Papers
Number of the published data : 76
No. Title of presented paper Author's name etc. Journal name Volume/issue,page Date of Publication ISSN DOI URL
1 LAN property for an ergodic diffusion with jumps
ARTURO KOHATSU-HIGA, EULALIA NUALART AND NGOC KHUE TRAN
Statistics
51/ 2, 419-454
2017



2 Exact simulation of stochastic differential equations using parametrix expansions.
Andersson, P. and Kohatsu-Higa, A.
Bernoulli
23/ 3, 2028-2057
2017



3 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



4 Gaussian type lower bounds for the density of solutions of SDEs driven by fractional Brownian motions.
Mireia Besalú, Arturo Kohatsu-Higa, Samy Tindel,
Annals of Probability
44, 399-433
2016



5 A short course on weak approximations for Lèvy driven SDE's
A. Kohatsu-Higa
Stochastic Analysis: A Series of Lectures
247-270
2015



6 A probabilistic interpretation of the parametrix method
Vlad Bally and Arturo Kohatsu-Higa
Ann. Appl. Probab.
25/ 6, 3095-3138
2015



7 Optimal transport bounds between the time-marginals of a multidimensional diffusion and its Euler scheme
Aurélien Alfonsi (Ecole des Ponts ParisTech) Benjamin Jourdain (Ecole des Ponts ParisTech) Arturo Kohatsu-Higa (Ritsumeikan University)
Electronic Journal of Probability
20, 1-31
06/2015

10.1214/EJP.v20-4195
http://ejp.ejpecp.org/article/view/4195
8 LAN property for a simple Lévy process
Arturo Kohatsu-Higa, , Eulalia Nualart, , Ngoc Khue Tran
Comptes Rendus Mathematique
352/ 10, 859–864
2014

DOI: 10.1016/j.crma.2014.08.013
http://www.sciencedirect.com/science/article/pii/S1631073X14001800
9 Pathwise optimal transport bounds between a one-dimensional diffusion and its Euler scheme
A. Alfonsi, B. Jourdain, and A. Kohatsu-Higa
Ann. Appl. Probab.
24/ 3, 1049-1080
2014

doi:10.1214/13-AAP941
http://projecteuclid.org/euclid.aoap/1398258095
10 Hölder continuity property of the densities of SDEs with singular drift coefficients
Masafumi Hayashi and Arturo Kohatsu and Go Yuki
Electron. J. Probab.
19, 1-22
2014
1083-6489
10.1214/EJP.v19-2609

11 Approximations of non-smooth integral type functionals of one dimensional diffusion processes
Arturo Kohatsu-Higa and Ngo Long and Azmi Makhlouf
Stochastic Processes and their Applications.
124/ 5, 1881–1909
2014

10.1016/j.spa.2014.01.003
http://www.sciencedirect.com/science/article/pii/S030441491400012X
12 Optimal simulation schemes for Levy driven stochastic differential equations
Arturo Kohatsu-Higa Salvador Ortiz-Latorre Peter Tankov
Mathematics of Computation
83, 2293-2324
2014

http://dx.doi.org/10.1090/S0025-5718-2013-02786-X
http://www.ams.org/journals/mcom/2014-83-289/S0025-5718-2013-02786-X/
13 Strong consistency of the Bayesian estimator for the Ornstein-Uhlenbeck process .
Arturo Kohatsu-Higa, Nicolas Vayatis and Kazuhiro Yasuda
Inspired by Finance. The Musiela Festschrift.
411-437
2014



14 An Ornstein-Uhlenbeck-Type process which satisfies sufficient conditions for a simulation based filtering procedure
A. Kohatsu-Higa, K. Yasuda
In A Festschrift in Honor of David Nualart
173-193
2013



15 A Market model with Medium/Long term effects due to an insider
H. Hata, A. Kohatsu-Higa.
Quant. Math. Fin.
17, 421-437
2013



16 Estimates for the density of functionals of SDE's with irregular drift.
Arturo Kohatsu-Higa and Azmi Makhlouf.
Stochastic Processes and their Applications.
123, 1716-1728
2013



