Some published articles:

* Papers not available in this page can be sent upon request.

  1. Arturo Kohatsu-Higa, Eulalia Nualart, Ngoc Khue Tran, LAN property for an ergodic diffusion with jumps. Statistics (GSTA), Volume 51, 2017 - Issue 2, 419-454
  2. Arturo Kohatsu-Higa, Libo Li, Regularity of the density of a stable-like driven sde with Holder continuous coefficients. Stochastic Analysis and Its Applications, Volume 34, 2016 - Issue 6, 979-1024r
  3. Arturo Kohatsu-Higa, Dai Taguchi, Jie Zhong Parametrix methods for skew diffusions. Potential Analysis, August 2016, Volume 45, Issue 2, pp 299-329
  4. Patrik Andersson, Arturo Kohatsu-Higa, Exact simulation of stochastic differential equations using parametrix expansions. To appear in Bernoulli
  5. Mireia Besalu, Arturo Kohatsu-Higa, Samy Tindel, Gaussian type lower bounds for the density of solutions of SDEs driven by fractional Brownian motions. Annals of Probability, Volume 44, Number 1 (2016), 399-443.
  6. Vlad Bally and Arturo Kohatsu-Higa, A probabilistic interpretation of the parametrix method, Ann. Appl. Probab., 25/ 6, 3095-3138, 2015 (with some typos corrected. Thanks to Long)
  7. A. Alfonsi, Benjamin Jourdain, Arturo Kohatsu-Higa. Optimal transport bounds between the time-marginals of a multidimensional diffusion and its Euler scheme . Electronic Journal of Probability 20, 1-31 06/2015
  8. Arturo Kohatsu-Higa, Eulalia Nualart, Ngoc Khue Tran, LAN property for a simple Levy process ,C. R. Acad. Sci. Paris, Ser. I 352, 859-864,2014
  9. Masafumi Hayashi and Arturo Kohatsu and Go Yuki, H?lder continuity property of the densities of SDEs with singular drift coefficients, Electron. J. Probab.,19,2014, no. 77, 1-22
  10. Approximations of non-smooth integral type functionals of one dimensional diffusion processesStochastic Processes and their Applications, 124/ 5, 1881?1909. Arturo Kohatsu-Higa and Ngo Long and Azmi Makhlouf
  11. . Pathwise optimal transport bounds between a one-dimensional diffusion and its Euler scheme. Annals of Applied Probability. 24/ 3, 1049-1080, 2014 Aurelien Alfonsi, Benjamin Jourdain and Arturo Kohatsu-Higa.
  12. Estimates for the density of functionals of SDE's with irregular drift. Stochastic Processes and their Applications. Arturo Kohatsu-Higa and Azmi Makhlouf, 2013, 123, 1716-1728..
  13. Optimal simulation schemes for Levy driven stochastic differential equations by Arturo Kohatsu-Higa Salvador Ortiz-Latorre Peter Tankov
    Mathematics of Computation, 83, 2293-2324, 2014
  14. Weak Approximations for SDEfs driven by Levy processes. A. Kohatsu-Higa, and Hoang-Long Ngo. Seminar on Stochastic Analysis, Random Fields and Applications VII. Centro Stefano Franscini, Ascona, May 2011Series: Progress in Probability, Vol. 67, 131--169,
  15. H. Hata, A. Kohatsu-Higa. A Market model with Medium/Long term effects due to an insider. 13 , pp. 421-437(17)Quantitative Mathematical Finance, 2013
  16. M. Hayashi, A. Kohatsu-Higa and G. Yuki. Local Holder continuity property of the densities of solutions of SDEs with singular coefficients. Journal of Theoretical Probability, December 2013, Volume 26, Issue 4, pp 1117-1134.
  17. M. Hayashi and A. Kohatsu-Higa. Smoothness of the distribution of the supremum of a multi-dimensional diffusion process. Potential Analysis, 2013,38/1, 57-77
  18. A. Kohatsu-Higa and M. Yamazato. Insider modelling and logarithmic utilityfor models with jumps. Applied Mathematics and Optimization, Volume 64, Issue 2 (2011) , Page 217-255.
  19. .A. Kohatsu-Higa and A. Tanaka. A Malliavin Calculus method to study densities of additivefunctionals of SDE's with irregular drifts. Annales de l'Institut Henri Poincare, 2012, 48, 871-883.
  20. Arturo Kohatsu-Higa, Nicolas Vayatis and Kazuhiro YasudaStrong consistency of the Bayesian estimator forthe Ornstein-Uhlenbeck processTo appear in the procceedings of the Metabief Conference.
