Author(s)
  Shigeki Aida
- Journal Title
  
  Contemporary Mathematics
  
  Volume: 545 Pages: 1-12
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-21244009
[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] 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] 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] 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] 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] 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] 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] 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] 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] 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] 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) Issue: 1 Pages: 26-49
- DOI
  10.1080/15326349.2011.542721
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-21340024
[Journal Article] Insider models with finite utility in markets with jumps2011
- Author(s)
  A. Kohatsu-Higa
- Journal Title
  
  Applied Mathematics and Optimization
  
  Volume: 64 Issue: 2 Pages: 217-255
- DOI
  10.1007/s00245-011-9137-x
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-20340019, KAKENHI-PROJECT-21340024
[Journal Article] Spectral gap for multi-species exclusion processes2011
- Author(s)
  Yukio Nagahata
- Journal Title
  
  Journal of Statistical Physics
  
  Volume: 143 Issue: 2 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] 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] 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] Vanishing of one-dimensional L^2 cohomologies of loop groups2011
- Author(s)
  Shigeki Aida
- Journal Title
  
  J.Funct.Anal
  
  Volume: 261 Issue: 8 Pages: 2164-2213
- DOI
  10.1016/j.jfa.2011.06.003
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-21244009
[Journal Article] Nonnegative compartment dynamics system modelling with stochastic differential equations2011
- Author(s)
  Reichiro Kawai
- Journal Title
  
  Applied Mathematical Modelling
  
  Volume: (to appear) Issue: 12 Pages: 6291-6300
- DOI
  10.1016/j.apm.2012.02.019
- 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] 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] 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] 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] 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] Infrared problem for the Nelson model on static space-time, Comm2011
- Author(s)
  C.Gerard, F.Hiroshima, A.Pannati and A.Suzuki
- Journal Title
  
  Math. Physics
  
  Volume: 308 Issue: 2 Pages: 543-566
- DOI
  10.1007/s00220-011-1289-7
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-21244009, KAKENHI-PROJECT-23340032
[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] Displacement convexity of generalized relative entropies2011
- Author(s)
  Shin-ichi Ohta and Asuka Takatsu
- Journal Title
  
  Adv. Math
  
  Volume: 228 Issue: 3 Pages: 1742-1787
- DOI
  10.1016/j.aim.2011.06.029
- NAID
  120003405527
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-21244009, KAKENHI-PROJECT-22340036
[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) Issue: 4 Pages: 460-469
- DOI
  10.1016/j.spl.2010.12.011
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-21340024, KAKENHI-PROJECT-23740082
[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 Issue: 02n03 Pages: 415-438
- DOI
  10.1142/s0219493711003371
- 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] 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] 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] 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) Issue: 9 Pages: 1628-1636
- 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 Issue: 6-7 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] 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] 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] Cameron-Martin formula for theσ-finite measure unifying Brownian penalisations2010
- Author(s)
  Kouji Yano
- Journal Title
  
  J. Funct. Anal.
  
  Volume: 258 Issue: 10 Pages: 3492-3516
- DOI
  10.1016/j.jfa.2009.11.021
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-20740060, KAKENHI-PROJECT-21244009
[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] 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] 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] 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] 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] 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] Sets of finite perimeter and the Hausdorff-Gauss measure on the Wiener space2010
- Author(s)
  Masanori Hino
- Journal Title
  
  J.Funct.Anal
  
  Volume: 258 Issue: 5 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] 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 Issue: 9 Pages: 3134-3164
- DOI
  10.1016/j.jfa.2009.10.027
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-21244009
[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] 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] 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] 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] 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] 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] 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] 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] 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] 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] 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] 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] 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 Issue: 4 Pages: 305-341
- DOI
  10.1007/s11118-009-9152-6
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-21244009
[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] 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] 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
- Data Source
  KAKENHI-PROJECT-20340019
[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] 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] 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] 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] 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] 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] 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] 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] 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] 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] A stochastic Taylor-like expansion in the rough path theory2010
- Author(s)
  Yuzuru Inahama
- Journal Title
  
  J. Theoret. Probab
  
  Volume: 23 Issue: 3 Pages: 671-714
- DOI
  10.1007/s10959-010-0287-6
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-21244009
[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] 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] 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] 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] 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] 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] 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 management, Encyclopedia of Quantitative Finance2010
- Author(s)
  H. Nagai
- Journal Title
  
  Chichester
  
  Pages: 1589-15931
- DOI
  10.1002/9780470061602.eqf14018
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-20340019
[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] 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] 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] 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] 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 Issue: 1 Pages: 52-89
- DOI
  10.1214/09-aap618
- 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
  
  Pages: 1466-4313
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-21340024
[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] 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] 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] 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] Penalisation of a stable Levy process involving its one-sided supremum2010
- Author(s)
  Kouji Yano
- Journal Title
  
  Ann. Inst. Henri Poincare Probab
  
  Volume: 46 Issue: 4 Pages: 1042-1054
- DOI
  10.1214/09-aihp339
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-20740060, 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] 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] 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] Spectral gap for zero-range processes with jump rate g(x)=x^γ2010
- Author(s)
  Yukio Nagahata
- Journal Title
  
  Stochastic Process. Appl
  
  Volume: 120 Issue: 6 Pages: 949-958
- DOI
  10.1016/j.spa.2010.01.019
- 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] Localization for a class of linear systems2010
- Author(s)
  Yukio Nagahata and Nobuo Yoshida
- Journal Title
  
  Electron.J.Probab
  
  Volume: 15 Issue: none Pages: 636-653
- DOI
  10.1214/ejp.v15-757
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-21244009
[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] 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] 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] 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] 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] 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] 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 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] 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] 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] 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] 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] 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] 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] 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)
  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] 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] Fractional order Taylor's series and the neo-classical inequality2010
- Author(s)
  Keisuke Hara and Masanori Hino
- Journal Title
  
  Bull.Lond.Math.Soc
  
  Volume: 42 Issue: 3 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 20
  
  Pages: 52-89
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-21340024
[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 Issue: 5 Pages: 605-621
- DOI
  10.1016/j.spa.2010.01.009
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-21244009
[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 Issue: 11 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" risk under partial information2010
- Author(s)
  H.Nagai
- Journal Title
  
  Quantitative Finance (In press)
- 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] 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] 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] 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] 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] 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] 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] Weak Harnack inequality for fully nonlinear uniformly elliptic PDE with unbounded ingredients2009
- Author(s)
  S.Koike and A.Swiech
- Journal Title
  
  Journal of the Mathematical Society of Japan
  
  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] 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] 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] 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] Uniform convexity and smoothness, and their applications in Finsler geometry2009
- Author(s)
  Shin-ichi Ohta
- Journal Title
  
  Math.Ann
  
  Volume: 343 Issue: 3 Pages: 669-699
- DOI
  10.1007/s00208-008-0286-4
- 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 Issue: 10 Pages: 3342-3367
- DOI
  10.1016/j.jfa.2008.10.001
- 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-20340019
[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] 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] 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] Tree structured independence for exponential Brownian functionals, Stochastic Process2009
- Author(s)
  Hiroyuki Matsumoto, J.Weso.owski and P.Witkowski
- Journal Title
  
  Appl
  
  Volume: 119 Issue: 10 Pages: 3793-3815
- DOI
  10.1016/j.spa.2009.07.008
- Peer Reviewed
- Data Source
  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] 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] 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] 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] 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] 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] 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] 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 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] 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] 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] 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] 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] 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] 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] 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] 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] 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 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] 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] 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] 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] 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] Penalising symmetric stable Lévy paths2009
- Author(s)
  Kouji Yano
- Journal Title
  
  Journal of the Mathematical Society of Japan
  
  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] 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] 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 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] 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] 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] 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] 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 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] 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] 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] 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] 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 WIENER INTEGRAL APPROACH TO NON-COMMUTATIVE HARMONIC OSCILLATORS2009
- Author(s)
  Setsuo Taniguchi
- Journal Title
  
  Kyushu Journal of Mathematics
  
  Volume: 63 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] 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] Gradient flows on Wasserstein spaces over compact Alexandrov spaces, Amer2009
- Author(s)
  Shin-ichi Ohta
- Journal Title
  
  J.Math
  
  Volume: 131 Issue: 2 Pages: 475-516
- DOI
  10.1353/ajm.0.0048
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-21244009
[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)
  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] 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] 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] 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] 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] 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] 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] 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] 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] 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] 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] 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 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] 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] 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] 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] 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)
  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] 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] 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] 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] 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] 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] 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] 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] 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] 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] 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. Kebaier,.
- Journal Title
  
  Stochastic Processes and their applications (出版予定)
- 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] 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] 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] 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 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] 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] 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] 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] 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] 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] 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] 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] 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 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] 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] 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] 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 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] 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] 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] 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] 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] 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] 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] 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] 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] 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] 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] 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] 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] 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 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] 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] 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] 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] 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] 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] 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] 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] 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] 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] 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] 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] 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] 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] "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] 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] 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] 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] 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] 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] 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] "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] 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] 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] 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 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] 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] 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] Risk-sensitive quasi-variational inequalities for optimal investment with general transaction costs2006
- Author(s)
  Hideo NAGAI
- Journal Title
  
  Asymptotic Analysis 48
  
  Pages: 243-265
- Description
  「研究成果報告書概要(和文)」より
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-16340025
[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
- Description
  「研究成果報告書概要(欧文)」より
- Data Source
  KAKENHI-PROJECT-16340025
[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
- 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 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
- Data Source
  KAKENHI-PROJECT-18340029
[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
- 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, World Sci. Publ., Hackensack, NJ
  
  Pages: 157-182
- 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
- Data Source
  KAKENHI-PROJECT-18340029
[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
- 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, D, Lamberton
- Journal Title
  
  Annals of Applied Probability 16
  
  Pages: 1124-1154
- Data Source
  KAKENHI-PROJECT-18540133
[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
- Data Source
  KAKENHI-PROJECT-16340025
[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] 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
- Journal Title
  
  Indiana Univ. Math. J. 55
  
  Pages: 1671-1700
- 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 condition that one-dimensional diffusion processes are martingales2006
- Author(s)
  S., Kotani
- Journal Title
  
  Seminaire de Probabilites XXXIX, LNM No.1874
  
  Pages: 149-156
- Description
  「研究成果報告書概要(欧文)」より
- Data Source
  KAKENHI-PROJECT-16340025
[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
- Description
  「研究成果報告書概要(欧文)」より
- 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] 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
- Description
  「研究成果報告書概要(和文)」より
- Peer Reviewed
- Data Source
  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)
- Data Source
  KAKENHI-PROJECT-16340025
[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] 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)
- Data Source
  KAKENHI-PROJECT-16340025
[Journal Article] Utility maximization in an insider influenced market2006
- Author(s)
  A. Kohatsu-Higa, et. al.
- Journal Title
  
  Mathematical Finance 16
  
  Pages: 163-179
- Description
  「研究成果報告書概要(和文)」より
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-16340025
[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
- Data Source
  KAKENHI-PROJECT-16340025
[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
- Data Source
  KAKENHI-PROJECT-18540175
[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
- Data Source
  KAKENHI-PROJECT-16340025
[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
- Data Source
  KAKENHI-PROJECT-16340025
[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)
- Data Source
  KAKENHI-PROJECT-18340029
[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
- Description
  「研究成果報告書概要(欧文)」より
- 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] Utility maximization in an insider influenced market2006
- Author(s)
  A.Kohatsu-Higa, et al.
- Journal Title
  
  Mathematical Finance 16
  
  Pages: 163-179
- Data Source
  KAKENHI-PROJECT-16340025
[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] Pricing rule in asymmetric information2006
- Author(s)
  S. Ogawa and M. Pontier
- Journal Title
  
  ESMAI Probab.Stat Vol.11
  
  Pages: 80-88
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-18340029
[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
- Description
  「研究成果報告書概要(欧文)」より
- Data Source
  KAKENHI-PROJECT-16340025
[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
- Data Source
  KAKENHI-PROJECT-18340029
[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] 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] 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
- Data Source
  KAKENHI-PROJECT-16340025
[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
- 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 with partial information2006
- Author(s)
  H. Nagai and W.J. Runggaldier
- Journal Title
  
  Suuriken Koukyuuroku 1462
  
  Pages: 116-130
- Data Source
  KAKENHI-PROJECT-18340029
[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
- Description
  「研究成果報告書概要(和文)」より
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-16340025
[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
- Description
  「研究成果報告書概要(和文)」より
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-16340025
[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
- Description
  「研究成果報告書概要(欧文)」より
- Data Source
  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
- Description
  「研究成果報告書概要(欧文)」より
- Data Source
  KAKENHI-PROJECT-16340025
[Journal Article] Densities of one dimensional backward SDEs2005
- Author(s)
  Antonelli, F., et al.
- Journal Title
  
  Potential Analysis 22
  
  Pages: 263-87
- Data Source
  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
- Data Source
  KAKENHI-PROJECT-16340025
[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
- Description
  「研究成果報告書概要(和文)」より
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-16340025
[Journal Article] Optimal consumption and choice with stopping2005
- Author(s)
  S.Koike, et al.
- Journal Title
  
  Funkcialaj Ekvacioj 48
  
  Pages: 183-202
- Data Source
  KAKENHI-PROJECT-16340025
[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
- Data Source
  KAKENHI-PROJECT-16340025
[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
- Data Source
  KAKENHI-PROJECT-16340025
[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
- Description
  「研究成果報告書概要(欧文)」より
- Data Source
  KAKENHI-PROJECT-16340025
[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
- Description
  「研究成果報告書概要(欧文)」より
- Data Source
  KAKENHI-PROJECT-16340025
[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] 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
- 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] 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
- 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)
  H. Nagai
- Journal Title
  
  "Stochastic Processes and Applications to Mathematical Finance", Eds. J. Akahori, S. Ogawa and S. Watanabe, World Scientific
  
  Pages: 271-288
- Description
  「研究成果報告書概要(和文)」より
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-16340025
[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
- Data Source
  KAKENHI-PROJECT-16340025
[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
  「研究成果報告書概要(欧文)」より
- Data Source
  KAKENHI-PROJECT-16340025
[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
- Data Source
  KAKENHI-PROJECT-16340025
[Journal Article] Risky fraction processes and Problems with Transaction Costs2004
- Author(s)
  H., Nagai
- Journal Title
  