17 A short course on weak approximations for Levy driven SDE's.
A. Kohatsu-Higa
Proceedings of the Bernoulli short course at EPFL, 2012. Progress in Probability series.
68, 247-270
2013



18 Weak Approximations for SDE’s driven by Levy processes
A. Kohatsu-Higa, and Hoang-Long Ngo
Progress in Probability,
67, 131-169
2013



19 Local Holder Continuity Property of the Densities of Solutions of SDEs with Singular Coefficients,
M.Hayashi,A. Kohatsu-Higa, G.Yuki
Journal of Theoretical ProbabilityDecember
26/ 4, 117-1134
2013



20 Smoothness of the distribution of the supremum of a multi-dimensional diffusion process
M. Hayashi and A. Kohatsu-Higa.
Potential Analysis
Volume 38/ 1, 57-77
01/2013



21 A Malliavin Calculus method to study densities of additive functionals of SDE's with irregular drifts.
A. Kohatsu-Higa and A. Tanaka.
Annales de l'Institut Henri Poincare, 2011
Volume 48/ 3, 871-883
2012



22 楠岡近似の紹介
コハツ-ヒガ アルトゥーロ・田中章博,
数学
63/ 3, 294-312
2011



23 Insider modelling with finite utility in markets with jumps
A. Kohatsu-Higa and M. Yamazato.
Applied Mathematics and Optimization
64/ 2, 217-255
2011



24 Statistical Inference and Malliavin Calculus
J.M. Corcuera and A. Kohatsu-Higa.
Seminar on Stochastic Analysis, Random Fields and Applications VI, 2011
63, 59-82
2011



25 A review of recent results on approximation of solutions of stochastic differential equations.
B. Jourdain and A. Kohatsu-Higa.
Proceedings of the Workshop on Stochastic Analysis with Financial Applications: Hong Kong 2009. Birkhauser 2011.

2011



26 Two examples of an insider with medium/long term effects on the underlying.
H. Hata and A. Kohatsu-Higa.
Proceedings of the KIER-TMU Workshop, Recent Advances in Financial Engineering, World Scientific, 2011

2011



27 Modelling of financial markets with inside information in continuous time (review paper).
A. Kohatsu-Higa and S. Ortiz-Latorre.
Stochastics and Dynamics (2011)
Vol.11, 411-438
2011



28 A Strong consistency of Bayesian estimator under discrete observations and unknown transition density
A. Kohatsu-Higa, N. Vayatis, Kazuhiro Yasud
Proceedings of the Workshop on Stochastic Analysis on Stochastic Analysis with Financial Applications: Hong Kong 2009. Birkhauser 2011.

2011



29 金融工学におけるMalliavin解析を用いた感度計算
A. Kohatsu-Higa, 安田和弘
オペレーションズ・リサーチ : 経営の科学
55/ 10, 643-649
2010



30 Lower bounds for densities of Asian type stochastic differential equations
V. Bally and A. Kohatsu-Higa.
Journal of Functional Analysis
258/ 9,1, 3134-3164
2010



31 Weak Kyle-Back equilibrium models for Max and ArgMax
A. Kohatsu-Higa and S. Ortiz.
SIAM Journal on Financial Mathematics
1, 179-211
2010



32 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



33 Jump-adapted discretization schemes for Levy-driven SDEs
A. Kohatsu-Higa and P. Tankov
Stochastic Processes and their Applications
120, 2258-2285
2010



34 Estimating Multidimensional Density Functions using the Malliavin-Thalmaier Formula
A. Kohatsu-Higa and K. Yasuda
SIAM Journal of Numerical Analysis
47/ 2, 1546-1575
2009



35 An Operator Approach for Markov Chain Weak Approximations with an Application to Infinite Activity L'evy Driven SDEs
H. Tanaka and A. Kohatsu-Higa.
Annals of Applied Probability
19/ 3, 1026-1062
2009



36 Simulation on multidimensional density functions through the Malliavin-Thalmaier formula and its application to finance
A. Kohatsu-Higa, K. Yasuda,
Proceedings of the 40th ISCIE International Symposium on Stochastic Systems Theory and Its Applications
342-347
2009



