日本語
顔写真
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)  
■Research activities   (Even top three results are displayed. In View details, all results for public presentation are displayed.)

Books
Jump SDEs and the Study of Their Densities  Kohatsu-Higa, Arturo, Takeuchi, Atsushi  Springer  1-346  07/2019  978-981-329-741-8
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
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Papers
Integration by parts formula for killed processes: a point of view of
approximation theory  Noufel Frikha, Arturo Kohatsu-Higa, Libo Li  Electronical Journal of Probability  24/ 95, 1-44  09/2019
Tuning of a Bayesian estimator under discrete time observations and unknown transition density  A. Kohatsu-Higa, N. Vayatis and K. Yasuda  Theory of Stochastic Processes  39/ 1  2018
STOCHASTIC FORMULATIONS OF THE PARAMETRIX METHOD  Arturo Kohatsu-Higa and Go Yuki  ESAIM: Probability and Statistics  22, 178−209  2018  1292-8100  https://doi.org/10.1051/ps/2018013
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Research presentations
Perspectives on Statistical Methods for Time Dependent Processes (Session organizer)  ISI-WSC 2019  08/21/2019
Integration by parts formula for stopped processes: An unbiased formula  Workshop on Stochastic Analysis and Applications  06/04/2019
Sensitivity analysis: some irregular examples  Seminario: Data Lab  04/23/2019
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■Teaching experience   (Even top three results are displayed. In View details, all results for public presentation are displayed.)

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