Researcher Database

KOHATSU-HIGA Arturo

Department / Course College of Science and Engineering Department of Mathematical Sciences

Title / Position Professor

Papers
1.	2024	Integration by parts formula for exit times of one dimensional diffusions. N. Frikha, A. Kohatsu-Higa, L. Li. Kolmogorov Operators and Their Applications. S. Menozzi, A. Pascucci, S.Polidoro (Eds.): Springer INdAM Series. To appear, 2024. │ (Co-authored)
2.	2024	On some asymptotic expansions of skew diffusions. N. Frikha and A. Kohatsu-Higa. Mathematics of Risk 2022, Springer. To appear, 2024. │ (Co-authored)
3.	2024	Upper bounds for the derivatives of the density associated to solutions of stochastic differential equations with jumps │ Journal of Mathematical Analysis and Applications │ 531 (2) (Co-authored)
4.	2023	Joint density of the stable process and its supremum: regularity and upper bounds. │ Bernouilli │ 29 (4),pp.3443-3469 (Co-authored)
5.	2023	Simulation of Reflected Brownian motion on two dimensional wedges │ Stoch. Proc. and App. │ 156,pp.349-378 (Co-authored)
6.	2023	Small time chaos approximations for heat kernels of multidimensional diffusions │ BIT Numerical Mathematics volume │ (Co-authored)
7.	2022/01/23	Density estimates for jump diffusion processes │ Applied Mathematics and Computation │ 420 (1) (Co-authored)
8.	2022	"Using moment approximations to study the density of jump driven SDEs │ 27 (61),pp.1-21 (Co-authored)
9.	2020	Large time asymptotic properties of the stochastic heat equation │ Journal of Theoretical Probability │ To appear (Co-authored)
10.	2020	Second order probabilistic parametrix method for unbiased simulation of stochastic differential equations │ Stochastic Processes and their Applications │ 130 (9),pp.5543-5574 (Co-authored)
11.	2019/09	Integration by parts formula for killed processes: a point of view of approximation theory │ Electronical Journal of Probability │ 24 (95),pp.1-44 (Co-authored)
12.	2019	Improved local approximation for multidimensional diffusions: the G-rates │ Theory of Probability and Mathematical Statistics (Teoriya Imovirnostei ta Matematychna Statystyka) │ 101,pp.15-39 (Co-authored)
13.	2018	Stochastic formulations of the parametrix method │ ESAIM: Probability and Statistics │ 22,pp.178-209 (Co-authored)
14.	2018	Tuning of a Bayesian estimator under discrete time observations and unknown transition density │ Theory of Stochastic Processes │ 39 (1) (Co-authored)
15.	2017/07	Weak rate of convergence of the Euler-Maruyama scheme for stochastic differential equations with non-regular drift │ Journal of Computational and Applied Mathematics │ 326,pp.138-158 (Co-authored)
16.	2017	Exact simulation of stochastic differential equations using parametrix expansions. │ Bernoulli │ 23 (3),pp.2028-2057 (Co-authored)
17.	2017	LAN property for an ergodic diffusion with jumps │ Statistics │ 51 (2),pp.419-454 (Co-authored)
18.	2016	Gaussian type lower bounds for the density of solutions of SDEs driven by fractional Brownian motions. │ Annals of Probability │ 44,pp.399-433 (Co-authored)
19.	2016	Regularity of the density of a stable-like driven sde with Hölder continuous coefficients │ Stochastic Analysis and Applications │ 34 (6),pp.979-1024 (Co-authored)
20.	2015/06	Optimal transport bounds between the time-marginals of a multidimensional diffusion and its Euler scheme │ Electronic Journal of Probability │ 20,pp.1-31 (Co-authored)
21.	2015	A probabilistic interpretation of the parametrix method │ Ann. Appl. Probab. │ 25 (6),pp.3095-3138 (Co-authored)
22.	2015	A short course on weak approximations for Lèvy driven SDE's │ Stochastic Analysis: A Series of Lectures │ ,pp.247-270