  21. .A. Kohatsu-Higa, N. Vayatis, Kazuhiro YasudaStrong consistency of Bayesian estimator underdiscrete observations and unknown transition densityProceedings of the Workshop on Stochastic Analysis on Stochastic Analysis with Financial Applications: Hong Kong 2009. Birkhauser 2011.
  22. .A. Kohatsu-Higa and S. Ortiz-Latorre. Modelling of financial markets with inside information in continuous time (review paper). Stochastics and Dynamics, 1 Vol. 11, (2011)
  23. .H. Hata and A. Kohatsu-Higa.Two examples of an insider with medium/long termeffects on the underlying. Proceedings of the KIER-TMU Workshop, Recent Advances in Financial Engineering, World Scientific, 2011
  24. .B. Jourdain and A. Kohatsu-Higa. A review of recent results onapproximation of solutions of stochastic differential equations.Proceedings of the Workshop on Stochastic Analysis with Financial Applications: Hong Kong 2009. Birkhauser 2011.
  25. A. Kohatsu-Higa and P. Tankov "Jump-adapted discretization schemes for Levy-driven SDEs . Stochastic Processes and their Applications, Vol. 120, 2010, 2258-2285.
  26. .V. Bally and A. Kohatsu-Higa. "Lower bounds for densities of Asian type stochastic differential equations . Journal of Functional Analysis Volume 258, Issue 9, 1, 2010, Pages 3134-3164,
  27. A. Kohatsu-Higa and S. Ortiz. Weak Kyle-Back equilibrium models for Max and ArgMax . . SIAM Journal on Financial Mathematics, vol. 1, 179-211, 2010
  28. R. Kawai and A. Kohatsu-Higa. Computation of Greek and multidimensional density estimation for asset price models with time-changed Brownian Motion . . Applied Mathematical Finance, 1466-4313, 2010
  29. J.M. Corcuera and A. Kohatsu-Higa. Statistical Inference and Malliavin Calculus . . Seminar on Stochastic Analysis, Random Fields and Applications VI, 2011 ,
  30. A. Kohatsu-Higa and K. Yasuda. A review of recent results on Malliavin Calculus and its applications . . Radon Series on Computational and Applied Mathematics, Walter de Gruyter, 2009, vol 8, 275-302
  31. Giulia Di Nunno, A. Kohatsu-Higa, Thilo Meyer-Brandis, Bernt Oksendal, Frank Proske and Agnes Sulem. "Anticipative Stochastic Control for Levy processes with Application to Insider Trading" . . Mathematical Modelling and Numerical Methods in Finance. Handbook of Numerical Analysis, Bensoussan and Zhang (eds.), 2008.North Holland
  32. A. Kohatsu-Higa, K. Yasuda, Estimation of Densities for Heston-type Models through the Malliavin-Thalmaier Method and its Application to the Calculation of Greeks, . . International Journal of Innovative Computing, Information and Control, vol 6, 2009 199-213
  33. A. Kohatsu-Higa, K. Yasuda, Simulation on multidimensional density functions through the Malliavin-Thalmaier formula and its application to finance, . . Proceedings of the 40th ISCIE International Symposium on Stochastic Systems Theory and Its Applications, 342-347, 2009.
  34. H. Tanaka and A. Kohatsu-Higa. An Operator Approach for Markov Chain Weak Approximations with an Application to Infinite Activity L\'{e}vy Driven SDEs. . Annals of Applied Probability, . 2009, Vol. 19, No. 3, 1026-1062
  35. A. Kohatsu-Higa and K. Yasuda. Estimating Multidimensional Density Functions using the Malliavin-Thalmaier Formula. . SIAM Journal of Numerical Analysis, . Volume 47, Issue 2, pp. 1546-1575 (2009)
  36. A. Kohatsu-Higa and K. Yasuda. Estimating Multi-dimensional density functions for random variables in Wiener space. . C. R. Math. Acad. Sci. Paris, , vol. 346, 335-338, 2008.
  37. A. Kebaier and A. Kohatsu-Higa. An Optimal Control Variance Reduction Method for Density Estimation. Stochastic Processes and their applications, , Vol. 118, 2143-2180, 2008.
  38. A. Kohatsu-Higa. Models for insider trading with finite utility. . Paris-Princeton Lectures on Mathematical Finance Series: Lecture Notes in Mathematics, , Vol. 1919,103-172, 2007.
  39. A. Kohatsu-Higa. and M. Yamazato. Enlargement of filtrations with random times for processes with jumps. Stochastic Processes and their applications, , Volume 118, Issue 7, July 2008, Pages 1136-1158.