37 Estimation of Densities for Heston-type Models through the Malliavin-Thalmaier Method and its Application to the Calculation of Greeks,
A. Kohatsu-Higa, K. Yasuda,
International Journal of Innovative Computing, Information and Control
6, 199-213
2009



38 A review of recent results on Malliavin Calculus and its applications
Kohatsu-Higa and K. Yasuda.
Radon Series on Computational and Applied Mathematics, Walter de Gruyter, 2009, vol 8, 275-302
8, 275-302
2009



39 Enlargement of filtrations with random times for processes with jumps.
A. Kohatsu-Higa. and M. Yamazato.
Stochastic Processes and their applications, , Volume 118, Issue 7, July 2008, Pages 1136-1158.
118/ 7, 1136-1158
2008



40 An Optimal Control Variance Reduction Method for Density Estimation.
A. Kebaier and A. Kohatsu-Higa.
Stochastic Processes and their applications, , Vol. 118, 2143-2180, 2008.
118, 2143-2180
2008



41 Estimating Multi-dimensional density functions for random variables in Wiener space.
A. Kohatsu-Higa and K. Yasuda.
. C. R. Math. Acad. Sci. Paris, , vol. 346, 335-338, 2008.
346, 335-338
2008



42 "Anticipative Stochastic Control for Levy processes with Application to Insider Trading"
Giulia Di Nunno, A. Kohatsu-Higa, Thilo Meyer-Brandis, Bernt Oksendal, Frank Proske and Agnes Sulem.
Mathematical Modelling and Numerical Methods in Finance. Handbook of Numerical Analysis, Bensoussan and Zhang (eds.), 2008.North Holland

2008



43 Models for insider trading with finite utility. .
A. Kohatsu-Higa.
Paris-Princeton Lectures on Mathematical Finance Series: Lecture Notes in Mathematics, , Vol. 1919,103-172, 2007.
1919, 103-172
2007



44 Utility maximization in an insider influenced market.
A. Kohatsu-Higa. and A. Sulem.
. Mathematical Finance, , Vol 16, 1, January 2006, 153--179.
16/ 1, 153-179
2006



45 A duality approach for the weak approximations of stochastic differential equations
E. Clement, A. Kohatsu-Higa. and D. Lamberton.
. . Annals of Applied Probability, 2006 Vol. 16, No. 3 ,
16/ 3, 1124-1154.
2006



46 Hints for an extension of the early exercise premium formula for American options,
Bermin, H.-P., A. Kohatsu-Higa, J. Perell?,
Physica A 355, 152-157.
355, 152-157
2005



47 Densities of one dimensional bsde's
F. Antonelli, A. Kohatsu-Higa.
Potential Analysis , 22, N3, 263-287, 2005.
22/ 3, 263-287
2005



48 A large trader-insider model
A. Kohatsu-Higa. and A. Sulem.
. . Procceedings of the Ritsumeikan Congress on Stochastic Process and Mathematical Finance, 2005.

2005



49 Malliavin Calculus in Finance
A. Kohatsu-Higa and M. Montero.
Handbook of Computational Finance. Birkhauser,

2004



50 Additional utility of insiders with imperfect dynamical information.
J.M. Corcuera, P. Imkeller, A. Kohatsu-Higa and D. Nualart.
Finance and Stochastics, 8, 437-450 2004.
8, 437-450
2004



51 A BPE model for the Burgers equation.
S. Ogawa, A. Kohatsu-Higa.
Publications of the Research Institute for the Mathematical Sciences, 40, 487-505, 2004.
40, 487-505
2004



52 Local Vega index and variance reduction methods.
H.-P. Bermin, A. Kohatsu-Higa, M. Montero.
Mathematical Finance, 13, 85-97, 2003.
13, 85-97
2003



53 Monte Carlo evaluation of Greeks for multidimensional barrier and lookback options.
G. Bernis, E. Gobet, A. Kohatsu-Higa.
Mathematical Finance,
13, 99-113
2003



54 Malliavin Calculus applied to finance.
A. Kohatsu-Higa and M. Montero.
Physica A
320, 548-570
2003



55 Lower bound estimates for densities of uniformly elliptic random variables on Wiener space.
A. Kohatsu-Higa.
Probability Theory and Related Fields,
126, 421-457
2003



