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J-GLOBAL ID：201401017808576250   Update date: Aug. 29, 2024

OGIHARA Teppei

オギハラ テッペイ | OGIHARA Teppei
Affiliation and department：
The University of Tokyo Mathematics and Informatics Center

About The University of Tokyo Mathematics and Informatics Center


Job title： Associate Professor
Other affiliations (1)：
Homepage URL  (2)： https://sites.google.com/site/homepageofteppeiogihara/home/research-activity-japanese?authuser=0 ,  https://sites.google.com/site/homepageofteppeiogihara/home/research-activity-english?authuser=0
Research field  (2)： Applied mathematics and statistics ,  Basic mathematics
Research keywords  (4)： Nonsynchronous Observations ,  High-Frequency Financial Data ,  Malliavin Calculus ,  Statistical Inference for Stochastic Processes
Research theme for competitive and other funds  (4)：
  • 2021 - 2026 ジャンプを含む確率過程の複雑な観測データに対する統計解析と新しい学習理論への応用
  • 2019 - 2021 Local asymptotic mixed normality for discretely observed diffusion processes
  • 2015 - 2019 Machine Learning Theories on functional spaces and there applications to high-frequency financial data analysis
  • 2015 - 2018 Statistical Inference for stochastic processes and application to high-frequency financial data
Papers (16)：
  • Masaaki Fukasawa, Teppei Ogihara. Malliavin Calculus Techniques for Local Asymptotic Mixed Normality and Their Application to Hypoelliptic Diffusions. Bernoulli. 2024. 30. 2. 983-1006
  • Teppei Ogihara, Mitja Stadje. Efficient drift parameter estimation for ergodic solutions of backward SDEs. Scandinavian Journal of Statistics. 2023. 51. 3. 1181-1205
  • Teppei Ogihara, Yuma Uehara. Local Asymptotic Normality for Ergodic Jump-Diffusion Processes via Transition Density Approximation. Bernoulli. 2023. 29. 3. 2342-2366
  • Teppei Ogihara. Asymptotically efficient estimation for diffusion processes with nonsynchronous observations. Japanese Journal of Statistics and Data Science. 2023. 6. 505-550
  • Teppei Ogihara. Misspecified diffusion models with high-frequency observations and an application to neural networks. Stochastic processes and their applications. 2021. 142. 245-292
ｍore...
Patents (1)：
  • データ処理方法、データ処理装置およびプログラム
Lectures and oral presentations  (70)：
  • Efficient drift parameter estimation for ergodic solutions of backward SDEs
    (Time Series Random Fields and beyond Fall School / Ulm University / Ulm 2024)
  • Local asymptotic normality for jump-diffusion processes with discrete observations
    (The Eighth Asian Quantitative Finance Conference(AQFC) / national taipei university of technology / Taipei 2024)
  • Analyzing high-frequency stock price data and learning volatility using neural networks
    (Asia-Pacific Association of Finance 2024 / Busan International Finance Center / Busan 2024)
  • Malliavin calculus techniques for local asymptotic mixed normality and their application to hypoelliptic diffusions
    (DYNSTOCH 2024 / Kiel University / Germany 2024)
  • Local asymptotic normality for discretely observed jump-diffusion processes
    (Stochastic Analysis and Statistics 2024 / University of Tokyo / Tokyo 2024)
ｍore...
Education (3)：
  • 2011 - 2012 University of Tokyo Graduate School of Mathematical Sciences
  • 2007 - 2009 University of Tokyo Graduate School of Mathematical Sciences
  • 2005 - 2007 University of Tokyo Department of Mathematics
Professional career (1)：
  • Ph.D. in Mathematical Sciences (University of Tokyo)
Work history (7)：
  • 2019/04 - 現在 The Institute of Statistical Mathematics Risk Analysis Research Center
  • 2019/04 - 現在 University of Tokyo The Graduate School of Information Science and Technology Department of Mathematical Informatics Associate Professor
  • 2016/04 - 2019/03 The Institute of Statistical Mathematics Department of Mathematical Analysis and Statistical Inference Assistant Professor
  • 2015/10 - 2019/03 Japan Science and Technology Agency PRESTO Researcher
  • 2014/07 - 2016/03 The Institute of Statistical Mathematics School of Statistical Thinking Assistant Professor
Show all
Committee career (6)：
  • 2023/09 - 現在 一般社団法人 日本金融・証券計量・工学学会(JAFEE) 国際担当理事
  • 2023/04 - 現在 日本数学会・日本応用数理学会・統計関連学会連合 数学数理科学のための異分野異業種研究交流会実行委員会
  • 2023/03 - 現在 Asia-Pacific Seminar in Probability and Statistics Board member
  • 2019/06 - 2023/05 日本統計学会 和文誌編集委員
  • 2018/07 - 2023/03 日本数学会 社会連携協議会委員
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Awards (2)：
  • 2021/09 - 日本応用数理学会論文賞 JJIAM部門 Asymptotic error distributions of the Euler method for continuous-time nonlinear filtering
  • 2019/09 - 日本統計学会 第1回 ISI 東京大会記念奨励賞
Association Membership(s) (5)：
THE JAPAN STATISTICAL SOCIETY ,  THE MATHEMATICAL SOCIETY OF JAPAN ,  日本金融・証券計量・工学学会 (JAFEE) ,  Bernoulli Society ,  The Securities Analysts Association of Japan
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