  "Stochastic Processes and Applications to
  
  Pages: 271-288
- Description
  「研究成果報告書概要(欧文)」より
- Data Source
  KAKENHI-PROJECT-16340025
[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] 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] 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
- Data Source
  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
- 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 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
- 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] 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] 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)
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-21244009
[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
- Peer Reviewed
- Data Source
  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] 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
- Data Source
  KAKENHI-PROJECT-18540175
[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)
- Peer Reviewed
- Data Source
  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
- Data Source
  KAKENHI-PROJECT-18340029
[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
- Data Source
  KAKENHI-PROJECT-21340024
[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)
- Description
  「研究成果報告書概要(欧文)」より
- Data Source
  KAKENHI-PROJECT-16340025
[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] 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
- Data Source
  KAKENHI-PROJECT-21340024
[Journal Article] Risk-sensitive quasi-variational inequalities for optimal investment with general transaction costs
- Author(s)
  H.Nagai
- Journal Title
  
  Asymptotic Analysis (In press)
- Data Source
  KAKENHI-PROJECT-16340025
[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)
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-21244009
[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
- Data Source
  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)
- Description
  「研究成果報告書概要(欧文)」より
- Data Source
  KAKENHI-PROJECT-16340025
[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
[Presentation] Derivation des processus tuees2024
- Author(s)
  Arturo Kohatsu-Higa
- Organizer
  Seminario CERMICS
- Invited
- Data Source
  KAKENHI-PROJECT-20K03666
[Presentation] Recent advances in Malliavin-Mancino's Fourier method for non-parametric estimation of volatility.2023
- Author(s)
  Jiro Akahori
- Organizer
  2023 Spring Probability Workshop in Taiwan
- Invited
- Data Source
  KAKENHI-PROJECT-20K03666
[Presentation] Derivatives of killed diffusions2023
- Author(s)
  Arturo Kohatsu-Higa
- Organizer
  11th ICSAA
- Invited
- Data Source
  KAKENHI-PROJECT-20K03666
[Presentation] Algebraic Stochastic Calculus2023
- Author(s)
  Jiro Akahori
- Organizer
  AMS Spring Central Sectional Meeting
- Invited
- Data Source
  KAKENHI-PROJECT-20K03666
[Presentation] A multi-level method to study the law of the supremum of a stable process2023
- Author(s)
  Arturo Kohatsu-Higa
- Organizer
  Mathematical Finance and Stochastic Processes
- Invited
- Data Source
  KAKENHI-PROJECT-20K03666
[Presentation] La derive d'un processus de diffusion tuees2023
- Author(s)
  Arturo Kohatsu-Higa
- Organizer
  Journees des Probabilites
- Invited
- Data Source
  KAKENHI-PROJECT-20K03666
[Presentation] Derivatives of killed processes2023
- Author(s)
  Arturo Kohatsu-Higa
- Organizer
  International Conference on Malliavin Calculus and Related Topics
- Invited
- Data Source
  KAKENHI-PROJECT-20K03666
[Presentation] Some thoughts on diffusion estimation2022
- Author(s)
  Jiro Akahori
- Organizer
  Risk Conference
- Invited
- Data Source
  KAKENHI-PROJECT-20K03666
[Presentation] The risk of killing a diffusion2022
- Author(s)
  Arturo Kohatsu-Higa
- Organizer
  Risk Conference
- Invited
- Data Source
  KAKENHI-PROJECT-20K03666
[Presentation] Probabilistic representation of the derivative of a one dimensional killed diffusion semigroup and associated BEL formula2022
- Author(s)
  Arturo Kohatsu-Higa
- Organizer
  Conference on Stochastic Analysis and Stochastic Partial Differential Equations
- Invited
- Data Source
  KAKENHI-PROJECT-20K03666
[Presentation] Joint density of the stable process and its supremum: regularity and upper bounds2022
- Author(s)
  Arturo Kohatsu-Higa
- Organizer
  INdAM Meeting "Kolmogorov Operators and their Applications"
- Invited
- Data Source
  KAKENHI-PROJECT-20K03666
[Presentation] Algebraic Stochastic Calculus2022
- Author(s)
  Jiro Akahori
- Organizer
  AMS Spring Central Sectional Meeting
- Invited
- Data Source
  KAKENHI-PROJECT-20K03666
[Presentation] Simulation of Reflected Brownian motion on two dimensional wedges2022
- Author(s)
  Arturo Kohatsu-Higa
- Organizer
  Victoria Seminar
- Invited
- Data Source
  KAKENHI-PROJECT-20K03666
[Presentation] On limit theorems of Mallivan-Mancino’s Fourier estimator2022
- Author(s)
  Jiro Akahori
- Organizer
  2022 SKKU International Conference: Trends in Digital Economy and Finance
- Invited
- Data Source
  KAKENHI-PROJECT-20K03666
[Presentation] Acceleration of convergence and regularity of the law for jump processes2022
- Author(s)
  Arturo Kohatsu-Higa
- Organizer
  International Seminar on SDEs and Related Topics
- Invited
- Data Source
  KAKENHI-PROJECT-20K03666
[Presentation] On the differential behavior of stopped diffusions2021
- Author(s)
  Arturo Kohatsu-Higa
- Organizer
  Stochastics and Finance Seminar. The University of Sydney
- Invited
- Data Source
  KAKENHI-PROJECT-20K03666
[Presentation] On “rough” Quadratic Wiener Functionals2021
- Author(s)
  Jiro Akahori
- Organizer
  AIMS Ghana's Online Research Seminar Series
- Invited
- Data Source
  KAKENHI-PROJECT-20K03666
[Presentation] Interaction between simulation and theory2021
- Author(s)
  Arturo Kohatsu-Higa
- Organizer
  Nonlocal Operators and Markov Processes II
- Invited
- Data Source
  KAKENHI-PROJECT-20K03666
[Presentation] UPPER BOUNDS FOR THE JOINT DENSITY OF A STABLE PROCESS AND ITS MAXIMUM2021
- Author(s)
  Arturo Kohatsu-Higa
- Organizer
  University College London Probability Seminar
- Invited
- Data Source
  KAKENHI-PROJECT-20K03666
[Presentation] Thermodynamic Approach to Whole-Life Insurance: An Evaluation Method of Surrender Risk2020
- Author(s)
  Jiro Akahori
- Organizer
  IFAM seminar
- Invited
- Data Source
  KAKENHI-PROJECT-20K03666
[Presentation] Upper density estimates for the marginal law of an stable process and its maximum2020
- Author(s)
  Arturo Kohatsu-Higa
- Organizer
  無限分解可能過程に関連する諸問題
- Invited
- Data Source
  KAKENHI-PROJECT-20K03666
[Presentation] A story of stopping and reflection2020
- Author(s)
  Arturo Kohatsu-Higa
- Organizer
  Monash Probability seminar
- Invited
- Data Source
  KAKENHI-PROJECT-20K03666
[Presentation] UPPER BOUNDS FOR THE JOINT DENSITY OF A STABLE PROCESS AND ITS MAXIMUM2020
- Author(s)
  Arturo Kohatsu-Higa
- Organizer
  UNIVAQ RANDOM TALKS
- Invited
- Data Source
  KAKENHI-PROJECT-20K03666
[Presentation] Joint Density estimates for a stable process and its maximum2020
- Author(s)
  Arturo Kohatsu-Higa
- Organizer
  2020年度確率論シンポジウム
- Invited
- Data Source
  KAKENHI-PROJECT-20K03666
[Presentation] Upper density estimates for the marginal law of an stable process and its maximum2020
- Author(s)
  Arturo Kohatsu-Higa
- Organizer
  2020年度確率解析シンポジウム
- Invited
- Data Source
  KAKENHI-PROJECT-20K03666
[Presentation] Sensitivity analysis: some irregular examples2019
- Author(s)
  Arturo Kohatsu-Higa
- Organizer
  Seminar: DataLab
- Invited
- Data Source
  KAKENHI-PROJECT-16K05215
[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] Polya Urn in Finance2018
- Author(s)
  Jiro Akahori
- Organizer
  Quantitative Methods in Finance 2018 Conference
- Invited
- Data Source
  KAKENHI-PROJECT-16K05215
[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] 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] 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] 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] 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] 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] Parametrix based simulations of order 22018
- Author(s)
  Arturo Kohatsu-Higa
- Organizer
  Seminaire Bachellier de Paris
- Invited
- Data Source
  KAKENHI-PROJECT-16K05215
[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] 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] Probabilistic interpretation of the parametrix method2018
- Author(s)
  Arturo Kohatsu-Higa
- Organizer
  Stochastic Processes and their Applications
- Invited
- Data Source
  KAKENHI-PROJECT-16K05215
[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] 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 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] 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] 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] 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] 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] 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] 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] 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] 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] 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] 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] 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] 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] 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] 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 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] 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] 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] 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] 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] 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] 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] 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] 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] 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] 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] 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] 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] 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] 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] 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] 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] 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] 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] 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] 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] 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] 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] 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] 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] 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] Some Malliavin Calculus Techniques to Deal with Diffusions with Irregular Drifts2012
- Author(s)
  Arturo Kohatsu-Higa
- Organizer
  Stochastic Analysis and Its Applications
- Place of Presentation
  チューリッヒ、スイス(招待講演)
- Year and Date
  2012-06-05
- 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] 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] 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] On Weak Approximation of Stochastic Differential Equations with Discontinuous Drift Coefficient2012
- Author(s)
  K. Yasuda
- Organizer
  The Second NIMS Summer School in Probability 2012
- Place of Presentation
  Daejeon、South Korea(招待講演)
- Year and Date
  2012-06-19
- 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] 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] 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] 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] Poincare's lemma on domains defined by Brownian rough path2012
- Author(s)
  Shigeki Aida
- Organizer
  Rough path analysis and related topics
- Place of Presentation
  名古屋大学大学院多元数理科学研究科
- Invited
- Data Source
  KAKENHI-PROJECT-21244009
[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] 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] 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] 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] 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] 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] 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] 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] 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] 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] 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] 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] 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] 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] 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] 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] The higher-order weak approximation algorithms for SDEs2011
- Author(s)
  Syoiti Ninomiya, Shigeo Kusuoka, Mariko Ninomiya
- Organizer
  The second workshop on numerical methods for solving the filtering problem and high order methods for solving parabolic PDEs
- Place of Presentation
  Imperial College, London, UK(招待講演)
- Year and Date
  2011-09-28
- Data Source
  KAKENHI-PROJECT-21340024
[Presentation] Asymptotic estimates of probability minimizing down-side risk and H-J-B equations of ergodic type2011
- Author(s)
  H. Nagai
- Organizer
  2011 Probability One Day Workshop, Academia Sinica,NCTS
- Place of Presentation
  National Central University, Taiwan
- Year and Date
  2011-02-23
- Data Source
  KAKENHI-PROJECT-20340019
[Presentation] Approximation methods for stochastic differential equations driven by Levy processes2. Seventh Seminar on Stochastic Analysis2011
- Author(s)
  A .Kohatsu-Higa
- Organizer
  Random Fields and Applications
- Place of Presentation
  Ascona, Switzerland
- Data Source
  KAKENHI-PROJECT-20340019
[Presentation] A Malliavin Calculus method to study SDE's with irregular drifts2011
- Author(s)
  A. Kohatsu-Higa
- Organizer
  INRIA, Sophia-Antipolis, Tosca project seminar
