|
ホームページ：http://www.ism.ac.jp/~shimura/
論文、プレプリント等：
1. T. Nakata, Exact laws of large numbers for independent Pareto random variables
Bull. Inst. Math. Acad. Sinica (N.S.) Vol. 12, (2017), No. 4, 325--338.
2. T. Nakata, A note on the asymptotics of the maxima for the St. Petersburg game
Stat. Prob. Lett., Vol. 129, (2017), 284--287.
3. K. Kato and D. Kurisu, D. (2017). Bootstrap confidence bands for spectral estimation of Levy densities under high-frequency observations.arXiv:1705.00586.
4. D. Kurisu, (2018). Nonparametric inference on Levy measures of Levy-driven Ornstein-Uhlenbeck processes under discrete observations. arXiv:1803.08671.
5. H. Takahashi and K. Yoshihara(2017), Approximation of solutions of multi-dimensional linear stochastic differential equations defined by weakly dependent random variables, AIMS Mathematics 2017, 2(3): doi: 10. 377-384, 3934/Math.2017.3.377
6. A. Takeuchi, Integration by parts formula for marked Hawkes processes, submitted.
7. A. Takeuchi and H. Tsukada, Remark on pathwise uniqueness of stochastic differential equations driven by Levy processes, submitted.
8. H. Kusumoto and A. Takeuchi, Remark on uniformly convergence rate of generalized extreme value distributions via the Stein equation, submitted.
9. Uehara, Y. and Masuda, H., Two-step estimation of ergodic Levy driven SDE. Statistical Inference for Stochastic Processes, Volume 20, Issue 1, 105-137 (2017) [doi: 10.1007/s11203-016-9133-5]
10. H. Masuda and Y. Shimizu, Moment convergence in regularized estimation under multiple and mixed-rates asymptotics. Mathematical Methods of Statistics, Volume 26, Issue 2, 81-110 (2017) [doi: 10.3103/S1066530717020016]
11. S. Eguchi and H. Masuda, Schwarz type model comparison for LAQ models. Bernoulli, Volume 24, Issue 3, 2278-2327 (2018) [doi: 10.3150/17-BEJ928]
12. M. Tsuchiya, A characterization of temporal homogeneity for additive processes, (accepted for publication in Proceedings to the AMS (January 6, 2017))
13. I.Doku, An estimate of survival probability for superprocesses. J. Saitama Univ. Fac. Educ. (Math. Nat. Sci.) 66 (2017), no.1, 259--263.
14. I.Doku, A support problem for superprocesses in terms of random measure. RIMS Kokyuroku (Kyoto Univ.) Vol.2030 (2017), 108--115.
15. I.Doku, A remark on approximate formula and asymptotic expansion for pseudo-differential operators of Kohn-Nirenberg type. J. Saitama Univ. Fac. Educ. (Math. Nat. Sci.) 66 (2017), no.2, 589--598.
16. I. Doku, A statistical method based on multivariate analysis in the comprehensive evaluation of achievement test: from the standpoint of principal components analysis. J. Saitama Univ. Fac. Educ. (Math. Nat. Sci.) 66 (2017), no.2, 599-611.
17. H. Hashimoto and T. Tsuchiya, Stability problems for Cantor stochastic differential equations, Stochastic Processes and their Applications, Volume 128, Issue 1, 2018, Pages 211-232, ISSN 0304-4149, https://doi.org/10.1016/j.spa.2017.04.008.
18. T. Arai, A closed-form representation of mean-variance hedging for additive processes via Malliavin calculus, submitted (with Y. Imai).
19. T. Arai, Optimal initial capital induced by the optimized certainty equivalent, submitted (with T. Asano and K. Nishide).
20. T. Arai, Numerical analysis on quadratic hedging strategies for normal inverse Gaussian models. to appear in Advances in Mathematical Economics (with Y. Imai and R. Nakashima).
21. T. Arai, On the difference between locally risk-minimizing and delta hedging strategies for exponential Levy models, Japan Journal of Industrial and Applied Mathematics vol.34, pp.845-858, 2017 (with Y. Imai).
22. S. Kaji, On distributions of first passage times of martingales arising in some gambling problems (with A. Novikov), Japan Journal of Industrial and Applied Mathematics(2017), vol. 34, issue 3, pp. 859-871.
23. S. Kaji, First passage problems over increasing boundaries for Levy processes with exponentially decayed Levy measures, Theory of Probability and Its Applications(2017), vol.61, no.1, pp. 140-151
24. Y. Ishikawa, H. Kunita and M. Tsuchiya, Smooth density and its short time estimate for jump process determined by SDE, https://doi.org/10.1016/j.spa.2017.10.016
25. A. Lindner, L. Pan and K. Sato. On quasi-infinitely divisible distributions, to appear in Transactions of Amer.Math.Soc.
26. Y. Ishikawa, T. Yamanobe, Asymptotic expansion of a nonlinear oscillator with a jump-diffusion process, submitted.
27. K. Handa, Hierarchical coagulation-fragmentation equations and underlying stochastic dynamics, in preparation.
28. T. Hasebe and Y. Ueda, Large time unimodality for classical and free Brownian motions with initial distributions, ALEA Lat. Am. J. Probab. Math. Stat. 2018年3月受理
29. M. Matsui, T. Mikosch, and G. Samorodnitsky, Distance Covariance For Stochastic Processes, (2017), Probability and Mathematical Statistics, 37, 355--372. Applications of distance correlation to time series, (2018)
30. R.A. Davis, M. Matsui, T. Mikosch and P. Wan, Applications of distance correlation to time series, (2018), Bernoulli 24, 3087--3116.
31. C. Profeta, K. Yano and Y. Yano. Local time penalizations with various clocks for one-dimensional diffusions. J. Math. Soc. Japan, to appear.
32. K. Noba, J.-L. Perez, K. Yamazaki and K. Yano. On optimal periodic dividend strategies for Levy risk processes. Insurance Math. Econom.,80,29--44, 2018.
33. 矢野孝次. 無限過去を持つ時間発展の情報系分解問題について. ランダム力学系理論の総合的研究, 数理解析研究所講究録, to appear.
34. 矢野孝次. DLAに関係する数学の話題．ランダム力学系理論とその応用, 数理解析研究所講究録, 2028, 69--80, 2017.
35. 野場啓, 矢野孝次. Gerber-Shiu 測度のスケール関数による表示公式について. 数理解析研究所講究録2030「確率論シンポジウム」, 92—98, 2017.
36. 野場啓. On optimal periodic dividend strategies for Levy risk processes. 白浜研究集会(9), 59--62.
37. 世良透. 無限測度を保つエルゴード変換に対する逆正弦法則. 第9回白浜研究集会報告集, 38--45, 2018.
38. 世良透. Generalized arcsine laws for infinite ergodic transformations. ランダム力学系理論の総合的研究, 数理解析研究所講究録, to appear.
|