研究者学術情報データベース

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

学会発表
1.	2024/03/06	El caso de la derivada del proceso de difusión asesinado (Seminario de Probabilidad y Procesos Estocásticos UNAM, Semestre 2024-II)
2.	2024/02/22	30 años de ruido: La historia del ruido útil (seminario pucp)
3.	2024/01/30	Dérivation des processus tués (seminaire ceramics)
4.	2023/11/30	Some simple cases of the derivative duality between killing and reflection (Seminar on applied probability in Okinawa)
5.	2023/11/06	Probabilistic representation for the derivative of a killed process: The multi-dimensional case (Stochastic Analysis)
6.	2023/10/19	Density estimates for the joint law of the stable process and its supremum
7.	2023/10/18	How non-local behavior may arise from continuous diffusions (Heuristics)
8.	2023/09/29	A PROBABILISTIC REPRESENTATION OF THE DERIVATIVE OF A ONE DIMENSIONAL KILLED DIFFUSION SEMIGROUP AND ASSOCIATED BISMUT-ELWORTHY-LI FORMULA
9.	2023/06/26	Derivatives of killed diffusions (11th ICSAA)
10.	2023/06/22	La dérivée d'un processus de diffusion tué (Journées de Probabilités 2023)
11.	2023/06/14	Derivatives of killed processes (International Conference on Malliavin Calculus and Related Topics)
12.	2023/05/30	A multi-level method to study the law of the supremum of a stable process (Mathematical Finance and Stochastic)
13.	2023/03/07	Approximations for Black-Scholes model with regime switching (Seminar Imperial College)
14.	2022/12/03	Derivatives of Killed Diffusions Semigroups can be represented using reflected processes (確率解析とその周辺)
15.	2022/10/31	The risk of killing a diffusion (MATRIX Risk meeting)
16.	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)
17.	2022/04/28	Simulation of Reflected Brownian motion on two dimensional wedges (Victoria Seminar)
18.	2022/01/14	Acceleration of convergence and regularity of the law for jump processes (International Seminar on SDEs and Related Topics)
19.	2021/11/03	Simulation of Reflected Brownian motion on two dimensional wedges (One World: Stochastic Numerics and Inverse Problems Seminar Series)
20.	2021/10/30	Filtering of Stochastic Systems (The 53rd ISCIE International Symposium on Stochastic Systems Theory and Its Applications)
21.	2021/10/20	On the differential behavior of stopped diffusions (Stochastics and Finance Seminar. The University of Sydney)
22.	2021/09/23	Upper bounds for the joint density of a stable process and its supremum (LSA Autumn Meeting 2021)
23.	2021/01/19	UPPER BOUNDS FOR THE JOINT DENSITY OF A STABLE PROCESS AND ITS MAXIMUM (University College London Probability Seminar)
24.	2020/12/23	Joint Density estimates for a stable process and its maximum (2020年度確率論シンポジウム)
25.	2020/11/28	Upper density estimates for the marginal law of an stable process and its maximum (無限分解可能過程に関連する諸問題)
26.	2020/11/25	Upper density estimates for the marginal law of an stable process and its maximum (2020年度確率解析シンポジウム)
27.	2020/07/28	A story of stopping and reflection (Monash Probability seminar)
28.	2020/06/18	UPPER BOUNDS FOR THE JOINT DENSITY OF A STABLE PROCESS AND ITS MAXIMUM (UNIVAQ RANDOM TALKS)
29.	2019/08/21	Perspectives on Statistical Methods for Time Dependent Processes (Session organizer) (ISI-WSC 2019)
30.	2019/06/04	Integration by parts formula for stopped processes: An unbiased formula (Workshop on Stochastic Analysis and Applications)
31.	2019/04/23	Sensitivity analysis: some irregular examples (Seminario: Data Lab)
32.	2019/03/15	Organizer (Perturbation Techniques in Stochastic Analysis and Its Applications)
33.	2018/12/11	Représentations markoviennes des expansions analytiques des solutions des edp et ses applications (Seminaire de Marne)
34.	2018/08/06	An IBP formula for a stopped process (Third Conference on Ambit Fields and Related Topics)
35.	2018/07/04	IBP for Stopped Processes (Workshop on Stochastic Analysis and Related Topics)
36.	2018/06/13	Probabilistic interpretation of the parametrix method (Stochastic Processes and their Applications)
37.	2018/06/07	Parametrix based simulations of order 2 (Seminaire Bachellier de Paris)
38.	2018/04/19	Unbiased simulation methods based on the parametrix II (Séminaire généraliste de l'équipe de Probabilités et Statistiques)
39.	2018/04/12	Unbiased simulation methods based on the parametrix I (Groupe de travail généraliste de l'équipe de Probabilités et Statistiques)
40.	2018/04/12	Unbiased simulation methods based on the parametrix I, II (Seminaire de probabilites de Nancy)
41.	2018/03/16	Unbiased simulation methods of order two (WORKSHOP ON "MATHEMATICAL FINANCE AND RELATED ISSUES)
42.	2018/01/27	関西大学確率論セミナー (Unbiased Monte Carlo Methods for diffusions and its functionals. The parametrix point of view)
43.	2017/07/17	Simulation methods based on the parametrix (London Mathematical Society EPSRC Durham Symposium Stochastic Analysis)
44.	2016/09/21	Regularity of the law for an exit time for one-dimensional elliptic diffusions (Probability & Statistics Seminar, Kansas University)
45.	2016/09/14	Probabilistic Interpretation of the Parametrix Method. (Probability Seminar, Iowa State University)