- Place of Presentation
  Sophia Antipolis(France)
- Year and Date
  2011-02-11
- Data Source
  KAKENHI-PROJECT-21340024
[Presentation] Higher-order weak approximation algorithms for SDEs : Some trials on barrier option problem and higher order algorithms'(with Shigeo Kusuoka and Mariko Ninomiya)2011
- Author(s)
  S. Ninomiya
- Organizer
  Stochastic PDEs
- Place of Presentation
  Zurich(Swiss)
- Data Source
  KAKENHI-PROJECT-21340024
[Presentation] Methods to Deal with Non-smooth Coefficients in Malliavin Calculus2011
- Author(s)
  A. Kohatsu-Higa
- Organizer
  International Conference on Malliavin Calculus and Stochastic Analysis. An event in honor of Professor David Nualart
- Place of Presentation
  Kansas(America)
- Year and Date
  2011-03-19
- Data Source
  KAKENHI-PROJECT-21340024
[Presentation] The spectrum of non-symmetric operators and Markov processes2011
- Author(s)
  Ichiro Shigekawa
- Organizer
  5th International Conference on Stochastic Analysis and Its Applications
- Place of Presentation
  ドイツ・ボン大学
- Invited
- Data Source
  KAKENHI-PROJECT-21244009
[Presentation] Tunneling for spatially cut-off P(φ)_2-Hamiltonian2011
- Author(s)
  Shigeki Aida
- Organizer
  Stochastic analysis and its application
- Place of Presentation
  Bonn, GERMANY
- Year and Date
  2011-09-08
- Data Source
  KAKENHI-PROJECT-21244009
[Presentation] Tunneling for spatially cut-off P(φ)_2-Hamiltonians2011
- Author(s)
  Shigeki Aida
- Organizer
  Stochastic analysis and its applications
- Place of Presentation
  ドイツ・ボン大学
- Invited
- Data Source
  KAKENHI-PROJECT-21244009
[Presentation] Semi-classical limit of the generalized second lowest eigenvalue of Dirichlet Laplacians on small domains in path spaces2011
- Author(s)
  Shigeki Aida
- Organizer
  伊都確率論シンポジウム
- Place of Presentation
  九州大学
- Year and Date
  2011-01-22
- Data Source
  KAKENHI-PROJECT-21244009
[Presentation] 半群のマルコフ性とその周辺2011
- Author(s)
  Ichiro Shigekawa
- Organizer
  仙台シンポジウム
- Place of Presentation
  東北大学大学院情報科学研究科
- Invited
- Data Source
  KAKENHI-PROJECT-21244009
[Presentation] Some trials on extending the higher-order weak approximation algorithms for SDEs2011
- Author(s)
  Syoiti Ninomiya, Shigeo Kusuoka, Mariko Ninomiya
- Organizer
  Workshop rough paths Stochastic PDEs and numerical integration methods
- Place of Presentation
  Philipps Universitat, Marburg, Germany(招待講演)
- Year and Date
  2011-09-22
- Data Source
  KAKENHI-PROJECT-21340024
[Presentation] A Malliavin calculus method to study densities of additive functionals of SDE's with irregular drifts2011
- Author(s)
  Arturo Kohatsu-Higa
- Organizer
  IMPACT-Workshop in honour of Peter Imkeller's 60^<th> birthday
- Place of Presentation
  Humboldt Graduate School,ベルリン,ドイツ(招待講演)
- Year and Date
  2011-02-26
- Data Source
  KAKENHI-PROJECT-21340024
[Presentation] Strong uniqueness of diffusions to Gibbs measures on a path space with exponential interactions2011
- Author(s)
  Hiroshi Kawabi
- Organizer
  Stochastic Partial Differential Equations and Related Topics
- Place of Presentation
  陳省身数学研究所, 南開大学 (中国)
- Invited
- Data Source
  KAKENHI-PROJECT-21244009
[Presentation] Density of solutions to stochastic differential equations driven by gamma processes2011
- Author(s)
  A.Takeuchi
- Organizer
  科研費シンポジウム確率論シンポジウム
- Place of Presentation
  関西大学(大阪府)(招待講演)
- Year and Date
  2011-12-17
- Data Source
  KAKENHI-PROJECT-21340024
[Presentation] Short time kernel asymptotics for Young SDE driven by fractional Brownian motion by means of Watanabe distribution theory2011
- Author(s)
  Yuzuru Inahama
- Organizer
  確率解析とその周辺
- Place of Presentation
  佐賀大学
- Data Source
  KAKENHI-PROJECT-21244009
[Presentation] A Malliavin calculus method to study densities of additive functional of SDE's with irregular drifts2011
- Author(s)
  Arturo Kohatsu-Higa
- Organizer
  International Conference on Malliavin Calculus and Stochastic Analysis in Honor of Professor David Nualart
- Place of Presentation
  University of Kansas, USA(招待講演)
- Year and Date
  2011-03-19
- Data Source
  KAKENHI-PROJECT-21340024
[Presentation] Numerical Computation for the Expectation on Diffusion Processes2011
- Author(s)
  KUSUOKA Shigeo
- Organizer
  ICIAM 2011 (International Congres on Industrial and Applied Mathematics)
- Place of Presentation
  バンクーバー(カナダ)(招待講演)
- Year and Date
  2011-07-21
- Data Source
  KAKENHI-PROJECT-21340024
[Presentation] Approximation methods for stochastic differential equations driven by Levy processes2011
- Author(s)
  Arturo Kohatsu-Higa
- Organizer
  Seventh Seminar on Stochastic Analysis, Random Fields and Applications
- Place of Presentation
  Birkhauser Ascona, Switzerland(招待講演)
- Year and Date
  2011-05-25
- Data Source
  KAKENHI-PROJECT-21340024
[Presentation] Numerical Computation for the Expectation on Diffusion Processes2011
- Author(s)
  S. Kusuoka
- Organizer
  ICIAM 2011(International Congres on Industrial
- Place of Presentation
  バンクーバー(カナダ)
- Year and Date
  2011-07-21
- Data Source
  KAKENHI-PROJECT-21340024
[Presentation] Fourier Analysis Applied to Finance2011
- Author(s)
  Jiro Akahori
- Organizer
  INTERNATIONAL CONFERENCE IN MATHEMA TICS AND APPLICATIONS
- Place of Presentation
  Vietnam, HoChiMiNH(招待講演)
- Year and Date
  2011-12-22
- Data Source
  KAKENHI-PROJECT-21340024
[Presentation] Density of solutions to stochastic differential equations driven by gamma processes2011
- Author(s)
  A.Takeuchi
- Organizer
  科研費シンポジウム確率論シンポジウム
- Place of Presentation
  佐賀大学(佐賀県)(招待講演)
- Year and Date
  2011-11-12
- Data Source
  KAKENHI-PROJECT-21340024
[Presentation] Estimates for the error of some simulation schemes for sde’s driven by Levy processes2011
- Author(s)
  A. Kohatsu-Higa
- Organizer
  35th Conference on Stochastic Processes and their Applications
- Place of Presentation
  Oaxaca,Mexico
- Invited
- Data Source
  KAKENHI-PROJECT-20340019
[Presentation] Positivity of densities for solutions to stochastic differential equations driven by gamma processes2011
- Author(s)
  A.Takeuchi
- Organizer
  Stochastic Analysis and its Applications
- Place of Presentation
  新潟大学(新潟県)(招待講演)
- Year and Date
  2011-03-17
- Data Source
  KAKENHI-PROJECT-21340024
[Presentation] Higher-order weak approximation algorithms for SDEs : Some trials on barrier option problem and higher order algorithms2011
- Author(s)
  Syoiti Ninomiya, Shigeo Kusuoka, Mariko Ninomiya
- Organizer
  Stochastic PDEs
- Place of Presentation
  ETH Zurich, Switzerland(招待講演)
- Year and Date
  2011-09-14
- Data Source
  KAKENHI-PROJECT-21340024
[Presentation] Greeks formulas for asset price model with some Levy processes2011
- Author(s)
  A.Takeuchi
- Organizer
  統数研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
  2011-11-10
- Data Source
  KAKENHI-PROJECT-21340024
[Presentation] Precise asymptotics of functional integrals for infinite dimensional Ito-Lyons map of Brownian rough paths2011
- Author(s)
  Hiroshi Kawabi
- Organizer
  The 35th Conference on Stochastic Processes and their Applications
- Place of Presentation
  メキシコ　Oaxaca
- Invited
- Data Source
  KAKENHI-PROJECT-21244009
[Presentation] Density of solutions to stochastic differential equations driven by gamma processes2011
- Author(s)
  A.Takeuchi
- Organizer
  5th International Conference on Stochastic Analysis and its Applications
- Place of Presentation
  ボン大学(ドイツ)(招待講演)
- Year and Date
  2011-09-05
- Data Source
  KAKENHI-PROJECT-21340024
[Presentation] Approximation methods for stochastic differential equations driven by Levy Processes2011
- Author(s)
  A. Kohatsu-Higa
- Organizer
  Seventh Seminar on Stochastic Analysis, Random Fields and Applications
- Place of Presentation
  Ascona, Switzerland
- Invited
- Data Source
  KAKENHI-PROJECT-20340019
[Presentation] Tunneling for spatially cut-off P(φ)_2-Hamiltonians2011
- Author(s)
  Shigeki Aida
- Organizer
  変分問題の展開－確率論と交錯する変分問題ー
- Place of Presentation
  京都大学数理解析研究所
- Invited
- Data Source
  KAKENHI-PROJECT-21244009
[Presentation] Dirichlet spaces on H-convex sets in the Wiener space2011
- Author(s)
  Masanori Hino
- Organizer
  マルコフ過程と関連する話題
- Place of Presentation
  関西大学
- Year and Date
  2011-01-30
- Data Source
  KAKENHI-PROJECT-21244009
[Presentation] Approximations for SDEs driven by Levy processes2011
- Author(s)
  A. Kohatsu-Higa
- Organizer
  Workshop Rough Paths and Numerical Integration Methods
- Place of Presentation
  Marburg(Germany)
- Data Source
  KAKENHI-PROJECT-21340024
[Presentation] Asymptotic estimates of probability minimizing down-side risk and H-J-B equations of ergodic type2011
- Author(s)
  H.Nagai
- Organizer
  Probability one day workshop
- Place of Presentation
  Academia Sinica, Taiwan(招待講演)
- Year and Date
  2011-02-23
- Data Source
  KAKENHI-PROJECT-20340019
[Presentation] Approximations for SDEs driven by Levy processes2011
- Author(s)
  Arturo Kohatsu-Higa
- Organizer
  Workshop Rough Paths and Numerical Integration Methods
- Place of Presentation
  Philipps-Universitat, Marburg(ドイツ)(招待講演)
- Data Source
  KAKENHI-PROJECT-21340024
[Presentation] Estimates for the error of some simulation schemes for sde's driven by Levy processes2011
- Author(s)
  Arturo Kohatsu-Higa
- Organizer
  35th Conference on Stochastic Processes and their Applications
- Place of Presentation
  Oaxaca, Mexico(招待講演)
- Year and Date
  2011-06-19
- Data Source
  KAKENHI-PROJECT-21340024
[Presentation] Dirichlet過程とPoisson-Dirichlet分布について2011
- Author(s)
  Kenji Handa
- Organizer
  官庁統計データの公開における諸問題の研究と他分野への応用
- Place of Presentation
  統計数理研究所
- Invited
- Data Source
  KAKENHI-PROJECT-21244009
[Presentation] Asymptotic estimates of probability minimizing down-side risk and analysis of H-J-B equations of ergodic type2011
- Author(s)
  H.Nagai
- Organizer
  The 2nd NTH conference on Finance and Insurance Mathematics
- Place of Presentation
  Braunschweig, Germany
- Invited
- Data Source
  KAKENHI-PROJECT-20340019
[Presentation] Approximations for SDEs driven by Levy processes2011
- Author(s)
  A. Kohatsu-Higa
- Organizer
  Workshop Rough Paths and Numerical Integration Methods
- Place of Presentation
  Philipps-University,Marburg
- Invited
- Data Source
  KAKENHI-PROJECT-20340019
[Presentation] Asymptotic estimates of Probability minimizing down-side risk and analysis of H-J-B equations of ergodic type2011
- Author(s)
  H. Nagai
- Organizer
  The 2nd NTH conference on Finance and Insurance Mathematics
- Place of Presentation
  Braunschweig, Germany
- Data Source
  KAKENHI-PROJECT-20340019
[Presentation] A Malliavin calculus method to study densities of additive functionals of SDE's with irregular drifts2011
- Author(s)
  A. Kohatsu-Higa
- Organizer
  IMPACT-Workshop in honour of P. Imkeller's 60^<th> birthday
- Place of Presentation
  Berlin(Germany)
- Year and Date
  2011-02-26
- Data Source
  KAKENHI-PROJECT-21340024
[Presentation] Down-side risk minimization under prescribed consumption level2010
- Author(s)
  H. Nagai
- Organizer
  International Research Forum "What can the academic community learn from the global crisis: models, methods and transfer"
- Place of Presentation
  Polytech University, Hong Kong
- Data Source
  KAKENHI-PROJECT-20340019
[Presentation] H-J-B equations with quadratic growth Hamiltonian in stochastic control and mathematical finance2010
- Author(s)
  Hideo Nagai
- Organizer
  Ajou Conference on Control Theory and Financial Engineering in honor of Professor Bensoussan
- Place of Presentation
  Ajou University, Korea(招待講演)
- Year and Date
  2010-07-10
- Data Source
  KAKENHI-PROJECT-21340024
[Presentation] H-J-B equations with quadratic growth Hamiltonian in stochastic control and mathematical finance2010
- Author(s)
  H. Nagai
- Organizer
  Ajou Conference on Control Theory and Financial Engineering in honor of Professor Bensoussan
- Place of Presentation
  Ajou(Korea)
- Data Source
  KAKENHI-PROJECT-21340024
[Presentation] COH formula and Dirichlet Laplacians on small domains of pinned path spaces2010
- Author(s)
  Shigeki Aida
- Organizer
  34th Conference on Stochastic Processes and Their Applications
- Place of Presentation
  千里ライフサイエンスセンタービル
- Year and Date
  2010-09-07
- Data Source
  KAKENHI-PROJECT-21244009
[Presentation] Numerical Computation of Expectation of Diffusion Processes2010
- Author(s)
  Shigeo Kusuoka
- Organizer
  Analysis, Stochastics and Applications A Conference in Honour of Walter Schachermayer
- Place of Presentation
  Vienna University, Austria(招待講演)
- Year and Date
  2010-07-15
- Data Source
  KAKENHI-PROJECT-21340024
[Presentation] Regularities and logarithmic derivatives of densities for SDEs with jumps2010
- Author(s)
  Atsushi TAKEUCHT
- Organizer
  Workshop on Malliavin calculus for jump processes
- Place of Presentation
  Universite Paris-Est Marne-la-Vallee, France(招待講演)
- Year and Date
  2010-11-19
- Data Source
  KAKENHI-PROJECT-21340024
[Presentation] A Malliavin calculus method to study SDE's with irregular drifts2010
- Author(s)
  A.Kohatsu-Higa
- Organizer
  ICM Satellite Conference on Probability and Stochastic Processes
- Place of Presentation
  Indian Statistical Institute, INDIA
- Year and Date
  2010-08-13
- Data Source
  KAKENHI-PROJECT-21244009
[Presentation] A Malliavin Calculus method to study SDE's with irregular drifts2010
- Author(s)
  A.Kohatsu-Higa
- Organizer
  Ajou Conference on Control Theory, Financial Mathematics and Financial Engineering in honour of Alain Bensoussan
- Place of Presentation
  Ajou University, Korea(招待講演)
- Year and Date
  2010-07-14
- Data Source
  KAKENHI-PROJECT-20340019
[Presentation] Laplace-type asymptotics for rough differential equation driven by fractional Brownian motion2010
- Author(s)
  Yuzuru Inahama
- Organizer
  The 34th conference on stochastic processes and their applications
- Place of Presentation
  千里ライフサイエンスセンタービル
- Year and Date
  2010-09-09
- Data Source
  KAKENHI-PROJECT-21244009
[Presentation] Approximations for SDE Driven by Levy Processes2010
- Author(s)
  A.Kohatsu-Higa
- Organizer
  International Workshop on Financial Engineering 2010 KIER-TMU
- Place of Presentation
  秋葉原大ビル、東京(招待講演)
- Year and Date
  2010-08-02
- Data Source
  KAKENHI-PROJECT-20340019
