College of Science and Engineering
Department of Mathematical Sciences
Research Organization of Social Science (BKC) /
Research Center for Finance
Graduate School of Science and Engineering
PhD (07/1992 Purdue University)
Bernoulli Society Council Member
■Academic society memberships
The Mathematical Society of Japan
■Research activities (Even top three results are displayed. In View details, all results for public presentation are displayed.)
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
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
Weak rate of convergence of the Euler-Maruyama scheme for stochastic differential equations with non-regular drift Antoine Lejay , Arturo Kohatsu-Higa and Kazuhiro Yasuda Journal of Computational and Applied Mathematics 138-158 07/2017
Unbiased simulation methods based on the parametrix II Séminaire généraliste de l'équipe de Probabilités et Statistiques 04/19/2018
Unbiased simulation methods based on the parametrix I Groupe de travail généraliste de l'équipe de Probabilités et Statistiques 04/12/2018
Unbiased simulation methods of order two WORKSHOP ON
"MATHEMATICAL FINANCE AND RELATED ISSUES" 03/16/2018
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.)
2017 Exercises in Linear Algebra Ⅰ Seminar
2017 Thesis Seminar
2017 Individual Research1 Seminar
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,
■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.
Arturo Kohatsu-Higa's webpage