研究者学術情報データベース

（最終更新日 : 2023-04-19 03:00:07）

Visruth.jpg not found

コハツーヒガ　アルトゥーロ
KOHATSU-HIGA　Arturo
KOHATSU-HIGA Arturo

所属理工学部数理科学科

職名教授

その他所属
1.	理工学研究科
2.	ＢＫＣ社系研究機構ファイナンス研究センター

学歴
1.	1992/07 (学位取得)	博士

著書
1.	2019/07	Jump SDEs and the Study of Their Densities │ ,1-346 (共著)
2.	2011/04	Stochastic Analysis With Financial Applications　Hong Kong 2009 │ ,438 (共著)
3.	2011	Statistical Inference and Malliavin Calculus │ (共著)
4.	2010	Computation of Greek and multidimensional density estimation for asset price models with time-changed Brownian Motion │ ,1466-4313 (共著)
5.	2010	Lower bounds for densities of Asian type stochastic differential equations │ ,Issue 9, 1 3134-3164 (共著)
全件表示（7件）

論文
1.	2023	Joint density of the stable process and its supremum: regularity and upper bounds. │ Bernouilli │ (共著)
2.	2023	Simulation of Reflected Brownian motion on two dimensional wedges │ Stoch. Proc. and App. │ 156,349-378頁 (共著)
3.	2023	Small time chaos approximations for heat kernels of multidimensional diffusions │ BIT Numerical Mathematics volume │ (共著)
4.	2022/01/23	Density estimates for jump diffusion processes │ Applied Mathematics and Computation │ 420 (1) (共著)
5.	2022	"Using moment approximations to study the density of jump driven SDEs │ 27 (61),1-21頁 (共著)
全件表示（88件）

学会発表
1.	2023/03/07	Approximations for Black-Scholes model with regime switching (Seminar Imperial College)
2.	2022/10/31	The risk of killing a diffusion
3.	2022/05/30	Probabilistic representation of the derivative of a one dimensional killed diffusion semigroup and associated BEL formula (Conference on Stochastic Analysis and Stochastic Partial Differential Equations)
4.	2022/04/28	Simulation of Reflected Brownian motion on two dimensional wedges (Victoria Seminar)
5.	2022/01/14	Acceleration of convergence and regularity of the law for jump processes (International Seminar on SDEs and Related Topics)
全件表示（88件）

科学研究費助成事業
1.	2020/04 ～ 2024/03	滑らかでない拡散過程の部分積分公式とその応用 │ 基盤研究(C)
2.	2012 ～ 2015/03	滑らかでない確率微分方程式の理論：数値解析への応用 │ 基盤研究(B)
3.	2010 ～ 2013/03	数理ファイナンスにおける確率制御・フィルタリングの方法の発展と応用(長井　英生) │ 基盤研究(B)
4.	2009 ～ 2015/03	複雑な金融商品の数学的構造と無限次元解析(コハツ‐ヒガ　アルトゥーロ) │ その他

教育活動

●その他教育活動上特記すべき事項

1.	2015/08 ～ 2015/08	2015 年度確率論ヤングサマーセミナー
2.	2014/04 ～ 2014/06	Stochastic Differential equations with irregular coefficients
3.	2012/06 ～ 2012/06	Simulation of Levy Driven Stochastic Differential Equations by, Bernoulli special semester course, EPFL, Switzerland,
4.	2011/08 ～ 2012/01	法制大学の集中講義（前期と後期）：確率過程
5.	2011/07 ～ 2011/07	高校等の模擬講義：守山デモンストレーションデー
全件表示（6件）

研究者からのメッセージ
1.	Mathematical aspects of Simulation of Stochastic Systems My research interests are centered on various applied and theoretical aspects of simulation for stochastic systems which evolve with time. In particular, stochastic equations of different types. These equations may have various applications in finance, engineering and physics. One of the challenges consists in studying their theoretical properties and obtaining eficcient simulation methods. Therefore students working with me may do theoretical studies related with these problems or either simulation studies which have a strong mathematically oriented theoretical basis. We sometimes also try to test newly proposed simulation methods and find some theoretical basis to explain their behavior. The goal is to obtain fast and accurate methods that can be used in various practical problems and therefore there is a strive to achieve some generality over particularity. Usually, students working on simulations will be proficient in C programming or other similar languages such as scilab or octave. On the theoretical side, we request basic knowledge and interest in either probability theory, stochastic process or Monte Carlo methods. Our students, usually interact with the group of mathematical finance where they can also experience the direct feeling of applications to real problems. Therefore our group is very active, we encourage discussions between students, visitors and professors. We have frequent seminars, many times given by visitors from various countries and backgrounds therefore achieving a high scientific interaction which promotes learning and the spread of information. We also encourage communication in foreign languages due to the multi-culturality of our group.

ホームページ
Arturo Kohatsu-Higa's webpage

メールアドレス