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J-GLOBAL ID：200901071809675400
Update date: Jul. 17, 2024
KOHATSU-HIGA Arturo
KOHATSU-HIGA Arturo
Affiliation and department：
Job title：
Professor
Other affiliations (2)：
Research field (1)：
Applied mathematics and statistics
Research theme for competitive and other funds (2)：
- 2006 - 2008 Stochastic analysis and semi-classical problems on infinite dimensional spaces
- 2004 - 2007 Expected utility maximiaation problems and stochastic control
Papers (1)：
-
Arturo Kohatsu-Higa, Eulalia Nualart, Ngoc Khue Tran. Density estimates for jump diffusion processes. Applied Mathematics and Computation. 2021
Books (7)：
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Jump SDEs and the Study of Their Densities
Springer 2019 ISBN:9789813297418
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Stochastic Analysis With Financial Applications Hong Kong 2009
Springer-Verlag 2011 ISBN:9783034800969
-
Statistical Inference and Malliavin Calculus
Seminar on Stochastic Analysis, Random Fields and Applications VI 2011
-
Lower bounds for densities of Asian type stochastic differential equations
Journal of Functional Analysis 258 2010
-
Weak Kyle-Back equilibrium models for Max and ArgMax
SIAM Journal on Financial Mathematics 2010
ｍore...
Lectures and oral presentations (73)：
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Perspectives on Statistical Methods for Time Dependent Processes (Session organizer)
(ISI-WSC 2019 2019)
-
Integration by parts formula for stopped processes: An unbiased formula
(Workshop on Stochastic Analysis and Applications 2019)
-
Sensitivity analysis: some irregular examples
(Seminario: Data Lab 2019)
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Organizer
(Perturbation Techniques in Stochastic Analysis and Its Applications 2019)
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Représentations markoviennes des expansions analytiques des solutions des edp et ses applications
(Seminaire de Marne 2018)
ｍore...
Professional career (1)：
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