[Presentation] Down-side risk minimization under prescribed consumption level2010
- Author(s)
  Hideo Nagai
- Organizer
  International Research Forum "What can the academic community learn from the global crisis : models, methods and transfer
- Place of Presentation
  The Hong Kong Polytechnic University, China(招待講演)
- Year and Date
  2010-12-15
- Data Source
  KAKENHI-PROJECT-21340024
[Presentation] Strong uniqueness of diffusions to Gibbs measures on a path space with exponential interactions2010
- Author(s)
  Hiroshi Kawabi
- Organizer
  確率解析とその周辺
- Place of Presentation
  岡山大学理学部
- Year and Date
  2010-11-13
- Data Source
  KAKENHI-PROJECT-21244009
[Presentation] Spectral analysis of OFT by functional integration with jump processes2010
- Author(s)
  Fumio Hiroshima
- Organizer
  34th Conference on Stochastic Processes and Their Applications
- Place of Presentation
  千里ライフサイエンスセンタービル
- Year and Date
  2010-09-10
- Data Source
  KAKENHI-PROJECT-21244009
[Presentation] Approximations for SDE Driven by Levy Processes2010
- Author(s)
  Arturo Kohatsu-Higa
- Organizer
  International Workshop on Financial Engineering 2010
- Place of Presentation
  東京都・大手町サンケイプラザ(招待講演)
- Year and Date
  2010-08-02
- Data Source
  KAKENHI-PROJECT-21340024
[Presentation] Robust estimates of certain large deviation probabilities for controlled semi-martingales2010
- Author(s)
  H. Nagai
- Organizer
  Workshop on Stochastic Processes and Applications, NCTS
- Place of Presentation
  National Tsing Hua University, Taiwan
- Data Source
  KAKENHI-PROJECT-20340019
[Presentation] Absolute continuity of multidimensional infinitely divisible distributions and applications2010
- Author(s)
  Makoto Yamazato
- Organizer
  Workshop & spring school on stochastic calculus and Applicaiotns
- Place of Presentation
  Institute of Mathematics, Academia Sinica, Taiwan(招待講演)
- Year and Date
  2010-04-15
- Data Source
  KAKENHI-PROJECT-21340024
[Presentation] Vanishing of one dimensional L^2-cohomologies of loop groups2010
- Author(s)
  Shigeki Aida
- Organizer
  確率論と幾何学
- Place of Presentation
  東北大学
- Year and Date
  2010-08-27
- Data Source
  KAKENHI-PROJECT-21244009
[Presentation] Martingale dimensions for self-similar fractals2010
- Author(s)
  Masanori, Hino
- Organizer
  34th Conference on Stochastic Processes and Their Applications
- Place of Presentation
  大阪
- Year and Date
  2010-09-10
- Data Source
  KAKENHI-PROJECT-21244009
[Presentation] Regularity of the diffusion semigroup with Dirichlet boundary condition2010
- Author(s)
  Shigeo Kusuoka
- Organizer
  SPA OSAKA 2010 34th Conference on Stochastic Processes and Their Applications
- Place of Presentation
  Osaka, JAPAN(招待講演)
- Year and Date
  2010-09-06
- Data Source
  KAKENHI-PROJECT-21340024
[Presentation] Non-contraction of heat flow on Minkowski spaces2010
- Author(s)
  Shin-ichi Ohta
- Organizer
  ERC Workshop on Optimal Transportation and Applications
- Place of Presentation
  Centro De Giorgi, Pisa, ITALY
- Year and Date
  2010-10-12
- Data Source
  KAKENHI-PROJECT-21244009
[Presentation] Higher order Monte Carlo Schemes for SDE's2010
- Author(s)
  Arturo Kohatsu-Higa
- Organizer
  Workshop on Statistis and Mathematical Finance
- Place of Presentation
  Lima, Peru
- Year and Date
  2010-02-05
- Data Source
  KAKENHI-PROJECT-21340024
[Presentation] A Malliavin calculus method to study SDE's with irregular drifts2010
- Author(s)
  A.Kohatsu-Higa
- Organizer
  ICM Satellite Conference on Probability and Stochastic Processes
- Place of Presentation
  Indian Statistical Institute, Bangalore, India
- Year and Date
  2010-08-13
- Data Source
  KAKENHI-PROJECT-20340019
[Presentation] A Malliavin Calculus method to study SDE's with irregular drifts2010
- Author(s)
  Arturo Kohatsu-Higa
- Organizer
  Ajou Conference on Control Theory, Financial Mathematics and Financial Engineering in honour of Alain Bensoussan
- Place of Presentation
  Ajou University, Korea(招待講演)
- Year and Date
  2010-07-14
- Data Source
  KAKENHI-PROJECT-21340024
[Presentation] Absolute continuity of multidimensional infinitely divisible distributions and applications2010
- Author(s)
  M. Yamazato
- Organizer
  Workshop & spring school on stochastic calculus and applicaiotns
- Place of Presentation
  Sinica(Taiwan)
- Year and Date
  2010-04-15
- Data Source
  KAKENHI-PROJECT-21340024
[Presentation] Malliavin Calculus for a sde with non-smooth drift2010
- Author(s)
  Arturo Kohatsu-Higa
- Organizer
  The Chinese University of Hong Kong Department of System Engineering and Engineering Management Seminar Series
- Place of Presentation
  The China University of Hong Kong, China(招待講演)
- Year and Date
  2010-12-29
- Data Source
  KAKENHI-PROJECT-21340024
[Presentation] Testing for jumps in Japanese stock market under the financial crisis through high-frequency data2010
- Author(s)
  Yoshiaki Barada, Yusuke Kubo, Kazuhiro Yasuda
- Organizer
  The 42nd ISCIE International Symposium on Stochastic Systems Theory and Its Applications
- Place of Presentation
  岡山理科大学・40周年記念館(招待講演)
- Year and Date
  2010-11-26
- Data Source
  KAKENHI-PROJECT-21340024
[Presentation] A Malliavin calculus method to study SDE's with irregular drifts2010
- Author(s)
  A.Kohatsu-Higa
- Organizer
  IGM Satellite Conference on Probability and Stochastic Processes
- Place of Presentation
  Indian Statistical Institute, Bangalore, India(招待講演)
- Year and Date
  2010-08-13
- Data Source
  KAKENHI-PROJECT-20340019
[Presentation] A Malliavin calculus method to study SDE's with irregular drifts2010
- Author(s)
  Arturo Kohatsu-Higa
- Organizer
  ICM Satellite Conference on Probability and Stochastic Processes
- Place of Presentation
  Indian Statistical Institute, Bangaloren, India(招待講演)
- Year and Date
  2010-08-13
- Data Source
  KAKENHI-PROJECT-21340024
[Presentation] 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2010
- Author(s)
  Yoshiaki Barada, Yusuke Kubo, Kazuhiro Yasuda
- Organizer
  ファイナシスの数理解析とその応用
- Place of Presentation
  京都大学・数理解析研究所(招待講演)
- Year and Date
  2010-11-25
- Data Source
  KAKENHI-PROJECT-21340024
[Presentation] Martingale dimensions for self-similar fractals2010
- Author(s)
  Masanori Hino
- Organizer
  34th Conference on Stochastic Processes and Their Applications
- Place of Presentation
  千里ライフサイエンスセンタービル
- Year and Date
  2010-09-10
- Data Source
  KAKENHI-PROJECT-21244009
[Presentation] On an extension of an algorithm of higher-order weak approximation to SDEs (with Mariko Ninomiya)2010
- Author(s)
  Syoiti Ninomiya
- Organizer
  Workshop on numerical methods for solving the filtering problem and high order methods for solving parabolic PDEs
- Place of Presentation
  Imperial College, London, UK(招待講演)
- Year and Date
  2010-09-29
- Data Source
  KAKENHI-PROJECT-21340024
[Presentation] On an extension of an algorithm of higher-order weak approximation to SDEs (with Mariko Ninomiya)2010
- Author(s)
  Syoiti Ninomiya
- Organizer
  CREST and Sakigake International Symposium : Asymptotic Statistics, Risk and Computation in Finance and Insurance
- Place of Presentation
  Tokyo Institute of Technology Tokyo(招待講演)
- Year and Date
  2010-12-15
- Data Source
  KAKENHI-PROJECT-21340024
[Presentation] Volatility estimations under the financial crisis in the Japanese market and testing for jumps2010
- Author(s)
  K.Aoki, Y.Barada, M.Tamura, Kazuhiro Yasuda
- Organizer
  The 42nd ISCIE International Symposium on Stochastic Systems Theory and Its Applications
- Place of Presentation
  岡山理科大学・40周年記念館(招待講演)
- Year and Date
  2010-11-26
- Data Source
  KAKENHI-PROJECT-21340024
[Presentation] Down-side risk minimization under prescribed consumption level2010
- Author(s)
  H.Nagai
- Organizer
  International Research Forum "What can the academic community learn from the global crisis : models, methods and transfer"
- Place of Presentation
  Polytech University, Hong Kong, China(招待講演)
- Year and Date
  2010-12-15
- Data Source
  KAKENHI-PROJECT-20340019
[Presentation] On Dirichlet operators of exp(φ)_1-quantum fields in infinite volume2010
- Author(s)
  Hiroshi Kawabi
- Organizer
  First CIRM-HCM Joint Meeting : Stochastic Analysis, SPDEs, Particle Systems, Optimal Transport
- Place of Presentation
  Levico Terme(イタリア)
- Year and Date
  2010-01-26
- Data Source
  KAKENHI-PROJECT-21244009
[Presentation] Ricci curvature and optimal transport2010
- Author(s)
  Shin-ichi Ohta
- Organizer
  Oberseminar Differentialgeometrie
- Place of Presentation
  Munster, GERMANY
- Year and Date
  2010-07-19
- Data Source
  KAKENHI-PROJECT-21244009
[Presentation] H-J-B equations with quadratic Hamiltonian in stochastic control and mathematical finence2010
- Author(s)
  H. Nagai
- Organizer
  Ajou Conference on Control Therory and Financial Engineering in honor of Professor Bensoussan
- Place of Presentation
  Ajou Univ., Korea
- Data Source
  KAKENHI-PROJECT-20340019
[Presentation] Sensitivity and hypoellipticity for jump processes2010
- Author(s)
  Atsushi TAKEUCHI
- Organizer
  34th Stochastic Processes and their Applications
- Place of Presentation
  大阪・千里ライフサイエシスセンター
- Year and Date
  2010-09-07
- Data Source
  KAKENHI-PROJECT-21340024
[Presentation] Recent results on Greek estimation for financial quantities2010
- Author(s)
  Arturo Kohatsu-Higa
- Organizer
  ICC Workshop on IT Convergence
- Place of Presentation
  Seoul, Korea
- Year and Date
  2010-02-18
- Data Source
  KAKENHI-PROJECT-21340024
[Presentation] Shot Noise Series Representation of Infinitely Divisible Random Vectors and Monte Carlo Simulation2010
- Author(s)
  Rei-ichiro KAWAI
- Organizer
  Ninth International Conference on Monte Carlo and Quasi-Monte Carlo Methods in Scientific Computing (MCQMC 2010)
- Place of Presentation
  Warsaw, Poland(招待講演)
- Year and Date
  2010-08-18
- Data Source
  KAKENHI-PROJECT-21340024
[Presentation] H-J-B equations with quadratic Hamiltonian in stochastic control and mathematical finance2010
- Author(s)
  H.Nagai
- Organizer
  Ajou Conference on Control Theory and Financial Engineering in honor of Professor Bensoussan
- Place of Presentation
  Ajou University, Korea(招待講演)
- Year and Date
  2010-07-08
- Data Source
  KAKENHI-PROJECT-20340019
[Presentation] Martingale dimensions and derivatives for some fractals2010
- Author(s)
  Masanori Hino
- Organizer
  Conference in Memory of Paul Malliavin
- Place of Presentation
  Universite de Bourgogne, FRANCE
- Year and Date
  2010-10-04
- Data Source
  KAKENHI-PROJECT-21244009
[Presentation] COH formula and Dirichlet Laplacians on small domains of pinned path spaces2010
- Author(s)
  Shigeki Aida
- Organizer
  34^<th> conference of SPA
- Place of Presentation
  大阪
- Year and Date
  2010-09-07
- Data Source
  KAKENHI-PROJECT-21244009
[Presentation] Precise asymptotics for infinite dimensional Ito-Lyons maps of Brownian rough paths2010
- Author(s)
  Hiroshi Kawabi
- Organizer
  Rough Paths, SPDEs and Related Topics
- Place of Presentation
  University of Cambridge, UK
- Year and Date
  2010-04-06
- Data Source
  KAKENHI-PROJECT-21244009
[Presentation] Laplace-type asymptotics for rough differential equation driven by fractional Brownian motion2010
- Author(s)
  Yuzuru Inahama
- Organizer
  ICM satellite conference on probability and stochastic processes
- Place of Presentation
  Indian Institute of Statistics, INDIA
- Year and Date
  2010-08-16
- Data Source
  KAKENHI-PROJECT-21244009
[Presentation] Approximation of expectation of diffusion processes2010
- Author(s)
  Shigeo Kusuoka
- Organizer
  CREST and Sakigake International Symposium : Asymptotic Statistics, Risk and Computation in Finance and Insurance
- Place of Presentation
  Tokyo Institute of Technology Tokyo(招待講演)
- Year and Date
  2010-12-15
- Data Source
  KAKENHI-PROJECT-21340024
[Presentation] Displacement convexity of generalized relative entropies2010
- Author(s)
  Shin-ichi Ohta
- Organizer
  34th Conference on Stochastic Processes and Their Applications
- Place of Presentation
  千里ライフサイエンスセンタービル
- Year and Date
  2010-09-10
- Data Source
  KAKENHI-PROJECT-21244009
[Presentation] Vanishing of one dimensional L^2-cohomologies of loop groups2010
- Author(s)
  Shigeki Aida
- Organizer
  4-th international conference on Stochastic Analysis and its Applications
- Place of Presentation
  関西大学
- Year and Date
  2010-08-31
- Data Source
  KAKENHI-PROJECT-21244009
[Presentation] Numerical Methods for SDE's driven by Levy processes (Part 1 and Part 2)2010
- Author(s)
  Arturo Kohatsu-Higa
- Organizer
  Financial Mathematics Seminar : Simulation of Levy Driven Stochastic Differential Equations
- Place of Presentation
  Sydney University、Australia(招待講演)
- Data Source
  KAKENHI-PROJECT-21340024
[Presentation] Vanishing of one dimensional L^2-cohomologies of loop groups2009
- Author(s)
  Shigeki Aida
- Organizer
  33rd Conference on Stochastic Processes and Their Applications
- Place of Presentation
  ベルリン工科大(ドイツ)
- Year and Date
  2009-07-30
- Data Source
  KAKENHI-PROJECT-21244009
[Presentation] 確率微分方程式の新しい弱近似法 : 楠岡近似とそれを実現するアルゴリズム2009
- Author(s)
  S. Ninomiya
- Organizer
  東京大学計算による数理科学の展開2009 (研究集会)
- Place of Presentation
  神戸大学理学部
- Data Source
  KAKENHI-PROJECT-18340029
[Presentation] Semi-classical limit of $P(\phi)_2$-Hamiltonian2009
- Author(s)
  Shigeki Aida
- Organizer
  保存則と幾何学的偏微分方程式とその応用
- Place of Presentation
  京大会館(招待講演)
- Year and Date
  2009-06-12
- Data Source
  KAKENHI-PROJECT-21340024
[Presentation] A Heat Kerneal Approach to Interest Rate Models2009
- Author(s)
  Jiro Akahori
- Organizer
  Congress : Stochastic Analysis for and from Finance(SAFFF)
- Place of Presentation
  京都リサーチパーク
- Year and Date
  2009-08-05
- Data Source
  KAKENHI-PROJECT-21340024
[Presentation] エルゴード的確率制御から大偏差確率制御へ2009
- Author(s)
  H. Nagai
- Organizer
  -数理ファイナンスに現われる時間大域的問題を巡って-日本数学会年会,総合講演
- Place of Presentation
  東京大学
- Year and Date
  2009-03-27
- Data Source
  KAKENHI-PROJECT-18340029
[Presentation] Spectral gap for multi-species exclusion processes2009
- Author(s)
  Yukio Nagahata
- Organizer
  VIIIth workshop on Stochastic Analysis on Large Scale Interacting Systems
- Place of Presentation
  東京大学
- Year and Date
  2009-10-09
- Data Source
  KAKENHI-PROJECT-21244009
