Arturo Kohatsu-Higa

According to our database, Arturo Kohatsu-Higa authored at least 9 papers between 1997 and 2022.

Collaborative distances:

• Dijkstra number of five.
• Erdős number of five.

2022

Density estimates for jump diffusion processes.

Arturo Kohatsu-Higa, Eulalia Nualart, Ngoc Khue Tran

Appl. Math. Comput., 2022

2017

Weak rate of convergence of the Euler-Maruyama scheme for stochastic differential equations with non-regular drift.

Arturo Kohatsu-Higa, Antoine Lejay, Kazuhiro Yasuda

J. Comput. Appl. Math., 2017

2014

Optimal simulation schemes for Lévy driven stochastic differential equations.

Arturo Kohatsu-Higa, Salvador Ortiz-Latorre, Peter Tankov

Math. Comput., 2014

2010

Weak Kyle-Back Equilibrium Models for Max and ArgMax.

Arturo Kohatsu-Higa, Salvador Ortiz-Latorre

SIAM J. Financial Math., 2010

2009

Estimating Multidimensional Density Functions Using the Malliavin-Thalmaier Formula.

Arturo Kohatsu-Higa, Kazuhiro Yasuda

SIAM J. Numer. Anal., 2009

2004

Additional utility of insiders with imperfect dynamical information.

José Manuel Corcuera, Peter Imkeller, Arturo Kohatsu-Higa, David Nualart

Finance Stochastics, 2004

2002

Variance Reduction Methods for Simulation of Densities on Wiener Space.

Arturo Kohatsu-Higa, Roger Pettersson

SIAM J. Numer. Anal., 2002

2001

Weak approximations. A Malliavin calculus approach.

Arturo Kohatsu-Higa

Math. Comput., 2001

1997

Weak rate of convergence for an Euler scheme of nonlinear SDE's.

Arturo Kohatsu-Higa, Shigeyoshi Ogawa

Monte Carlo Methods Appl., 1997