Arturo Kohatsu-Higa

Publication Activity (10 Years)

Years Active: 1997-2022
Publications (10 Years): 2

Top Topics

Fractional Brownian Motion

Stochastic Differential Equations

Maximum A Posteriori Estimation

Diffusion Process

Top Venues

J. Comput. Appl. Math.

Appl. Math. Comput.

Publications

Arturo Kohatsu-Higa, Eulalia Nualart, Ngoc Khue Tran
Density estimates for jump diffusion processes. Appl. Math. Comput. 420 (2022)
Arturo Kohatsu-Higa, Antoine Lejay, Kazuhiro Yasuda
Weak rate of convergence of the Euler-Maruyama scheme for stochastic differential equations with non-regular drift. J. Comput. Appl. Math. 326 (2017)
Arturo Kohatsu-Higa, Salvador Ortiz-Latorre, Peter Tankov
Optimal simulation schemes for Lévy driven stochastic differential equations. Math. Comput. 83 (289) (2014)
Arturo Kohatsu-Higa, Salvador Ortiz-Latorre
Weak Kyle-Back Equilibrium Models for Max and ArgMax. SIAM J. Financial Math. 1 (1) (2010)
Arturo Kohatsu-Higa, Kazuhiro Yasuda
Estimating Multidimensional Density Functions Using the Malliavin-Thalmaier Formula. SIAM J. Numer. Anal. 47 (2) (2009)
José Manuel Corcuera, Peter Imkeller, Arturo Kohatsu-Higa, David Nualart
Additional utility of insiders with imperfect dynamical information. Finance Stochastics 8 (3) (2004)
Arturo Kohatsu-Higa, Roger Pettersson
Variance Reduction Methods for Simulation of Densities on Wiener Space. SIAM J. Numer. Anal. 40 (2) (2002)
Arturo Kohatsu-Higa
Weak approximations. A Malliavin calculus approach. Math. Comput. 70 (233) (2001)
Arturo Kohatsu-Higa, Shigeyoshi Ogawa
Weak rate of convergence for an Euler scheme of nonlinear SDE's. Monte Carlo Methods Appl. 3 (4) (1997)