56 Lower bounds for denisties of uniformly elliptic non-homogeneous diffusions.
A. Kohatsu-Higa.
Procceedings of the Stochastic Inequalities Conference in Barcelona. Progress in Probability,
56, 323-338
2003



57 On moments and tail behaviors of storage processes.
A. Kohatsu-Higa and M. Yamazato.
Journal of Applied Probability
20, 1069-1086
2003



58 Computation of Greeks for Barrier and Lookback Options using Malliavin Calculus.
E. Gobet and A. Kohatsu-Higa.
Electronic Communications in Probability.
8, 51-62
2003



59 Logarithmic estimates for the density of hypoelliptic two parameter diffusions.
A. Kohatsu-Higa, D. Marquez, M. Sanz.
Journal of Functional Analysis, v.190, 481-506, (2002).
190, 481-506
2002



60 Rate of convergence of a particle method to the solution of the Mc Kean - Vlasov 's Equation .
F. Antonelli, A. Kohatsu-Higa.
Annals of Applied Probability
12, 423-476
2002



61 Variance Reduction Methods for Simulation of Densities on Wiener Space
A. Kohatsu-Higa, R. Pettersson.
SIAM Journal on Numerical Analysis
40, 431-450
2002



62 Weak approximations: A Malliavin calculus approach
A. Kohatsu-Higa.
Mathematics of Computation, (70), 135-172, 2001.
70, 135-172
2001



63 Stratonovich type sde's with normal reflection driven by semimartingales.
A. Kohatsu-Higa. Sankya, Series A,
Sankya, Series A,
63, 194-228
2001



64 Asymptotic behaviour of the density in a parabolic spde.
A. Kohatsu-Higa, D. Marquez, M. Sanz.
Journal of Theoretical Probability, 14, 427-462, 2001.
14, 427-462
2001



65 Filtration stability of backward sde's.
F. Antonelli, A. Kohatsu-Higa.
Stochastic Analysis and Its Applications
18, 11-37
2000



66 Existence and regularity of the density for solutions to stochastic differential equations with boundary conditions.
A. Kohatsu-Higa, M. Sanz.
Stochastics and Stochastic Reports
60, 1-22
1997



67 High order It\^o-Taylor approximations to heat kernels.
A. Kohatsu-Higa.
Journal of Mathematics of Kyoto University,
37/ 1, 129-151
1997



68 Stochastic differential equations with random coefficients.
A. Kohatsu-Higa, J. Leon, D. Nualart.
Bernoulli
3/ 2, 233-245
1997



69 Anticipating Stochastic Differential Equations of the Stratonovich type.
A. Kohatsu-Higa, J. Leon.
Applied Mathematics and Optimization
36, 263-289
1997



70 Weak rate of convergence for an Euler scheme of nonlinear SDE's.
A. Kohatsu-Higa, S. Ogawa.
Monte Carlo Methods and Its Applications, vol 3, 327-345, 1997.
3, 327-345
1997



71 The Euler approximation for stochastic differential equations with boundary conditions.
A. Kohatsu-Higa.
Proceedings of the ``Workshop on Turbulent Diffusion and Related Problems in Stochastic Numerics". The Institute of Statistical Mathematics, Tokio

1996



72 Strong approximations for stochastic differential equations with boundary conditions.
M. Ferrante, A. Kohatsu-Higa, M. Sanz.
Stochastic Processes and their Applications
61, 323-337
1996



73 Numerical Solutions of Anticipating Stochastic Differential Equations.
H. Ahn, A. Kohatsu-Higa.
Stochastics and Stochastic Reports,
54, 247-269
1995



74 The Euler scheme for SDE's driven by semimartingales. In Stochastic analysis on infinite dimensional spaces
A. Kohatsu-Higa, P. Protter
1994. H. Kunita and H.Kuo (Eds.), Pitman Research Notes in Mathematics Series
310, 141-151
1994



75 Weak Convergence of Infinite Order U-processes.
A. Kohatsu-Higa
Statistics and Probability Letters
12, 145-151
1991



76 Weak Convergence of a Sequence of Stochastic Processes Related with U-statistics.
A. Kohatsu-Higa.
Osaka Journal of Mathematics.
27, 361-371
1990