23.	2014	Approximations of non-smooth integral type functionals of one dimensional diffusion processes │ Stochastic Processes and their Applications. │ 124 (5),pp.1881–1909 (Co-authored)
24.	2014	Hölder continuity property of the densities of SDEs with singular drift coefficients │ Electron. J. Probab. │ 19,pp.1-22 (Co-authored)
25.	2014	LAN property for a simple Lévy process │ Comptes Rendus Mathematique │ 352 (10),pp.859–864 (Co-authored)
26.	2014	Optimal simulation schemes for Levy driven stochastic differential equations │ Mathematics of Computation │ 83,pp.2293-2324 (Co-authored)
27.	2014	Pathwise optimal transport bounds between a one-dimensional diffusion and its Euler scheme │ Ann. Appl. Probab. │ 24 (3),pp.1049-1080 (Co-authored)
28.	2014	Strong consistency of the Bayesian estimator for the Ornstein-Uhlenbeck process . │ Inspired by Finance. The Musiela Festschrift. │ ,pp.411-437 (Co-authored)
29.	2013/01	Smoothness of the distribution of the supremum of a multi-dimensional diffusion process │ Potential Analysis │ Volume 38 (1),pp.57-77 (Co-authored)
30.	2013	A Market model with Medium/Long term effects due to an insider │ Quant. Math. Fin. │ 17,pp.421-437
31.	2013	A short course on weak approximations for Levy driven SDE's. │ Proceedings of the Bernoulli short course at EPFL, 2012. Progress in Probability series. │ 68,pp.247-270 (Sole-authored)
32.	2013	An Ornstein-Uhlenbeck-Type process which satisfies sufficient conditions for a simulation based filtering procedure │ In A Festschrift in Honor of David Nualart │ ,pp.173-193
33.	2013	Estimates for the density of functionals of SDE's with irregular drift. │ Stochastic Processes and their Applications. │ (123),pp.1716-1728 (Co-authored)
34.	2013	Local Holder Continuity Property of the Densities of Solutions of SDEs with Singular Coefficients, │ Journal of Theoretical ProbabilityDecember │ 26 (4),pp.117-1134 (Co-authored)
35.	2013	Weak Approximations for SDE’s driven by Levy processes │ Progress in Probability, │ 67,pp.131-169 (Co-authored)
36.	2012	A Malliavin Calculus method to study densities of additive functionals of SDE's with irregular drifts. │ Annales de l'Institut Henri Poincare, 2011 │ Volume 48 (3),pp.871-883 (Co-authored)
37.	2011	A review of recent results on approximation of solutions of stochastic differential equations. │ Proceedings of the Workshop on Stochastic Analysis with Financial Applications: Hong Kong 2009. Birkhauser 2011. │ (Co-authored)
38.	2011	A Strong consistency of Bayesian estimator under discrete observations and unknown transition density │ Proceedings of the Workshop on Stochastic Analysis on Stochastic Analysis with Financial Applications: Hong Kong 2009. Birkhauser 2011. │ (Co-authored)
39.	2011	Insider modelling with finite utility in markets with jumps │ Applied Mathematics and Optimization │ 64 (2),pp.217-255 (Co-authored)
40.	2011	Modelling of financial markets with inside information in continuous time (review paper). │ Stochastics and Dynamics (2011) │ Vol.11,pp.411-438 (Co-authored)
41.	2011	Statistical Inference and Malliavin Calculus │ Seminar on Stochastic Analysis, Random Fields and Applications VI, 2011 │ 63,pp.59-82 (Co-authored)
42.	2011	Two examples of an insider with medium/long term effects on the underlying. │ Proceedings of the KIER-TMU Workshop, Recent Advances in Financial Engineering, World Scientific, 2011 │ (Co-authored)
43.	2010	Computation of Greek and multidimensional density estimation for asset price models with time-changed Brownian Motion │ Applied Mathematical Finance │ ,pp.1466-4313 (Co-authored)
44.	2010	Jump-adapted discretization schemes for Levy-driven SDEs │ Stochastic Processes and their Applications │ 120,pp.2258-2285 (Co-authored)