[Presentation] Log-Sobolev inequalities and semi-classical limit of $P(\phi))2$-Hamiltonians2009
- Author(s)
  Shigeki Aida
- Organizer
  International workshop on :" Concentration, funtionalinequalities and isoperimetry"
- Place of Presentation
  Florida Atlantic University, Boca Raton, Florida(USA)
- Year and Date
  2009-10-31
- Data Source
  KAKENHI-PROJECT-21340024
[Presentation] Risk Measures in Finance2009
- Author(s)
  A. Kohatsu-Higa
- Organizer
  Annual Meeting of the Spanish Society for Statistics and Operations Research
- Place of Presentation
  Murcia. Spain
- Year and Date
  2009-02-12
- Data Source
  KAKENHI-PROJECT-18340029
[Presentation] Semi-classical limit of P(φ)_2-Hamiltonian2009
- Author(s)
  Shigeki Aida
- Organizer
  保存則と幾何学的偏微分方程式とその応用
- Place of Presentation
  京大会館
- Year and Date
  2009-06-12
- Data Source
  KAKENHI-PROJECT-21244009
[Presentation] Down-side risk minimization as large deviation control2009
- Author(s)
  H.Nagai
- Organizer
  1st PRIMA Congress
- Place of Presentation
  Univ. New South Wales, Sydney, Australia
- Year and Date
  2009-07-06
- Data Source
  KAKENHI-PROJECT-20340019
[Presentation] Non-symmetric Diffusion on a Riemannian manifold2009
- Author(s)
  Ichiro Shigekawa
- Organizer
  33rd Conference on Stochastic Processes and Their Applications
- Place of Presentation
  TU Berlin, Berlin (GERMANY)
- Year and Date
  2009-07-31
- Data Source
  KAKENHI-PROJECT-21244009
[Presentation] Vanishing of one dimensional $L^2$-cohomologies of loop groups2009
- Author(s)
  Shigeki Aida
- Organizer
  確率解析とその周辺
- Place of Presentation
  東北大学川井ホール
- Year and Date
  2009-11-06
- Data Source
  KAKENHI-PROJECT-21340024
[Presentation] Approximations for SDE's drieven by Levy processes2009
- Author(s)
  A.Kohatsu-Higa
- Organizer
  Third Conference on Numerical Methods in Finance
- Place of Presentation
  ENPC, Paris (France)
- Year and Date
  2009-04-15
- Data Source
  KAKENHI-PROJECT-21244009
[Presentation] Vanishing of one dimensional L^2-cohomologies of loop groups2009
- Author(s)
  Shigeki Aida
- Organizer
  確率解析とその周辺
- Place of Presentation
  東北大学
- Year and Date
  2009-11-06
- Data Source
  KAKENHI-PROJECT-21244009
[Presentation] Rough path analysis for an infinite dimensional diffusion2009
- Author(s)
  Yuzuru Inahama
- Organizer
  The first IMS-APRM (Institute of Mathematical Statistics, Asia-Pacific Rim Meeting)
- Place of Presentation
  Seoul University(韓国)
- Year and Date
  2009-06-29
- Data Source
  KAKENHI-PROJECT-21244009
[Presentation] Gaussian K-scheme2009
- Author(s)
  Shigeo Kusuoka
- Organizer
  Workshop : Computational Finance
- Place of Presentation
  Kyoto Univ.
- Year and Date
  2009-08-10
- Data Source
  KAKENHI-PROJECT-21340024
[Presentation] 移入を伴う分枝過程の定常分布について2009
- Author(s)
  Kenji Handa
- Organizer
  確率解析の理論と応用-さよなら箱崎
- Place of Presentation
  九州大学
- Year and Date
  2009-07-25
- Data Source
  KAKENHI-PROJECT-21244009
[Presentation] Approximations for SDE's driven by Levy processes2009
- Author(s)
  A.Kohatsu-Higa
- Organizer
  Third Conference on Numerical Methods in Finance
- Place of Presentation
  Paris, France
- Year and Date
  2009-04-15
- Data Source
  KAKENHI-PROJECT-20340019
[Presentation] Approximations for SDE's driven by Levy processes2009
- Author(s)
  A.Kohatsu-Higa
- Organizer
  Third Conference on Numerical Methods in Finance
- Place of Presentation
  ENPC, Paris, France
- Year and Date
  2009-04-15
- Data Source
  KAKENHI-PROJECT-20340019
[Presentation] Recent Developments on Financial Greeks Computation for Models with Pure-Jump L´evy Processes2009
- Author(s)
  Reichiiro Kawai
- Organizer
  Third Conference on Numerical Methods in Finance
- Place of Presentation
  Ecole des Ponts ParisTech, Paris, France
- Year and Date
  2009-04-16
- Data Source
  KAKENHI-PROJECT-21340024
[Presentation] Risk-sensitive control, large deviation control and down-side risk minimization2009
- Author(s)
  Nagai
- Organizer
  Mathmetical finance and related topics related to economics and engineering
- Place of Presentation
  Kansai Seminar House, Kyoto
- Year and Date
  2009-08-13
- Data Source
  KAKENHI-PROJECT-20340019
[Presentation] Risk measures in Finance. Plenary Speaker2009
- Author(s)
  A. Kohatsu-Higa
- Organizer
  Annual Meeting of the Spanish Statistic and Operation Research Society
- Place of Presentation
  Murcia, Spain
- Year and Date
  2009-02-12
- Data Source
  KAKENHI-PROJECT-18340029
[Presentation] Down-side risk minimization as large deviation control2009
- Author(s)
  H.Nagai
- Organizer
  1st PRIMA Congress" July 6, 2009 Univ. New South Wales
- Place of Presentation
  Sydney, Australia
- Year and Date
  2009-07-06
- Data Source
  KAKENHI-PROJECT-20340019
[Presentation] Semi-classical limit of the lowest eigenvalue of $P(\phi)_2$ Hamiltonian on a finite interval2009
- Author(s)
  Shigeki Aida
- Organizer
  数学的場の量子論とくりこみ理論
- Place of Presentation
  九州大学西新プラザ
- Year and Date
  2009-11-28
- Data Source
  KAKENHI-PROJECT-21340024
[Presentation] Vanishing of one dimensional L^2-cohomologies of loop groups2009
- Author(s)
  Shigeki Aida
- Organizer
  確率論シンポジウム
- Place of Presentation
  愛媛大学
- Year and Date
  2009-12-15
- Data Source
  KAKENHI-PROJECT-21244009
[Presentation] Ricci curvature, entropy and optimal transport2009
- Author(s)
  Shin-ichi Ohta
- Organizer
  Optimal Transportation: Theory and Applications
- Place of Presentation
  Universite Joseph Fourier, Grenoble, FRANCE
- Data Source
  KAKENHI-PROJECT-21244009
[Presentation] Vanishing of one dimensional $L^2$-cohomologies of loop groups2009
- Author(s)
  Shigeki Aida
- Organizer
  確率論シンポジウム
- Place of Presentation
  愛媛大学
- Year and Date
  2009-12-15
- Data Source
  KAKENHI-PROJECT-21340024
[Presentation] Ricci curvature, entropy and optimal transport2009
- Author(s)
  Shin-ichi Ohta
- Organizer
  Optimal Transportation : Theory and Applications
- Place of Presentation
  Universite Joseph Fourier, Grenoble (France)
- Data Source
  KAKENHI-PROJECT-21244009
[Presentation] Log-Sobolev inequalities and semi-classical limit of P(φ)_2-Hamiltonians2009
- Author(s)
  Shigeki Aida
- Organizer
  国際研究集会Concentration, functional inequalities And isoperimetry
- Place of Presentation
  Florida, USA
- Year and Date
  2009-10-31
- Data Source
  KAKENHI-PROJECT-21244009
[Presentation] 新古典不等式について2009
- Author(s)
  Masanori Hino
- Organizer
  マルコフ過程と確率解析
- Place of Presentation
  岡山大学
- Year and Date
  2009-10-11
- Data Source
  KAKENHI-PROJECT-21244009
[Presentation] Rough path analysis for an infinite dimensional diffusion2009
- Author(s)
  Yuzuru Inahama
- Organizer
  The first Institute of Mathematical Statistics, Asia-Pacific Rim Meeting
- Place of Presentation
  Seoul University, SOUTH KOREA
- Year and Date
  2009-06-29
- Data Source
  KAKENHI-PROJECT-21244009
[Presentation] Non-symmetric Diffusion on a Riemannian manifold2009
- Author(s)
  Ichiro Shigekawa
- Organizer
  33rd Conference on Stochastic Processes and Their Applications
- Place of Presentation
  Berlin, GERMANY.
- Year and Date
  2009-07-31
- Data Source
  KAKENHI-PROJECT-21244009
[Presentation] Vanishing of one dimensional $L^2$-cohomologies of loop groups2009
- Author(s)
  Shigeki Aida
- Organizer
  33rd Conference on Stochastic Processes and Their Applications
- Place of Presentation
  Berlin, Germany
- Year and Date
  2009-07-30
- Data Source
  KAKENHI-PROJECT-21340024
[Presentation] Approximations for SDE's driven by Levy processes2009
- Author(s)
  Arturo Kohatsu-Higa
- Organizer
  Plenary Speaker. Thire Conference on Numerical Methods in Finance
- Place of Presentation
  ENPC, Paris, France
- Year and Date
  2009-04-15
- Data Source
  KAKENHI-PROJECT-21340024
[Presentation] Risk-sensitive control, large deviation control and down-side risk minimization2009
- Author(s)
  H.Nagai
- Organizer
  Mathematical finance and related topics related to economics and engineering
- Place of Presentation
  Kyoto seminar House, Japan
- Year and Date
  2009-08-13
- Data Source
  KAKENHI-PROJECT-20340019
[Presentation] Insiders as large traders2009
- Author(s)
  A. Kohatsu-Higa
- Organizer
  Mathematical Finance and Related Fields (local workshop) at Kyushu University
- Data Source
  KAKENHI-PROJECT-18340029
[Presentation] Vanishing of one dimensional L^2 cohomologies of loop groups2009
- Author(s)
  Shigeki Aida
- Organizer
  33rd conference of SPA
- Place of Presentation
  Berlin, GERMANY
- Year and Date
  2009-07-30
- Data Source
  KAKENHI-PROJECT-21244009
[Presentation] Semi-classical limit of the lowest eigenvalue of P(φ)_2 Hamiltonian on a finite interval2009
- Author(s)
  Shigeki Aida
- Organizer
  数学的場の量子論とくりこみ理論
- Place of Presentation
  九州大学西新プラザ
- Year and Date
  2009-11-28
- Data Source
  KAKENHI-PROJECT-21244009
[Presentation] エルゴート的確率制御から大偏差確率制御へ-数理ファイナンスに現われる時間大域的問題を巡って-2009
- Author(s)
  H. Nagai
- Organizer
  日本数学会年会総合講演
- Place of Presentation
  東京大学
- Year and Date
  2009-03-27
- Data Source
  KAKENHI-PROJECT-18340029
[Presentation] Down-side risk minimization as large deviation control2009
- Author(s)
  H. Nagai
- Organizer
  金融工学教育国際会議
- Place of Presentation
  Hitotsubashi Univ., Tokyo, Japan
- Year and Date
  2009-01-06
- Data Source
  KAKENHI-PROJECT-18340029
[Presentation] Insiders as large traders.2009
- Author(s)
  A. Kohatsu-Higa
- Organizer
  数理ファイナンスとその周辺
- Place of Presentation
  九州大学
- Data Source
  KAKENHI-PROJECT-18340029
[Presentation] Action of affine Lie algebras on Wiener Functional2009
- Author(s)
  Jiro Akahori
- Organizer
  Workshop : Computational Finance
- Place of Presentation
  Kyoto Univ.
- Year and Date
  2009-08-11
- Data Source
  KAKENHI-PROJECT-21340024
[Presentation] Log-Sobolev inequalities and semi-classical limit of P(φ)_2-Hamiltonians2009
- Author(s)
  Shigeki Aida
- Organizer
  International workshop on : "Concentration, functional inequalities and isoperimtry"
- Place of Presentation
  Florida Atlantic University, Boca Raton, Florida (USA)
- Year and Date
  2009-10-31
- Data Source
  KAKENHI-PROJECT-21244009
[Presentation] Approximations for SDE's driven by Levy processes2009
- Author(s)
  Arturo Kohatsu-Higa
- Organizer
  Stochastic Analysis for and from Finance
- Place of Presentation
  京都リサーチパーク
- Year and Date
  2009-08-05
- Data Source
  KAKENHI-PROJECT-21340024
[Presentation] A rough path as a simple object and the problems, I and II2009
- Author(s)
  Keisuke Hara
- Organizer
  確率解析とその周辺
- Place of Presentation
  東北大学
- Year and Date
  2009-11-05
- Data Source
  KAKENHI-PROJECT-21244009
[Presentation] 楠岡近似のアルゴリズムについて2008
- Author(s)
  S. Ninomiya
- Organizer
  ファイナンスのための数理ワークショップ
- Place of Presentation
  早稲田大学理工学部
- Year and Date
  2008-04-04
- Data Source
  KAKENHI-PROJECT-18340029
[Presentation] Minimizing a down-side risk probability and H-J-B equations of risk-sensitive asset allocation2008
- Author(s)
  H. Nagai
- Organizer
  非線形偏微分方程式とその応用
- Place of Presentation
  神戸大学海事科学研究科
- Data Source
  KAKENHI-PROJECT-18340029
[Presentation] Estimating multidimensional density functions using the Malliavin-Thalmaier formula. Applications in Finance2008
- Author(s)
  A. Kohatsu-Higa
- Organizer
  Invited Session“Modelling the financial markets". World Congress of the International Association of statistical Computing
- Place of Presentation
  Pacifico Yokohama
- Data Source
  KAKENHI-PROJECT-18340029
[Presentation] Estimating multidimensional density functions using the Malliavin-Thalmaier formula. Applications in Finance2008
- Author(s)
  A. Kohatsu-Higa
- Organizer
  Thematic Days
- Place of Presentation
  Centre de Recerca Matematica. Barcelona
- Year and Date
  2008-06-25
- Data Source
  KAKENHI-PROJECT-18340029
[Presentation] On a $J_1$ convergence theorem for stochastic processes on $D[0, \infty)$ having monotone sample paths and its applications.2008
- Author(s)
  M. Yamazato
- Organizer
  The 8-th Workshop on stochastic Numerics. RIMS
- Place of Presentation
  京都
- Year and Date
  2008-06-27
- Data Source
  KAKENHI-PROJECT-18340029
[Presentation] Kusuoka Scheme : A new weak approximation methods of diffusion processes2008
- Author(s)
  S. Ninomiya
- Organizer
  大阪大学金融保険教育研究センター主催中之島ワークショップ「金融工学・数理計量ファイナンスの諸問題 2008」
- Place of Presentation
  大阪大学中之島センター
- Data Source
  KAKENHI-PROJECT-18340029
[Presentation] Minimizing a down-side risk probability and risk-sensitive asset allocation under partial information2008
- Author(s)
  Hideo, NAGAI
- Organizer
  Ajou-KAIST-POSTECH International Conference in Finance and Mathematics
- Place of Presentation
  Ajou University and POSTECH, Korea
- Description
  「研究成果報告書概要(欧文)」より
- Data Source
  KAKENHI-PROJECT-16340025
[Presentation] A semigroup approach for weak approximations with an application to infinite activity Levy driven SDEs2008
- Author(s)
  A. Kohatsu-Higa
- Organizer
  Workshop on Numerics and Stochastics
- Place of Presentation
  Helsinki Universi ty of Technology
- Data Source
  KAKENHI-PROJECT-20340019
[Presentation] Weak Back equlibrium. Insider models for the max and arg max.2008
- Author(s)
  A. Kohatsu-Higa
- Organizer
  Hitotsubashi University. Finance Seminar
- Place of Presentation
  東京
- Year and Date
  2008-05-29
- Data Source
  KAKENHI-PROJECT-18340029
[Presentation] Asymptotics of the probability minimizing a downside risk and risk-sensitive dynamic asset allocation under partial information2008
- Author(s)
  H. Nagai
- Organizer
  The fifth Colloquium on BSDEs and Finance
- Place of Presentation
  Le Mans
- Data Source
  KAKENHI-PROJECT-18340029
[Presentation] Large deviation control arising from optimal investment2008
- Author(s)
  H.Nagai
- Organizer
  Plenary talk at Conference on quantitative methods in finance
- Place of Presentation
  Sydney, Australia
- Year and Date
  2008-12-18
- Data Source
  KAKENHI-PROJECT-20340019
[Presentation] German-Japanese symposium,Stochastic analysis and applications2008
- Author(s)
  S. Aida
- Organizer
  Semi-classical limit of $P(\phi)_2$-Hamiltonians
- Place of Presentation
  Nishijin plaza, Fukuoka, Kyushu, Japan
- Data Source
  KAKENHI-PROJECT-18340029
[Presentation] A semigroup approach for weak approximations with an application to infinite activity Levy driven SDEs2008
- Author(s)
  A. Kohatsu-Higa
- Organizer
