Researcher Database

（Last updated : 2024-04-02 17:29:40）

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KOHATSU-HIGA Arturo

Department / Course College of Science and Engineering Department of Mathematical Sciences

Title / Position Professor

Other Affiliations
1.	Graduate School of Science and Engineering
2.	Research Organization of Social Science (BKC) Research Center for Finance

Academic background
1.	1992/07 Degree Acquisition	PhD

Books
1.	2019/07	Jump SDEs and the Study of Their Densities │ ,pp.1-346 (Co-authored)
2.	2011/04	Stochastic Analysis With Financial Applications　Hong Kong 2009 │ ,pp.438 (Co-authored)
3.	2011	Statistical Inference and Malliavin Calculus │ (Co-authored)
4.	2010	Computation of Greek and multidimensional density estimation for asset price models with time-changed Brownian Motion │ ,pp.1466-4313 (Co-authored)
5.	2010	Lower bounds for densities of Asian type stochastic differential equations │ ,pp.Issue 9, 1 3134-3164 (Co-authored)
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Papers
1.	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. To appear, 2024. │ (Co-authored)
2.	2024	On some asymptotic expansions of skew diffusions. N. Frikha and A. Kohatsu-Higa. Mathematics of Risk 2022, Springer. To appear, 2024. │ (Co-authored)
3.	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) (Co-authored)
4.	2023	Joint density of the stable process and its supremum: regularity and upper bounds. │ Bernouilli │ 29 (4),pp.3443-3469 (Co-authored)
5.	2023	Simulation of Reflected Brownian motion on two dimensional wedges │ Stoch. Proc. and App. │ 156,pp.349-378 (Co-authored)
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Academic conference presentation
1.	2023/11/30	Some simple cases of the derivative duality between killing and reflection (Seminar on applied probability in Okinawa)
2.	2023/11/06	Probabilistic representation for the derivative of a killed process: The multi-dimensional case (Stochastic Analysis)
3.	2023/06/22	La dérivée d'un processus de diffusion tué (Journées de Probabilités 2023)
4.	2023/05/30	A multi-level method to study the law of the supremum of a stable process (Mathematical Finance and Stochastic)
5.	2022/12/03	Derivatives of Killed Diffusions Semigroups can be represented using reflected processes (確率解析とその周辺)
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Teaching achievements

●Other Special Instructions about Teaching Activities

1.	2014/04 ～ 2014/06	Stochastic Differential equations with irregular coefficients
2.	2012/06 ～ 2012/06	Simulation of Levy Driven Stochastic Differential Equations by, Bernoulli special semester course, EPFL, Switzerland,

Message
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.

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Arturo Kohatsu-Higa's webpage

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