45.	2010	Lower bounds for densities of Asian type stochastic differential equations │ Journal of Functional Analysis │ 258 (9,1),pp.3134-3164 (Co-authored)
46.	2010	Weak Kyle-Back equilibrium models for Max and ArgMax │ SIAM Journal on Financial Mathematics │ 1,pp.179-211 (Co-authored)
47.	2009	A review of recent results on Malliavin Calculus and its applications │ Radon Series on Computational and Applied Mathematics, Walter de Gruyter, 2009, vol 8, 275-302 │ 8,pp.275-302 (Co-authored)
48.	2009	An Operator Approach for Markov Chain Weak Approximations with an Application to Infinite Activity L'evy Driven SDEs │ Annals of Applied Probability │ 19 (3),pp.1026-1062 (Co-authored)
49.	2009	Estimating Multidimensional Density Functions using the Malliavin-Thalmaier Formula │ SIAM Journal of Numerical Analysis │ 47 (2),pp.1546-1575 (Co-authored)
50.	2009	Estimation of Densities for Heston-type Models through the Malliavin-Thalmaier Method and its Application to the Calculation of Greeks, │ International Journal of Innovative Computing, Information and Control │ 6,pp.199-213 (Co-authored)
51.	2009	Simulation on multidimensional density functions through the Malliavin-Thalmaier formula and its application to finance │ Proceedings of the 40th ISCIE International Symposium on Stochastic Systems Theory and Its Applications │ ,pp.342-347 (Co-authored)
52.	2008	An Optimal Control Variance Reduction Method for Density Estimation. │ Stochastic Processes and their applications, , Vol. 118, 2143-2180, 2008. │ 118,pp.2143-2180 (Co-authored)
53.	2008	Anticipative Stochastic Control for Levy processes with Application to Insider Trading │ Mathematical Modelling and Numerical Methods in Finance. Handbook of Numerical Analysis, Bensoussan and Zhang (eds.), 2008.North Holland │ (Co-authored)
54.	2008	Enlargement of filtrations with random times for processes with jumps. │ Stochastic Processes and their applications, , Volume 118, Issue 7, July 2008, Pages 1136-1158. │ 118 (7),pp.1136-1158 (Co-authored)
55.	2008	Estimating Multi-dimensional density functions for random variables in Wiener space. │ . C. R. Math. Acad. Sci. Paris, , vol. 346, 335-338, 2008. │ 346,pp.335-338 (Co-authored)
56.	2007	Models for insider trading with finite utility. . │ Paris-Princeton Lectures on Mathematical Finance Series: Lecture Notes in Mathematics, , Vol. 1919,103-172, 2007. │ 1919,pp.103-172 (Co-authored)
57.	2006	A duality approach for the weak approximations of stochastic differential equations │ . . Annals of Applied Probability, 2006 Vol. 16, No. 3 , │ 16 (3),pp.1124-1154. (Co-authored)
58.	2006	Utility maximization in an insider influenced market. │ . Mathematical Finance, , Vol 16, 1, January 2006, 153--179. │ 16 (1),pp.153-179 (Co-authored)
59.	2005	A large trader-insider model │ . . Procceedings of the Ritsumeikan Congress on Stochastic Process and Mathematical Finance, 2005. │ (Co-authored)
60.	2005	Densities of one dimensional bsde's │ Potential Analysis , 22, N3, 263-287, 2005. │ 22 (3),pp.263-287 (Co-authored)
61.	2005	Hints for an extension of the early exercise premium formula for American options, │ Physica A 355, 152-157. │ 355,pp.152-157 (Co-authored)
62.	2004	A BPE model for the Burgers equation. │ Publications of the Research Institute for the Mathematical Sciences, 40, 487-505, 2004. │ 40,pp.487-505 (Co-authored)
63.	2004	Additional utility of insiders with imperfect dynamical information. │ Finance and Stochastics, 8, 437-450 2004. │ 8,pp.437-450 (Co-authored)
64.	2004	Malliavin Calculus in Finance │ Handbook of Computational Finance. Birkhauser, │ (Co-authored)
65.	2003	Computation of Greeks for Barrier and Lookback Options using Malliavin Calculus. │ Electronic Communications in Probability. │ 8,pp.51-62 (Co-authored)