46.	2016/08/31	Probabilist interpretation of the Parametrix method (Oslo University, Probability Seminar, Department of Mathematics)
47.	2016/08/22	Parametrix methods: Probabilistic interpretations (WORKSHOP: STOCHASTIC PROCESSES - NUMERICAL METHODS AND RELATED TOPICS)
48.	2016/06/08	On an alternative method for unbiased simulation for multidimensional stochastic differential equations and other applications. (オペレーションズリサーチ学会北海道支部. サマースクール 2016)
49.	2016/05/31	Probabilistic interpretation of the parametrix method (Modern methods of stochastic analysis and statistics)
50.	2015/12/08	Parametrix: Probabilistic interpretations (New trends in stochastic analysis)
51.	2015/10/08	The parametrix method applied to skew diffu- sions The parametrix method is a method in partial differential equations that allows the expansion of solutions for uniformly elliptic parabolic equations with Holder coefficients. In this talk, I will present a methodology to analyse the behaviour of the density of the so-called skew diffusions. This class of one dimensional diffusions have discontinuous coefficients at one point. We show how to apply the parametrix method using skew brownian motion. We also give some conclusions about the regularity of the density and a probabilistic representation. (Stochastic calculus, Monte-Carlo methods and Mathematical Finance A Conference in honor of Professor Vlad Bally)
52.	2015/07/27	Diffusion models with discontinuous coefficients (東北大学確率論セミナー)
53.	2015/07/07	Models with Discontinuous Coefficients (The Third Asian Quantitative Finance Conference)
54.	2015/03/18	Some methods of proof for the Euler-Maruyama scheme (Mathematical Finance and Related Issues)
55.	2015/01/27	The probabilistic parametrix method as a simulation method (Conference on Mathematical Analysis in Economic Theory)
56.	2014/12/18	The Parametrix as a Monte Carlo Simulation Method for SDEs (Quantitative Mathematical Finance QMF 2014)
57.	2014/12/12	The Parametrix Method and its Probabilistic Interpretations (Risk: Modelling, Optimization, Inference. 2014)
58.	2014/07/08	The parametrix method for jump sdes (Computational Methods for Jump Processes. Warwick,)
59.	2014/06/25	Stochastic di fferential equations with irregular coe fficients. (Statistics, Jump Processes and Malliavin Calculus: Recent Applications. Barcelona)
60.	2014/05/10	Probabilistic representation of the parametrix method. (Stochastic Analysis in Finance and Insurance. Oberwolfach Workshop.)
61.	2014/04/02	The parametrix for non-markov processes (Seminar on Mathematical Finance, Numerical Probability and Statistics of Processes of LPMA)
62.	2014/01/26	A Survey on the Parametrix Method for Irregular Coe fficients. (Third Mathematical Finance Joint Seminar. Atami, Japan)
63.	2013/09/03	LAMN property for jump type processes (Asymptotic Statistics and Related Topics: Theories and Methodologies)
64.	2013/08/26	Statistical inference and Malliavin calculus. (Special Session on Recent advance in stochastic processes and their applications. World Statistics Congress,)
65.	2013/03/18	Multi level Monte Carlo (MLMC) for irregular functions and irregular diffusions., (International Workshop on Quantitative Finance,)
66.	2013/02/15	Approximations faibles pour quelques fonctionnelles irrégulières (Groupe de travail modélisation stochastique et finance)
67.	2012/12/01	Recent Advances in Infinite Dimensional Analysis with Applications (金融工学・数理計量ファイナンスの諸問題 2012)
68.	2012/06/21	Simulation of Levy Driven Stochastic Differential Equations by (Bernoulli special semester course)
69.	2012/06/05	Some Malliavin Calculus Techniques to Deal with Diffusions with Irregular Drifts (Stochastic Analysis and Its Applications)
70.	2012/03/26	On weak approximation of stochastic differential equations with discontinuous drift ceofficient. (Computational Stochastics)
71.	2012/03/01	Greeks and Simulation in models with jumps (conférence finance quantitative et statistique à Paris Diderot)
72.	2011/12/19	On the smoothness of the fundamental solution for some non-elliptic partial differential equation with non-smooth coefficients (Seminar of the Institute of Mathematics at Academia Sinica)
73.	2011/09/23	Approximations for SDEs driven by Levy processes (Workshop Rough Paths and Numerical Integration Methods21.-23.09.2011)
74.	2011/06/19	Estimates for the error of some simulationschemes for sde's driven by Lévy processes (35th Conference on Stochastic Processes and their Applications)
75.	2011/05/24	Approximation methods for stochastic differential equations driven by L'evy processes (Seventh Seminar onStochastic Analysis, Random Fields and Applications)
76.	2011/03/19	Methods to Deal with Non-smooth Coefficients in Malliavin Calculus (KU David Nualart Conference)
77.	2011/02/26	A Malliavin calculus method to study densities of additive functionalsof SDE's with irregular drifts (IMPACT-Workshop Peter Imkeller)
78.	2011/02/11	A Malliavin Calculus method to study SDE's with irregular drifts. 21/2/2011 (INRIA, Sophia-Antipolis, Tosca project seminar.)