  Workshop on Computational Methods with Applications in Finance, Insurance and the Life Sciences AND Stochastic Methods in Partial Differential Equations and Applications of Deterministic and Stochastic PDEs. Johann Radon Institute for Computational and Applied Mathematics (RICAM)
- Place of Presentation
  Linz. Austria
- Data Source
  KAKENHI-PROJECT-18340029
[Presentation] Asymptotics of probability minimizing down-side risk and risk-sensitive dynamic asset allocation2008
- Author(s)
  H. Nagai
- Organizer
  数理経済学シンポジウム
- Place of Presentation
  京大会館
- Data Source
  KAKENHI-PROJECT-18340029
[Presentation] Minimizing a down-side risk probability and risk-sensitive asset allocation under partial information2008
- Author(s)
  Hideo NAGAI
- Organizer
  Ajou-KAIST-POSTECH International Conference in Finance and Mathematics,
- Place of Presentation
  Ajou University, Korea
- Description
  「研究成果報告書概要(和文)」より
- Data Source
  KAKENHI-PROJECT-16340025
[Presentation] Asymptotics of the probability minimizing a downside risk and risk-sensitive dynamic asset allocation under partial information2008
- Author(s)
  H.Nagai
- Organizer
  The fifth Colloquium on BSDEs and Finance,and Applications
- Place of Presentation
  Le Mans, France
- Year and Date
  2008-06-19
- Data Source
  KAKENHI-PROJECT-20340019
[Presentation] Some attempts to the real-time estimation of the volatility2008
- Author(s)
  S. Ogawa
- Organizer
  Invited Lecture at Intern.Conference CAPS2008
- Place of Presentation
  held at Press Center in Hanoi
- Year and Date
  2008-12-02
- Data Source
  KAKENHI-PROJECT-18340029
[Presentation] Asymptotics of the probability minimizing a downside risk andrisk-sensi tive dynamic asset allocation under partial information2008
- Author(s)
  Hideo NAGAI
- Organizer
  The fifth Colloquium on BSDEs and Finance, and Applications
- Place of Presentation
  Le Mans, France
- Year and Date
  2008-06-19
- Data Source
  KAKENHI-PROJECT-20340019
[Presentation] On a $J_1$ convergence theorem for stochastic processes on $D[0,\infty)$ having monotone sample paths and its applications2008
- Author(s)
  M. Yamazato
- Organizer
  The 8-th Workshop on Stochastic Numerics
- Place of Presentation
  RIMS Kyoto, Japan
- Data Source
  KAKENHI-PROJECT-18340029
[Presentation] On a J_1 convergence theorem for stochastic processes on D [0, ∞) having monotone sample paths and its applications2008
- Author(s)
  Makoto Yamazato
- Organizer
  The 8-th Workshop on stochastic Numerics
- Place of Presentation
  京都大学数理解析研究所
- Year and Date
  2008-07-08
- Data Source
  KAKENHI-PROJECT-18540133
[Presentation] Large deviation control arising from optimal investment2008
- Author(s)
  H.Nagai
- Organizer
  Conference on quantitative methods in finance
- Place of Presentation
  Sydney, Australia
- Year and Date
  2008-12-18
- Data Source
  KAKENHI-PROJECT-20340019
[Presentation] Estimating multidimensional density functions using the Malliavin-Thalmaier formula2008
- Author(s)
  A. Kohatsu-Higa
- Organizer
  Applications in Finance, Thematic Days, Centre de Recerca Matematica
- Place of Presentation
  Barcelona
- Year and Date
  2008-06-25
- Data Source
  KAKENHI-PROJECT-18340029
[Presentation] Minimizing a down-side risk probability and risk-sensitive asset allocation under partial information2008
- Author(s)
  H. Nagai
- Organizer
  Ajou-KAIST-POSTECH International Conference in Finance and Mathematics
- Place of Presentation
  Ajou University and POSTECH, Korea
- Data Source
  KAKENHI-PROJECT-18340029
[Presentation] A semigroup approach for weak approximations with an application to infinite activity Levy driven SDEs2008
- Author(s)
  A. Kohatsu-Higa
- Organizer
  Workshop on Computational Methods with Applications in Finance Insurance and the Life Sciences AND Stochastic Methods in Partial Differential Equations and Applications of Deterministic and Stochastic PDEs
- Place of Presentation
  Johann Radon Institute for Computational and Applied Mathema tics (RICAM). Linz. Austria
- Data Source
  KAKENHI-PROJECT-18340029
[Presentation] Asymptotics of the probability minimizing a downside risk and risk-sensitive dynamic asset allocation under partial information2008
- Author(s)
  H. Nagai
- Organizer
  The fifth Colloquium on BSDEs and Finance
- Place of Presentation
  Le Mans, France
- Data Source
  KAKENHI-PROJECT-18340029
[Presentation] 場の理論に動機づけを持つ数学(無限次元確率解析・解析学)の諸問題(佐賀大学, 23日発表)2008
- Author(s)
  S. Aida
- Organizer
  Semiclassical limit of the lowest eigenvalue of $P(\phi)_2$ Hamiltonian on finite volume
- Data Source
  KAKENHI-PROJECT-18340029
[Presentation] Higa. Weak Kyle-Back models for the max and argmax2008
- Author(s)
  A. Kohatsu-Higa
- Organizer
  Third General Amamef Conference
- Place of Presentation
  Pitesti. Romania
- Data Source
  KAKENHI-PROJECT-18340029
[Presentation] Large Deviation Control arising from Optimal Investment Problems2008
- Author(s)
  H. Nagai
- Organizer
  Quantitative Methods in Finance 2008
- Place of Presentation
  Sydney
- Data Source
  KAKENHI-PROJECT-18340029
[Presentation] A semigroup approach for weak approximations with an application to infinite activity Levy driven SDEs2008
- Author(s)
  A. Kohatsu-Higa
- Organizer
  Workshop on Numerics and Stochastics
- Place of Presentation
  Helsinki University of Technology
- Data Source
  KAKENHI-PROJECT-18340029
[Presentation] Weak Kyle-Back models for the max and argmax2008
- Author(s)
  A. Kohatsu-Higa
- Organizer
  Third General Amamef Conference.
- Place of Presentation
  Pitesti, Romania
- Data Source
  KAKENHI-PROJECT-18340029
[Presentation] Large deviation control arising from mathematical finance2008
- Author(s)
  H. Nagai
- Organizer
  談話会
- Place of Presentation
  Kyoto Univ.
- Year and Date
  2008-07-09
- Data Source
  KAKENHI-PROJECT-18340029
[Presentation] Large deviation control arising from optimal investment2008
- Author(s)
  Hideo NAGAI
- Organizer
  Plenary talk at Conference on quantitativemethods in finance
- Place of Presentation
  Sydney, Australia
- Year and Date
  2008-12-18
- Data Source
  KAKENHI-PROJECT-20340019
[Presentation] Weak Kyle-Back models for the max and argmax.2008
- Author(s)
  A. Kohatsu-Higa
- Organizer
  Third General Amamef Conference.
- Place of Presentation
  Pitesti, Romania.
- Data Source
  KAKENHI-PROJECT-20340019
[Presentation] Poisson equations derived from certain H-J-B equations of ergodic type2008
- Author(s)
  H. Nagai
- Organizer
  微分方程式の粘性解とその周辺
- Place of Presentation
  RIMS, Kyoto, Japan
- Data Source
  KAKENHI-PROJECT-18340029
[Presentation] The 1st MSJ-SI, Probabilistic approach to geometry, Rough path analysis2008
- Author(s)
  S. Aida
- Organizer
  an Introductionタイトル : Semiclassical limit of the lowest eigenvalue of $P(\phi)_2$ Hamiltonian on finite volume
- Place of Presentation
  Kyoto, Japan
- Data Source
  KAKENHI-PROJECT-18340029
[Presentation] On a real-time scheme for the volatility estimation2008
- Author(s)
  S. Ogawa
- Organizer
  Pleinary Lecture at Ritsumeikan Symposium on Stochastic Processes and Finance
- Place of Presentation
  held at Ritsumeikan Univ
- Year and Date
  2008-03-21
- Data Source
  KAKENHI-PROJECT-18340029
[Presentation] A semigroup approach for weak approximations with an application to infinite activity Levy driven SDEs2008
- Author(s)
  A. Kohatsu-Higa
- Organizer
  Workshop on Numerics and Stochastics.
- Place of Presentation
  Helsinki University of Technology
- Data Source
  KAKENHI-PROJECT-18340029
[Presentation] Weak Kyle-Back models for the max and argmax2008
- Author(s)
  A. Kohatsu-Higa
- Organizer
  Stochastic Processes and Applications in Mathematical Finance
- Place of Presentation
  Kyoto University Plaza
- Data Source
  KAKENHI-PROJECT-18340029
[Presentation] Large deviation control arising optimalinvestment2008
- Author(s)
  H. Nagai
- Organizer
  Conference on quantitative methods in finance 2008
- Place of Presentation
  Sydney, Australia
- Data Source
  KAKENHI-PROJECT-18340029
[Presentation] A semigroup approach for weak approximations with an application to infinite activity Levy driven SDEs2008
- Author(s)
  A. Kohatsu-Higa
- Organizer
  Universitat de Barcelona. Probability Seminar
- Place of Presentation
  Barcelona
- Data Source
  KAKENHI-PROJECT-18340029
[Presentation] 確率解析とその周辺(名古屋大学ベンチャー・ビジネス・ラボラトリー、ベンチャーホール)2008
- Author(s)
  S. Aida
- Organizer
  Semiclassical limit of the lowest eigenvalue of $P(\phi)_2$ Hamiltonian on finite volume
- Data Source
  KAKENHI-PROJECT-18340029
[Presentation] Estimating multidimensional density functions using the Malliavin-Thalmaier formula. Applications in Finance. Invited Session "Modelling the financial markets"2008
- Author(s)
  A. Kohatsu-Higa
- Organizer
  World Congress of the International Association of Statistical Computing
- Place of Presentation
  Pacifico Yokohama
- Data Source
  KAKENHI-PROJECT-18340029
[Presentation] 確率論シンポジウム(東京工業大学, 18日発表) タイトル2008
- Author(s)
  S. Aida
- Organizer
  Semiclassical limit of the lowest eigenvalue of $P(\phi)_2$ Hamiltonian on finite volume
- Data Source
  KAKENHI-PROJECT-18340029
[Presentation] On the multi-step regularization method in the volatility estimation2008
- Author(s)
  S. Ogawa
- Organizer
  Invited Seminar Talk at WIAS (Weierstrass Inst. Of Appl. Math) in Berlin
- Year and Date
  2008-12-16
- Data Source
  KAKENHI-PROJECT-18340029
[Presentation] Large deviation control arising from mathematical finance2008
- Author(s)
  H. Nagai
- Organizer
  談話会Kyoto Univ.
- Place of Presentation
  Kyoto
- Year and Date
  2008-07-09
- Data Source
  KAKENHI-PROJECT-18340029
[Presentation] Estimating multidimensional density functions using the Malliavin-Thalmaier formula2007
- Author(s)
  A. Kohatsu-Higa
- Organizer
  Applications in Finance
- Place of Presentation
  International Conference of Mathematics on the 90^<th> anniversary of the Pontificia Universidad Catolica del Peru Lima, Peru
- Data Source
  KAKENHI-PROJECT-18340029
[Presentation] Survey on 1-dim. Random Schrodinger Operators and Lyapunov Exponents2007
- Author(s)
  S. Kotani
- Organizer
  International Conference on the Occasion of the 150th Birthday of A.M. Lyapunov
- Place of Presentation
  ハルコフ、ウクライナ
- Year and Date
  2007-06-27
- Data Source
  KAKENHI-PROJECT-16340025
[Presentation] Minimizing a down-side risk probability and H-J-B equations of risk-sensitive asset allocation2007
- Author(s)
  Hideo, NAGAI
- Organizer
  1Nonlinear partial differential equations and applications)
- Place of Presentation
  Kobe University, Japan
- Description
  「研究成果報告書概要(欧文)」より
- Data Source
  KAKENHI-PROJECT-16340025
[Presentation] Stochastic calculus on manifolds, graphs, and random structures, Bonn, Hausdorff research institute for mathematics2007
- Author(s)
  S. Aida
- Organizer
  Hadamard's variation and Poincare's lemma on a certain non-convex domain
- Data Source
  KAKENHI-PROJECT-18340029
[Presentation] Dirichlet forms, stochastic analysis and interacting systems(German-Japanese cooperation)2007
- Author(s)
  S. Aida
- Organizer
  Hadamard's variation and Poincare's lemma on a certain non-convex domain
- Place of Presentation
  Berlin, Berlin Technical University
- Data Source
  KAKENHI-PROJECT-18340029
[Presentation] Estimation de parametres de series chlonorogique2007
- Author(s)
  S. Ogawa
- Organizer
  Invited Seminar Talk at Math.Dept.
- Place of Presentation
  Univ. Nancy-I
- Year and Date
  2007-03-15
- Data Source
  KAKENHI-PROJECT-18340029
[Presentation] Survey on 1-dim : Random Sahr&dinger Operators and Lyapunov Exponents2007
- Author(s)
  Shinichi, Kotani
- Organizer
  International Conference on the Occasion of the 150th Birthday ofA.M.Lyapunov
- Place of Presentation
  Ukraine
- Description
  「研究成果報告書概要(欧文)」より
- Data Source
  KAKENHI-PROJECT-16340025
[Presentation] Stochastic Problems and Nonlinear PDEs2007
- Author(s)
  S. Aida
- Organizer
  (12月3日のみ参加)Semi-classical limit of the bottom of spectrum of a Schr\"odinger operator on a path space over a compact Riemannian manifold
- Place of Presentation
  京都大学理学研究科
- Data Source
  KAKENHI-PROJECT-18340029
[Presentation] Hadamard's variation and Poiancere's lemma on a certain Non-convex domain2007
- Author(s)
  Shigeki Aida
- Organizer
  Stochastic calculus on manifolds, graphs, and random structures
- Place of Presentation
  ボシ(ドイツ)
- Year and Date
  2007-10-11
- Data Source
  KAKENHI-PROJECT-18540175
[Presentation] Un essaie pour l'estimation de volatilite en temps-reel2007
- Author(s)
  S. Ogawa
- Organizer
  Invited talk at Bachelier Seminar in Paris
- Place of Presentation
  held at L'I.H.P.
- Year and Date
  2007-04-06
- Data Source
  KAKENHI-PROJECT-18340029
[Presentation] Minimizing a down-side risk probability and risk-sensitive asset allocation under partial information2007
- Author(s)
  H. Nagai
- Place of Presentation
  Colloquium in Shangdong University
- Year and Date
  2007-09-17
- Data Source
  KAKENHI-PROJECT-18340029
[Presentation] Hadamard's variation and Poincare's lemma on a certain non-convex domain2007
- Author(s)
  Shigeki Aida
- Organizer
  Stochastic analysis, Stochastic Differential Geometry and applications
- Place of Presentation
  スォンジー(英国)
- Year and Date
  2007-04-21
- Data Source
  KAKENHI-PROJECT-18540175
[Presentation] Asymptotics of the probability minimizing a down-side risk: Partial information case2007
- Author(s)
  Hideo NAGAI
- Organizer
  Conference "Stochastic Processes: theory and applications"
- Place of Presentation
  Bressanone, Italy
- Year and Date
  2007-07-17
- Data Source
  KAKENHI-PROJECT-16340025
[Presentation] Randomization of number theoretic special functions2007
- Author(s)
  H. Sugita
- Organizer
  数論と確率論
- Place of Presentation
  国際高等研
- Year and Date
  2007-10-16
- Data Source
  KAKENHI-PROJECT-16340025
[Presentation] Asymptotics of the probability minimizing a down-side risk : Partial information case2007
- Author(s)
  H. Nagai
- Organizer
  Conference "Stochastic Processes : theory and applications"
- Place of Presentation
  Bressanone, Italy
- Data Source
  KAKENHI-PROJECT-18340029
[Presentation] 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
- Organizer
  Stochastic Problems in Nonlinear PDEs
- Place of Presentation