66.	2003	Local Vega index and variance reduction methods. │ Mathematical Finance, 13, 85-97, 2003. │ 13,pp.85-97 (Co-authored)
67.	2003	Lower bound estimates for densities of uniformly elliptic random variables on Wiener space. │ Probability Theory and Related Fields, │ 126,pp.421-457 (Sole-authored)
68.	2003	Lower bounds for denisties of uniformly elliptic non-homogeneous diffusions. │ Procceedings of the Stochastic Inequalities Conference in Barcelona. Progress in Probability, │ 56,pp.323-338 (Sole-authored)
69.	2003	Malliavin Calculus applied to finance. │ Physica A │ 320,pp.548-570 (Co-authored)
70.	2003	Monte Carlo evaluation of Greeks for multidimensional barrier and lookback options. │ Mathematical Finance, │ 13,pp.99-113 (Co-authored)
71.	2003	On moments and tail behaviors of storage processes. │ Journal of Applied Probability │ 20,pp.1069-1086 (Co-authored)
72.	2002	Logarithmic estimates for the density of hypoelliptic two parameter diffusions. │ Journal of Functional Analysis, v.190, 481-506, (2002). │ 190,pp.481-506 (Co-authored)
73.	2002	Rate of convergence of a particle method to the solution of the Mc Kean - Vlasov 's Equation . │ Annals of Applied Probability │ 12,pp.423-476 (Co-authored)
74.	2002	Variance Reduction Methods for Simulation of Densities on Wiener Space │ SIAM Journal on Numerical Analysis │ 40,pp.431-450 (Co-authored)
75.	2001	Asymptotic behaviour of the density in a parabolic spde. │ Journal of Theoretical Probability, 14, 427-462, 2001. │ 14,pp.427-462 (Co-authored)
76.	2001	Stratonovich type sde's with normal reflection driven by semimartingales. │ Sankya, Series A, │ 63,pp.194-228 (Co-authored)
77.	2001	Weak approximations: A Malliavin calculus approach │ Mathematics of Computation, (70), 135-172, 2001. │ 70,pp.135-172 (Sole-authored)
78.	2000	Filtration stability of backward sde's. │ Stochastic Analysis and Its Applications │ 18,pp.11-37 (Co-authored)
79.	1997	Anticipating Stochastic Differential Equations of the Stratonovich type. │ Applied Mathematics and Optimization │ 36,pp.263-289 (Co-authored)
80.	1997	Existence and regularity of the density for solutions to stochastic differential equations with boundary conditions. │ Stochastics and Stochastic Reports │ 60,pp.1-22 (Co-authored)
81.	1997	High order It\^o-Taylor approximations to heat kernels. │ Journal of Mathematics of Kyoto University, │ 37 (1),pp.129-151 (Sole-authored)
82.	1997	Stochastic differential equations with random coefficients. │ Bernoulli │ 3 (2),pp.233-245 (Co-authored)
83.	1997	Weak rate of convergence for an Euler scheme of nonlinear SDE's. │ Monte Carlo Methods and Its Applications, vol 3, 327-345, 1997. │ 3,pp.327-345 (Co-authored)
84.	1996	Strong approximations for stochastic differential equations with boundary conditions. │ Stochastic Processes and their Applications │ 61,pp.323-337 (Co-authored)
85.	1996	The Euler approximation for stochastic differential equations with boundary conditions. │ Proceedings of the ``Workshop on Turbulent Diffusion and Related Problems in Stochastic Numerics". The Institute of Statistical Mathematics, Tokio │ (Sole-authored)
86.	1995	Numerical Solutions of Anticipating Stochastic Differential Equations. │ Stochastics and Stochastic Reports, │ 54,pp.247-269 (Co-authored)
87.	1994	The Euler scheme for SDE's driven by semimartingales. In Stochastic analysis on infinite dimensional spaces │ 1994. H. Kunita and H.Kuo (Eds.), Pitman Research Notes in Mathematics Series │ 310,pp.141-151 (Co-authored)
88.	1991	Weak Convergence of Infinite Order U-processes. │ Statistics and Probability Letters │ 12,pp.145-151 (Sole-authored)
89.	1990	Weak Convergence of a Sequence of Stochastic Processes Related with U-statistics. │ Osaka Journal of Mathematics. │ 27,pp.361-371 (Sole-authored)