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顔写真
理工学部  /
数理科学科

 コハツーヒガ   アルトゥーロ   (男)
 KOHATSU-HIGA    Arturo   教授
 Arturo   KOHATSU-HIGA

■兼務所属(本学内)
BKC社系研究機構   /
ファイナンス研究センター
理工学研究科
■取得学位
博士 (1992/07 パデュー大学)  
■委員歴
 Bernoulli Society Council Member
■所属学会
日本数学会  
Bernoulli Society  
■研究業績一覧  (上位3件までを表示します。一覧表示では、公開対象の全件を表示します。)

著書
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  2011/04  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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論文
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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研究発表等
Regularity of the law for an exit time for one-dimensional elliptic diffusions  Probability & Statistics Seminar, Kansas University  2016/09/21
Probabilistic Interpretation of the Parametrix Method.  Probability Seminar, Iowa State University  2016/09/14
Probabilist interpretation of the Parametrix method  Oslo University, Probability Seminar, Department of Mathematics  2016/08/31
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科学研究費助成事業
科学研究費助成事業データベースへのリンク

研究高度化推進制度
研究の国際化推進プログラム   -     数理科学における国際化の推進と発展強化   代表   -   2015/04-2016/03   2015   1,500,000   
学外研究制度   -     無限次元解析:数値解析のための新技術   -   国外   2014/04-2014/09   2014     フランス・ペルー・スペイン 
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■教育業績一覧  (上位3件までを表示します。一覧表示では、公開対象の全件を表示します)

担当授業科目
2016  アクチュアリー数学Ⅰ  講義
2016  数学展望  講義
2016  数学表現法特論  講義
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教育活動
2015 年度確率論ヤングサマーセミナー  2015/08-2015/08
Stochastic Differential equations with irregular coefficients  2014/04-2014/06
Simulation of Levy Driven Stochastic

Differential Equations by, Bernoulli special semester course, EPFL,

Switzerland,  2012/06-2012/06
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■研究者からのメッセージ
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.
■関連URL
 Arturo Kohatsu-Higa's webpage