  京都大学理学研究科
- Year and Date
  2007-12-03
- Data Source
  KAKENHI-PROJECT-18540175
[Presentation] Real-time scheme for the estimation of volatilities2007
- Author(s)
  S. Ogawa
- Organizer
  Invited Seminar Talk at Math
- Place of Presentation
  Dept. of Hong-Kong Univ.
- Year and Date
  2007-08-13
- Data Source
  KAKENHI-PROJECT-18340029
[Presentation] Hadamard's variation and Poiancere's lemma on a certain Non-convex domain2007
- Author(s)
  Shigeki Aida
- Organizer
  確率論と幾何学
- Place of Presentation
  熊本大学教育学部
- Year and Date
  2007-10-21
- Data Source
  KAKENHI-PROJECT-18540175
[Presentation] Hadamard's variation and Poiancere's lemma on a certain Non-convex domain2007
- Author(s)
  Shigeki Aida
- Organizer
  Dirichlet forms, stochastic analysis and interacting systems(German-Japanese cooperation)
- Place of Presentation
  ベルリン(ドイツ)
- Year and Date
  2007-09-20
- Data Source
  KAKENHI-PROJECT-18540175
[Presentation] Minimizing down-side risk probability and risk-sensitive asset allocation for linear Gaussian models2007
- Author(s)
  H. Nagai
- Organizer
  Advances in Mathematics of Finance, Second General AMAMEF Conference and Banach Center Conference
- Place of Presentation
  Bedlewo, Poland
- Data Source
  KAKENHI-PROJECT-18340029
[Presentation] Analyse harmonique et le calcul stochastique noncausal2007
- Author(s)
  S. Ogawa
- Organizer
  Invited Seminar Talk at Math
- Place of Presentation
  Dept. of Univ. Paris-10
- Year and Date
  2007-06-07
- Data Source
  KAKENHI-PROJECT-18340029
[Presentation] Minimizing a down-side risk probability and H-J-B equations of risk-sensitive asset allocation2007
- Author(s)
  Hideo NAGAI
- Organizer
  「非線形偏微分方程式とその応用」
- Place of Presentation
  神戸大学海事科学研究科
- Description
  「研究成果報告書概要(和文)」より
- Data Source
  KAKENHI-PROJECT-16340025
[Presentation] 確率論と幾何学凸領域上のGreen作用素のアダマール変分とある非凸領域上のポアンカレの補題2007
- Author(s)
  S. Aida
- Place of Presentation
  熊本大学
- Data Source
  KAKENHI-PROJECT-18340029
[Presentation] Survey on 1-dim. Random Schrodinger Operators and Lyapunov Exponents2007
- Author(s)
  S. Kotani
- Organizer
  International Conference on the Occasion of the 150th Birthday of A. M. Lyapunov
- Place of Presentation
  ハルコフ、ウクライナ
- Year and Date
  2007-06-24
- Description
  「研究成果報告書概要(和文)」より
- Data Source
  KAKENHI-PROJECT-16340025
[Presentation] Asymptotics of the probability minimizing a down-side risk : Partial information case2007
- Author(s)
  Hideo, NAGAI
- Organizer
  Conference "Stochastic Processes : theory and applications"
- Place of Presentation
  Bressanone, Italy
- Description
  「研究成果報告書概要(欧文)」より
- Data Source
  KAKENHI-PROJECT-16340025
[Presentation] Asymptotics of the probability minimizing a down-side risk: Partial information case2007
- Author(s)
  Hideo NAGAI
- Organizer
  Conference "Stochastic Processes: theory and applications"
- Place of Presentation
  Bressanone, Italy,
- Description
  「研究成果報告書概要(和文)」より
- Data Source
  KAKENHI-PROJECT-16340025
[Presentation] Minimizing down-side risk probability and risk-sensitive asset allocation for linear Gaussian models2007
- Author(s)
  Hideo NAGAI
- Organizer
  Advances in Mathematics of Finance, Second General AMAMEF Conference and Banach Center Conference
- Place of Presentation
  Bedlewo, Poland
- Description
  「研究成果報告書概要(和文)」より
- Data Source
  KAKENHI-PROJECT-16340025
[Presentation] Sur les EDS noncausaux2007
- Author(s)
  S. Ogawa
- Organizer
  Invited Seminar Talk at Math
- Place of Presentation
  Dept. Univ. Evry
- Year and Date
  2007-03-08
- Data Source
  KAKENHI-PROJECT-18340029
[Presentation] Le calcul noncausal et des problemes noncausaux en EDS2007
- Author(s)
  S. Ogawa
- Organizer
  Invited Seminar Talk at Math.Dept.
- Place of Presentation
  Univ. Strasbourg
- Year and Date
  2007-04-03
- Data Source
  KAKENHI-PROJECT-18340029
[Presentation] Sur le model de Black-Sholes fractionaire2007
- Author(s)
  S. Ogawa
- Organizer
  Invited Seminar Talk at Math
- Place of Presentation
  Dept. of Univ. Grenoble
- Year and Date
  2007-05-03
- Data Source
  KAKENHI-PROJECT-18340029
[Presentation] Estimating multidimensional densities through the Malliavin-Thalmaier formula2007
- Author(s)
  Arturo Kohatsu-Higa
- Organizer
  東京大学統計学セミナー
- Place of Presentation
  東京大学
- Year and Date
  2007-07-06
- Data Source
  KAKENHI-PROJECT-18340029
[Presentation] Stochastic Analysis Analysis, Stochastic Differential Geometry and applications- 19th to 21st April2007
- Author(s)
  S. Aida
- Organizer
  Hadamard's variation and Poincare's lemma on a certain non-convex domain
- Place of Presentation
  Swansea, Wales
- Data Source
  KAKENHI-PROJECT-18340029
[Presentation] Maximum principle for $L^p$-viscosity solutions of fully nonlinear equations with unbounded coefficients2007
- Author(s)
  Shigeaki Koike
- Organizer
  International Conference of Reaction Diffusion Systems and Viscosity Solutions
- Place of Presentation
  Providence University, 台湾
- Description
  「研究成果報告書概要(和文)」より
- Data Source
  KAKENHI-PROJECT-16340025
[Presentation] Optimal investment with general transaction costs and risk-sensitive quasi-variational inequalities2006
- Author(s)
  Hideo NAGAI
- Organizer
  Workshop on mathematical Finance and Insurance
- Place of Presentation
  Lijiang, Yunnan, China
- Description
  「研究成果報告書概要(和文)」より
- Data Source
  KAKENHI-PROJECT-16340025
[Presentation] Recent results on asymmetric information and insider trading. Plenary speaker.2006
- Author(s)
  Arturo Kohatsu-Higa
- Organizer
  Bachelier Congress
- Place of Presentation
  Tokyo, Japan
- Year and Date
  2006-08-20
- Description
  「研究成果報告書概要(和文)」より
- Data Source
  KAKENHI-PROJECT-16340025
[Presentation] Recent results on asymmetric information and insider trading. Plenary speaker2006
- Author(s)
  Arturo, Kohatsu-Higa
- Organizer
  Bachelier Congress
- Place of Presentation
  Tokyo Japan
- Year and Date
  2006-08-20
- Description
  「研究成果報告書概要(欧文)」より
- Data Source
  KAKENHI-PROJECT-16340025
[Presentation] journees Analyse et Probabilites "Lower bounds for the fundamental solutions of PDE problems : analytical and probabilistic approach"2006
- Author(s)
  A. Kohatsu-Higa
- Organizer
  UFG conditons for regularity of the law of a diffusion process
- Place of Presentation
  Universite de Marne-la-Vallee
- Year and Date
  2006-04-04
- Data Source
  KAKENHI-PROJECT-18340029
[Presentation] Recent results on asymmetric information and insider trading2006
- Author(s)
  A. Kohatsu-Higa
- Organizer
  Plenary spaker. Bachelier Congress
- Place of Presentation
  Hitotsubashi University
- Year and Date
  2006-08-20
- Data Source
  KAKENHI-PROJECT-18340029
[Presentation] Krein's spectral theory and its generalization2006
- Author(s)
  Shinichi, Kotani
- Organizer
  21st Max Born Symposium
- Place of Presentation
  Wroclaw, Poland
- Description
  「研究成果報告書概要(欧文)」より
- Data Source
  KAKENHI-PROJECT-16340025
[Presentation] Survey on Malliavin Calculus applied to Finance2006
- Author(s)
  A. Kohatsu-Higa
- Organizer
  金融リスク管理のための新ITモデルの研究と開発(計算ファイナンス)セッション
- Place of Presentation
  Tokyo Institute of Technology
- Year and Date
  2006-11-16
- Data Source
  KAKENHI-PROJECT-18340029
[Presentation] Risk-sensitive quasi-variational inequalities for optimal investment with general transaction costs2006
- Author(s)
  Hideo, NAGAI
- Organizer
  International Symposium on Stochastic Processes and Applications to Mathematical Finance, Ritsumeikan University
- Place of Presentation
  Kusatsu, Japan
- Description
  「研究成果報告書概要(欧文)」より
- Data Source
  KAKENHI-PROJECT-16340025
[Presentation] First passage times for storage processes A survey2006
- Author(s)
  M. Yamazato
- Organizer
  Workshop on Mathematical Finance and Stochastic Control
- Place of Presentation
  Osaka university (Holiday in Kyoto)
- Data Source
  KAKENHI-PROJECT-18340029
[Presentation] Krein's spectral theory and its generalization2006
- Author(s)
  S. Kotani
- Organizer
  21st Max Born Symposium
- Place of Presentation
  ブロツラフ、ポーランド
- Year and Date
  2006-06-26
- Description
  「研究成果報告書概要(和文)」より
- Data Source
  KAKENHI-PROJECT-16340025
[Presentation] Osaka City University2006
- Author(s)
  A. Kohatsu-Higa
- Organizer
  Euler-Maruyama scheme : Recent results.
- Place of Presentation
  Meeting of the Japan Mathematical Society
- Year and Date
  2006-09-20
- Data Source
  KAKENHI-PROJECT-18340029
[Presentation] Applications of Malliavin Calculus in Finance2006
- Author(s)
  A. Kohatsu-Higa
- Organizer
  Financial Engineering and Current problems
- Place of Presentation
  Nakanoshima Center
- Year and Date
  2006-12-01
- Data Source
  KAKENHI-PROJECT-18340029
[Presentation] 確率制御、フィルタリングそして数理ファイナンス2006
- Author(s)
  H. Nagai
- Organizer
  応用数理学会サマーセミナー「確率微分方程式」
- Place of Presentation
  北大
- Data Source
  KAKENHI-PROJECT-18340029
[Presentation] Optimal investment with general transaction costs and risk-sensitive quasi-variational inequalities2006
- Author(s)
  H. Nagai
- Organizer
  Workshop on mathematical Finance and Insurance
- Place of Presentation
  Lijiang, Yunnan, China
- Data Source
  KAKENHI-PROJECT-18340029
[Presentation] 確率解析とその周辺2006
- Author(s)
  S. Aida
- Organizer
  Witten Laplacians on pinned path groups
- Place of Presentation
  京都大学理学研究科
- Data Source
  KAKENHI-PROJECT-18340029
[Presentation] Risk-sensitive quasi-variational inequalities for optimal investment with general transaction costs2006
- Author(s)
  Hideo NAGAI
- Organizer
  International Symposium on Stochastic Processes and Applications to Mathematical Finance
- Place of Presentation
  立命館大学
- Description
  「研究成果報告書概要(和文)」より
- Data Source
  KAKENHI-PROJECT-16340025
[Presentation] Probability and geometry2006
- Author(s)
  S. Aida
- Organizer
  Semi-classical limit of the bottom of spectrum of a Schrodinger operator on a path space over a compact Riemannian manifold
- Place of Presentation
  ドイツ数学会ミニシンポジウム, Bonn大学
- Data Source
  KAKENHI-PROJECT-18340029
[Presentation] Stopping problems and optimal investment with transaction costs2005
- Author(s)
  Hideo NAGAI
- Organizer
  Stochastic Processes and Applications to Mathematical Finance
- Place of Presentation
  Ritsumeikan Univ. Kusatsu, Japan
- Description
  「研究成果報告書概要(和文)」より
- Data Source
  KAKENHI-PROJECT-16340025
[Presentation] PDE approach to utility maximization for market models with hidden Markov factors2005
- Author(s)
  Hideo, NAGAI
- Organizer
  2005 Daiwa International Workshop on Financial Engineering
- Place of Presentation
  Otemachi, Sankei Plaza, Tokyo,Japan
- Description
  「研究成果報告書概要(欧文)」より
- Data Source
  KAKENHI-PROJECT-16340025
[Presentation] Risk-sensitive variational inequalities arising from optimal investment with transaction costs2005
- Author(s)
  Hideo NAGAI
- Organizer
  Fourth Colloquium on Backward Stochastic Differential Equations and Applications
- Place of Presentation
  Shanghai, China
- Description
  「研究成果報告書概要(和文)」より
- Data Source
  KAKENHI-PROJECT-16340025
[Presentation] PDE approach to utility maximization for market models with hidden Markov factors2005
- Author(s)
  Hideo NAGAI
- Organizer
  2005 Daiwa International Workshop on Financial Engineering
- Place of Presentation
  Otemachi, Sankei Plaza, Tokyo, Japan.
- Description
  「研究成果報告書概要(和文)」より
- Data Source
  KAKENHI-PROJECT-16340025
[Presentation] Risky Fraction Processes and Portfolio Optimization with Transaction Costs2004
- Author(s)
  Hideo NAGAI
- Organizer
  2004 Daiwa International Workshop on Financial Engineering
- Place of Presentation
  Tokyo, Sankei Plaza, Japan
- Description
  「研究成果報告書概要(和文)」より
- Data Source
  KAKENHI-PROJECT-16340025
[Presentation] Large deviation principle for stochastic functional differential equations
- Author(s)
  A. Takeuchi
- Organizer
  日本数学会２０１４年度年会
- Place of Presentation
  学習院大学（東京都）
- Invited
- Data Source
  KAKENHI-PROJECT-24340022
[Presentation] Static hedging of timing risk
- Author(s)
  Y. Imamura
- Organizer
  The First International Workshop on Quantum Information Theory and Related Topics
- Place of Presentation
  Danang, Vietnam
- Invited
- Data Source
  KAKENHI-PROJECT-25285102
[Presentation] Large deviation principle for stochastic functional differential equations
- Author(s)
  A. Takeuchi
- Organizer
  研究集会「Stochastic Processes and Mathematical Finance」
- Place of Presentation
  関西大学（大阪府）
- Invited
- Data Source
  KAKENHI-PROJECT-24340022
[Presentation] An Asymptotic Static Hedge of a Timing Risk and its Error
- Author(s)
  Y. Imamura
- Organizer
  Stochastic processes and their statistics in Finance in Okinawa
- Place of Presentation
  沖縄青年会館(沖縄県)
- Data Source
  KAKENHI-PROJECT-25285102
[Presentation] A remark on the integration by parts formula on the Poisson space
- Author(s)
  A. Takeuchi
- Organizer
  研究集会「無限分解可能過程に関連する諸問題」
- Place of Presentation
  統計数理研究所（東京都）
- Invited
- Data Source
  KAKENHI-PROJECT-24340022
[Presentation] Asymptotic behavior of densities for stochastic functional differential equations
- Author(s)
  A. Takeuchi
- Organizer
  国際研究集会「36th Conference on Stochastic Processes and their Applications」
- Place of Presentation
  コロラド大学ボルダー校（アメリカ）
- Invited
- Data Source
  KAKENHI-PROJECT-24340022
[Presentation] Asymptotic behavior of densities for stochastic functional differential equations
- Author(s)
  A. Takeuchi
- Organizer
  Bernoulli Society Satellite Meeting: "Asymptotic Statistics and Related Topics: Theories and Methodologies
- Place of Presentation
  東京大学（東京都）
- Invited
- Data Source
  KAKENHI-PROJECT-24340022
[Presentation] Algebraic proof of anticipative Girsanov-Maruyama formula
- Author(s)
  J. Akahori
- Organizer
  The First International Workshop on Quantum Information Theory and Related Topics
- Place of Presentation
  Danang, Vietnam
- Invited
- Data Source
  KAKENHI-PROJECT-25285102
[Presentation] A Modification of the Fourier Method
- Author(s)
  J.Akahori
- Organizer
  Stochastic Processes and Mathematical Finance
- Place of Presentation
  関西大学(大阪府)
- Data Source
  KAKENHI-PROJECT-25285102
[Presentation] Asymptotic behavior of densities for stochastic functional differential equations
- Author(s)
  A. Takeuchi
- Organizer
  研究集会「確率論シンポジウム」
- Place of Presentation
  京都大学数理解析研究所（京都府）
- Invited
- Data Source
  KAKENHI-PROJECT-24340022
[]