79.	2010/12/29	Department of Systems Engineering and Engineering Management. (Seminar at The Chine University of Hong Kong)
80.	2010/08/14	A Malliavin Calculus method to study SDE's with irregular drifts. Indian Statistical Institute, Bangalore-India, August 13-17, 2010 (ICM Satellite Conference on Probability and Stochastic Processes,)
81.	2010/08/04	Numerical Methods for SDEs driven by Levy processes. August 4-12, 2010. (Short course at Sydney University, Sydney- Australia,)
82.	2010/08/02	Approximations for SDE Driven by Levy Processes (KIER-TMU International Workshop on Financial Engineering)
83.	2010/07/14	A Malliavin Calculus method to study SDE's with irregular drifts. , Korea, July 14, 2010. (Ajou Conference in honour of Alain Bensoussan)
84.	2010/05/07	Malliavin Calculus for SDE's with irregular drift. (Seminar of Probability and Numerical Methods at Universite de Marne-La Vallee)
85.	2010/02/18	Recent results on Greek estimation for nancial quantities. (ICC Workshop on IT Convergence. KAIST, Korea.)
86.	2010/02/05	Higher order Monte Carlo Schemes for SDEs. (Workshop on Statistics and Mathematical Finance.)
87.	2009/08/05	Approximations for SDE's driven by L'evy processes. (France and Stochastics for and from Finance)
88.	2009/04/15	Approximations for SDE's driven by L'evy processes. (Third Conference on Numerical Methods in Finance)
89.	2009/02/24	Insiders as large traders (Special Seminar (Danwakai) Osaka University. Faculty of Engineering Sciences.)
90.	2009/02/12	Risk measures in Finance (Annual Meeting of the Spanish Statistic and Operation Research Society)
91.	2009/01/22	Insiders as large traders (Mathematical Finance and Related Fields (local workshop) at Kyushu University.)
92.	2008/12/15	semigroup approach for weak approximations with an application to infinite activity L'evy driven SDEs (Universitat de Barcelona)
93.	2008/12/06	Estimating multidimensional density functions using the Malliavin-Thalmaier formula. (Invited Session "Modelling the nancial markets". World Congress of the International Association of Statistical Computing.)
94.	2008/11/18	A semigroup approach for weak approximations with an application to in nite activity L'evy driven SDEs. (Workshop on Computational Methods with Applications in Finance, Insurance and the Life Sciences AND Stochastic Methods in Partial Di erential Equations and Applications of Deterministic and Stochastic PDEs.)
95.	2008/08/26	A semigroup approach for weak approximations with an application to in nite activity L'evy driven SDEs. (Workshop on Numerics and Stochastics)
96.	2008/06/25	Estimating multidimensional density functions using the Malliavin-Thalmaier formula. (Thematic Days. Centre de Recerca Matematica)
97.	2008/05/29	Weak Back equlibrium. Insider models for the max and arg max. (Finance Seminar)
98.	2008/05/06	Weak Kyle-Back models for the max and argmax. (Third Generalv Amamef Conference)
99.	2008/03/20	Weak Kyle-Back models for the max and argmax. (Stochastic Processes and Applications in Mathematical Finance.)
100.	2008/03/05	Weak Back equlibrium. Insider models for the max and arg max. (Chinese University of Hong Kong. Department of Industrial Engineering and Systems.)
101.	2007/08/07	Estimating multidimensional density functions using the Malliavin-Thalmaier formula. (Applicationsin Finance. International Conference of Mathematics on the 90th anniversary of the Ponti cia Universidad Cat olica del Peru.)