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College of Science and Engineering  /
Department of Mathematical Sciences

 (Male)
 Arturo   KOHATSU-HIGA  Professor

■Concurrent affiliation
Research Organization of Social Science (BKC)   /
Research Center for Finance
Graduate School of Science and Engineering
■Academic degrees
PhD (07/1992 Purdue University)  
■Committee history
 Bernoulli Society Council Member
■Academic society memberships
The Mathematical Society of Japan  
Bernoulli Society  
■Research activities   (Even top three results are displayed. In View details, all results for public presentation are displayed.)

Books
Statistical Inference and Malliavin Calculus  J.M. Corcuera and A. Kohatsu-Higa.  Seminar on Stochastic Analysis, Random Fields and Applications VI  2011
Stochastic Analysis With Financial Applications Hong Kong 2009  A. Kohatsu-Higa and N. Privault and S.Sheu.  Springer-Verlag  438  04/2011  978-3-0348-0096-9
Computation of Greek and multidimensional density estimation for asset price models with time-changed Brownian Motion  R. Kawai and A. Kohatsu-Higa.  Applied Mathematical Finance  1466-4313  2010
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Papers
LAN property for an ergodic diffusion with jumps  ARTURO KOHATSU-HIGA, EULALIA NUALART AND NGOC KHUE TRAN  Statistics  51/ 2, 419-454  2017
Exact simulation of stochastic differential equations using parametrix expansions.  Andersson, P. and Kohatsu-Higa, A.  Bernoulli  23/ 3, 2028-2057  2017
Regularity of the density of a stable-like driven sde with Hölder continuous coefficients  Arturo Kohatsu-Higa, Libo Li  Stochastic Analysis and Applications  34/ 6, 979-1024  2016
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Research presentations
Regularity of the law for an exit time for one-dimensional elliptic diffusions  Probability & Statistics Seminar, Kansas University  09/21/2016
Probabilistic Interpretation of the Parametrix Method.  Probability Seminar, Iowa State University  09/14/2016
Probabilist interpretation of the Parametrix method  Oslo University, Probability Seminar, Department of Mathematics  08/31/2016
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Grants-in-Aid for Scientific Research (KAKENHI)
Link to Grants-in-Aid for Scientific Research -KAKENHI-
■Teaching experience   (Even top three results are displayed. In View details, all results for public presentation are displayed.)

Courses taught
2016  Actuarial Mathematics 1  Lecture
2016  Perspective in contemporary Mathematics  Lecture
2016  Advanced Topics in Mathematical Writing  Lecture
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Teaching achievements
2015 年度確率論ヤングサマーセミナー  08/2015-08/2015
Stochastic Differential equations with irregular coefficients  04/2014-06/2014
Simulation of Levy Driven Stochastic

Differential Equations by, Bernoulli special semester course, EPFL,

Switzerland,  06/2012-06/2012
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■Message from researcher
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.
■URL
 Arturo Kohatsu-Higa's webpage