研究者学術情報データベース

（最終更新日 : 2025-02-18 08:39:12）　

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コハツーヒガ　アルトゥーロ
KOHATSU-HIGA　Arturo
KOHATSU-HIGA Arturo

所属理工学部数理科学科

職名教授

その他所属
1.	理工学研究科
2.	ＢＫＣ社系研究機構ファイナンス研究センター

学歴
1.	1992/07 (学位取得)	博士

著書
1.	2019/07	「Jump SDEs and the Study of Their Densities」 │ ,1-346
2.	2011/04	「Stochastic Analysis With Financial Applications　Hong Kong 2009」 │ ,438
3.	2011	「Statistical Inference and Malliavin Calculus」
4.	2010	「Computation of Greek and multidimensional density estimation for asset price models with time-changed Brownian Motion」 │ ,1466-4313
5.	2010	「Lower bounds for densities of Asian type stochastic differential equations」 │ ,Issue 9, 1 3134-3164
全件表示（7件）

論文
1.	2024/06/01	Weak approximation for a Black-Scholes type regime switching model │ Applied Mathematical Finance, │ 31 (1),1-36頁
2.	2024	Integration by parts formula for exit times of one dimensional diffusions. N. Frikha, A. Kohatsu-Higa, L. Li. Kolmogorov Operators and Their Applications. S. Menozzi, A. Pascucci, S.Polidoro (Eds.): Springer INdAM Series. 2024. │
3.	2024	On some asymptotic expansions of skew diffusions. N. Frikha and A. Kohatsu-Higa. Mathematics of Risk, Matrix Series, Springer. 2024. │
4.	2024	Upper bounds for the derivatives of the density associated to solutions of stochastic differential equations with jumps │ Journal of Mathematical Analysis and Applications │ 531 (2)
5.	2023	Joint density of the stable process and its supremum: regularity and upper bounds. │ Bernouilli │ 29 (4),3443-3469頁
全件表示（92件）

学会発表
1.	2024/09/24	Weak approximation for a Black-Scholes type regime switching model. （口頭発表，特別・招待講演等）
2.	2024/09/20	The derivative of killed processes （口頭発表，特別・招待講演等）
3.	2024/09/08	停止拡散過程の微分について（口頭発表，特別・招待講演等）
4.	2024/08/10	Derivativion of killed processes: Applications to Finance （口頭発表，特別・招待講演等）
5.	2024/04/25	The derivative of killed processes （口頭発表，特別・招待講演等）
全件表示（106件）

科学研究費助成事業
1.	2020/04 ～ 2024/03	滑らかでない拡散過程の部分積分公式とその応用 │ 基盤研究(C)
2.	2012 ～ 2015/03	滑らかでない確率微分方程式の理論：数値解析への応用 │ 基盤研究(B)
3.	2010 ～ 2013/03	数理ファイナンスにおける確率制御・フィルタリングの方法の発展と応用(長井　英生) │ 基盤研究(B)
4.	2009 ～ 2015/03	複雑な金融商品の数学的構造と無限次元解析(コハツ‐ヒガ　アルトゥーロ) │ その他

授業科目
1.	AI･機械学習
2.	アクチュアリー数学Ⅱ
3.	科学技術表現
4.	数学展望
5.	数学表現法特論
全件表示（13件）

教育活動

●その他教育活動上特記すべき事項

1.	2015/08 ～ 2015/08	2015 年度確率論ヤングサマーセミナー
2.	2014/04 ～ 2014/06	Stochastic Differential equations with irregular coefficients
3.	2012/06 ～ 2012/06	Simulation of Levy Driven Stochastic Differential Equations by, Bernoulli special semester course, EPFL, Switzerland,
4.	2011/08 ～ 2012/01	法制大学の集中講義（前期と後期）：確率過程
5.	2011/07 ～ 2011/07	高校等の模擬講義：守山デモンストレーションデー
全件表示（6件）

研究者からのメッセージ
1.	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.

ホームページ
Arturo Kohatsu-Higa's webpage

メールアドレス