1. AKAHORI Jiro (50309100)

# of Collaborated Projects: 7 results

# of Collaborated Products: 66 results
2. NAGAI Hideo (70110848)

# of Collaborated Projects: 6 results

# of Collaborated Products: 115 results
3. NINOMIYA Syoiti (70313377)

# of Collaborated Projects: 5 results

# of Collaborated Products: 16 results
4. AIDA Shigeki (90222455)

# of Collaborated Projects: 5 results

# of Collaborated Products: 71 results
5. KUSUOKA Shigeo (00114463)

# of Collaborated Projects: 4 results

# of Collaborated Products: 22 results
6. NAGAHATA Yukio (50397725)

# of Collaborated Projects: 4 results

# of Collaborated Products: 10 results
7. YAMAZATO Makoto (00015900)

# of Collaborated Projects: 3 results

# of Collaborated Products: 26 results
8. HINO Masanori (40303888)

# of Collaborated Projects: 3 results

# of Collaborated Products: 12 results
9. HIROSHIMA Fumio (00330358)

# of Collaborated Projects: 3 results

# of Collaborated Products: 8 results
10. OGAWA SHIGEYOSHI (80101137)

# of Collaborated Projects: 2 results

# of Collaborated Products: 22 results
11. KUWAE Kazuhiro (80243814)

# of Collaborated Projects: 2 results

# of Collaborated Products: 0 results
12. SEKINE Jun (50314399)

# of Collaborated Projects: 2 results

# of Collaborated Products: 1 results
13. KOIKE Shigeaki (90205295)

# of Collaborated Projects: 2 results

# of Collaborated Products: 16 results
14. ISHII Hitoshi (70102887)

# of Collaborated Projects: 2 results

# of Collaborated Products: 9 results
15. TAKEUCHI Atsushi (30336755)

# of Collaborated Projects: 2 results

# of Collaborated Products: 33 results
16. YASUDA Kazuhiro (80509638)

# of Collaborated Projects: 2 results

# of Collaborated Products: 23 results
17. MATSUMOTO Hiroyuki (00190538)

# of Collaborated Projects: 2 results

# of Collaborated Products: 16 results
18. HORI Keiichi (50273561)

# of Collaborated Projects: 2 results

# of Collaborated Products: 39 results
19. YOSHIDA Nobuo (40240303)

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results
20. KAZUMI Tetuya (40224422)

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results
21. MIYAHARA Yoshio (20106256)

# of Collaborated Projects: 1 results

# of Collaborated Products: 8 results
22. HATA Hiroaki (00609290)

# of Collaborated Projects: 1 results

# of Collaborated Products: 7 results
23. TAMURA Takashi (50437357)

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results
24. KAISE Hidehiro (60377778)

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results
25. SHIGEKAWA Ichiro (00127234)

# of Collaborated Projects: 1 results

# of Collaborated Products: 8 results
26. HANDA Kenji (10238214)

# of Collaborated Projects: 1 results

# of Collaborated Products: 6 results
27. KAWABI Hiroshi (80432904)

# of Collaborated Projects: 1 results

# of Collaborated Products: 6 results
28. INAHAMA Yuzuru (80431998)

# of Collaborated Projects: 1 results

# of Collaborated Products: 12 results
29. YANO Kouji (80467646)

# of Collaborated Projects: 1 results

# of Collaborated Products: 10 results
30. TANIGUCHI Setsuo (70155208)

# of Collaborated Projects: 1 results

# of Collaborated Products: 4 results
31. HARIYA Yuu (20404030)

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results
32. TAKANOBU Satoshi (40197124)

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results
33. OHTA Shin-ichi (00372558)

# of Collaborated Projects: 1 results

# of Collaborated Products: 12 results
34. MIKAMI Toshio (70229657)

# of Collaborated Projects: 1 results

# of Collaborated Products: 2 results
35. KAWAI Reiichirou (20464258)

# of Collaborated Projects: 1 results

# of Collaborated Products: 41 results
36. HAYASHI Masafumi (90532549)

# of Collaborated Projects: 1 results

# of Collaborated Products: 5 results
37. NAKATSU Tomonori (50732898)

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results
38. TANAKA Hideyuki (20732895)

# of Collaborated Projects: 1 results

# of Collaborated Products: 2 results
39. KOTANI Shinichi (10025463)

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results
40. 森本宏明 (80166438)

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results
41. 足立高徳 (60733722)

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results
42. 今村悠里 (40633194)

# of Collaborated Projects: 1 results

# of Collaborated Products: 6 results
43. 劉念麟 (90610923)

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results
44. 青野幸平 (20513146)

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results
45. 播磨谷浩三 (90347732)

# of Collaborated Projects: 1 results

# of Collaborated Products: 5 results
46. TOMIMURA Kei

# of Collaborated Projects: 0 results

# of Collaborated Products: 2 results
47. HIROSHI Osano

# of Collaborated Projects: 0 results

# of Collaborated Products: 1 results
48. HORI Kazumi

# of Collaborated Projects: 0 results

# of Collaborated Products: 1 results
49. SANO Ryuji

# of Collaborated Projects: 0 results

# of Collaborated Products: 1 results
50. 小谷眞一

# of Collaborated Projects: 0 results

# of Collaborated Products: 12 results
51. 三竹大寿

# of Collaborated Projects: 0 results

# of Collaborated Products: 2 results
52. 尾崎泰文

# of Collaborated Projects: 0 results

# of Collaborated Products: 1 results
53. 難波隆弥

# of Collaborated Projects: 0 results

# of Collaborated Products: 1 results
54. 梁淞

# of Collaborated Projects: 0 results

# of Collaborated Products: 1 results

Kohatsu Higa Arturo Ｋｏｈａｔｓｕ・Ｈｉｇａ Ａ

Ｋｏｈａｔｓｕ・Ｈｉｇａ Ａ コハツ・ヒガ アルトゥーロ

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

Research Projects

Research Products

Co-Researchers

Weak derivatives of non-smooth stochastic flows and applicationsPrincipal Investigator

Principal Investigator

Project Period (FY)

Research Category

Review Section

Research Institution

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

Principal Investigator

Project Period (FY)

Research Category

Review Section

Research Institution

Infinite dimensional analysis using the parametrix methodPrincipal Investigator

Principal Investigator

Project Period (FY)

Research Category

Research Field

Research Institution

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

Principal Investigator

Project Period (FY)

Research Category

Research Field

Research Institution

Heat Kernel Approach in Financial Engineering of New Generation

Principal Investigator

Project Period (FY)

Research Category

Research Field

Research Institution

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

Principal Investigator

Project Period (FY)

Research Category

Research Field

Research Institution

New development of infinite dimensional stochastic analysis and its applications

Principal Investigator

Project Period (FY)

Research Category

Research Field

Research Institution

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

Principal Investigator

Project Period (FY)

Research Category

Research Field

Research Institution

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

Principal Investigator

Project Period (FY)

Research Category

Research Field

Research Institution

Mathematical Finance : Insider Models and Applications of MalliavinCalculusPrincipal Investigator

Principal Investigator

Project Period (FY)

Research Category

Research Field

Research Institution

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

Principal Investigator

Project Period (FY)

Research Category

Kohatsu Higa Arturo Ｋｏｈａｔｓｕ・ＨｉｇａＡ

Ｋｏｈａｔｓｕ・ＨｉｇａＡコハツ・ヒガアルトゥーロ

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

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