6

Densities of One-Dimensional Backward SDEs

Fabio Antonelli, Arturo Kohatsu-Higa
Journal:
Potential Analysis
Year:
2005
Language:
english
File:
PDF, 377 KB
english, 2005
7

Local Vega Index and Variance Reduction Methods

Hans-Peter Bermin, Arturo Kohatsu-Higa, Miquel Montero
Journal:
Mathematical Finance
Year:
2003
Language:
english
File:
PDF, 127 KB
english, 2003
8

UTILITY MAXIMIZATION IN AN INSIDER INFLUENCED MARKET

Arturo Kohatsu-Higa, Agnès Sulem
Journal:
Mathematical Finance
Year:
2006
Language:
english
File:
PDF, 202 KB
english, 2006
9

Weak Kyle–Back Equilibrium Models for Max and ArgMax

Kohatsu-Higa, A., Ortiz-Latorre, S.
Journal:
SIAM Journal on Financial Mathematics
Year:
2010
Language:
english
File:
PDF, 424 KB
english, 2010
10

A market model with medium/long-term effects due to an insider

Hata, Hiroaki, Kohatsu-Higa, Arturo
Journal:
Quantitative Finance
Year:
2013
Language:
english
File:
PDF, 369 KB
english, 2013
11

Stochastic Analysis with Financial Applications ||

Kohatsu-Higa, Arturo, Privault, Nicolas, Sheu, Shuenn-Jyi
Year:
2011
Language:
english
File:
PDF, 5.47 MB
english, 2011
21

Lower bounds for densities of Asian type stochastic differential equations

Vlad Bally, Arturo Kohatsu-Higa
Journal:
Journal of Functional Analysis
Year:
2010
Language:
english
File:
PDF, 296 KB
english, 2010
23

Jump-adapted discretization schemes for Lévy-driven SDEs

Arturo Kohatsu-Higa, Peter Tankov
Journal:
Stochastic Processes and their Applications
Year:
2010
Language:
english
File:
PDF, 502 KB
english, 2010
24

Insider Models with Finite Utility in Markets with Jumps

Arturo Kohatsu-Higa, Makoto Yamazato
Journal:
Applied Mathematics & Optimization
Year:
2011
Language:
english
File:
PDF, 1.08 MB
english, 2011
25

Anticipating Stochastic Differential Equations of Stratonovich Type

A. Kohatsu-Higa, J. A. León
Journal:
Applied Mathematics & Optimization
Year:
1997
Language:
english
File:
PDF, 249 KB
english, 1997
28

Malliavin Calculus applied to finance

Miquel Montero, Arturo Kohatsu-Higa
Journal:
Physica A: Statistical Mechanics and its Applications
Year:
2003
Language:
english
File:
PDF, 316 KB
english, 2003
29

Asymptotic Behavior of the Density in a Parabolic SPDE

A. Kohatsu-Higa, D. Márquez-Carreras, M. Sanz-Solé
Journal:
Journal of Theoretical Probability
Year:
2001
Language:
english
File:
PDF, 247 KB
english, 2001
40

Stochastic Differential Equations with Random Coefficients

Arturo Kohatsu-Higa, Jorge A. León and David Nualart
Journal:
Bernoulli
Year:
1997
Language:
english
File:
PDF, 999 KB
english, 1997
43

Filtration stability of backward sde's

Antonelli, Fabio, Kohatsu-Higa, Arturo
Journal:
Stochastic Analysis and Applications
Year:
2000
Language:
english
File:
PDF, 748 KB
english, 2000
46

Weak approximations. A Malliavin calculus approach

Kohatsu-Higa, Arturo
Journal:
Mathematics of Computation
Year:
2000
Language:
english
File:
PDF, 473 KB
english, 2000
48

Weak Approximations. A Malliavin Calculus Approach

Arturo Kohatsu-Higa
Journal:
Mathematics of Computation
Year:
2001
Language:
english
File:
PDF, 2.36 MB
english, 2001
49

On Moments and Tail Behaviors of Storage Processes

Arturo Kohatsu-Higa and Makoto Yamazato
Journal:
Journal of Applied Probability
Year:
2003
Language:
english
File:
PDF, 1.22 MB
english, 2003