  40. E. Clement, A. Kohatsu-Higa. and D. Lamberton. A duality approach for the weak approximations of stochastic differential equations. . Annals of Applied Probability, 2006 Vol. 16, No. 3 , 1124-1154.
  41. A. Kohatsu-Higa. and A. Sulem. A large trader-insider model. . Procceedings of the Ritsumeikan Congress on Stochastic Process and Mathematical Finance, 2005.
  42. A. Kohatsu-Higa. and A. Sulem. Utility maximization in an insider influenced market. . Mathematical Finance, , Vol 16, 1, January 2006, 153--179.
  43. F. Antonelli, A. Kohatsu-Higa. Densities of one dimensional bsde's Potential Analysis , 22, N3, 263-287, 2005.
  44. Bermin, H.-P., A. Kohatsu-Higa, J. Perell?, 2005, Hints for an extension of the early exercise premium formula for American options, Physica A 355, 152-157.
  45. S. Ogawa, A. Kohatsu-Higa. A BPE model for the Burgers equation. Publications of the Research Institute for the Mathematical Sciences, 40, 487-505, 2004.
  46. J.M. Corcuera, P. Imkeller, A. Kohatsu-Higa and D. Nualart. Additional utility of insiders with imperfect dynamical information. Finance and Stochastics, 8, 437-450 2004.
  47. E. Gobet and A. Kohatsu-Higa. Computation of Greeks for Barrier and Lookback Options using Malliavin Calculus. Electronic Communications in Probability. 8, 51-62 (2003).
  48. A. Kohatsu-Higa and M. Yamazato. On moments and tail behaviors of storage processes. Journal of Applied Probability, 20, 1069-1086, 2003.
  49. A. Kohatsu-Higa and M. Montero. Malliavin Calculus in Finance. Handbook of Computational Finance. Birkhauser, 2004.
  50. A. Kohatsu-Higa. Lower bounds for denisties of uniformly elliptic non-homogeneous diffusions. Procceedings of the Stochastic Inequalities Conference in Barcelona. Progress in Probability, 56, 323-338.
  51. A. Kohatsu-Higa. Lower bound estimates for densities of uniformly elliptic random variables on Wiener space. Probability Theory and Related Fields, 126, 421-457, 2003.
  52. A. Kohatsu-Higa and M. Montero. Malliavin Calculus applied to finance. Physica A 320, 548--570 (2003)
  53. G. Bernis, E. Gobet, A. Kohatsu-Higa. Monte Carlo evaluation of Greeks for multidimensional barrier and lookback options. Mathematical Finance, 13, 99-113, 2003
  54. H.-P. Bermin, A. Kohatsu-Higa, M. Montero. Local Vega index and variance reduction methods. Mathematical Finance, 13, 85-97, 2003.
  55. A. Kohatsu-Higa, R. Pettersson. Variance Reduction Methods for Simulation of Densities on Wiener Space SIAM Journal on Numerical Analysis , vol40, 431-450, 2002.
  56. F. Antonelli, A. Kohatsu-Higa. Rate of convergence of a particle method to the solution of the Mc Kean - Vlasov 's Equation . Annals of Applied Probability v. 12, 423-476 (2002).
  57. A. Kohatsu-Higa, D. Marquez, M. Sanz. Logarithmic estimates for the density of hypoelliptic two parameter diffusions. Journal of Functional Analysis, v.190, 481-506, (2002).
  58. A. Kohatsu-Higa, D. Marquez, M. Sanz. Asymptotic behaviour of the density in a parabolic spde. Journal of Theoretical Probability, 14, 427-462, 2001.
  59. A. Kohatsu-Higa. Sankya, Series A, , (63), 194-228, 2001. Stratonovich type sde's with normal reflection driven by semimartingales. Sankya, Series A, , (63), 194-228, 2001.
  60. A. Kohatsu-Higa. Weak approximations: A Malliavin calculus approach Mathematics of Computation, (70), 135-172, 2001.
  61. F. Antonelli, A. Kohatsu-Higa. Filtration stability of backward sde's. Stochastic Analysis and Its Applications, vol 18, 11-37, 2000.
  62. A. Kohatsu-Higa, S. Ogawa. Monte Carlo Methods Weak rate of convergence for an Euler scheme of nonlinear SDE's. Monte Carlo Methods and Its Applications, vol 3, 327-345, 1997.
  63. A. Kohatsu-Higa, J. Leon. Anticipating Stochastic Differential Equations of the Stratonovich type., Applied Mathematics and Optimization, vol. 36, 263-289, 1997.
  64. A. Kohatsu-Higa, J. Leon, D. Nualart. Stochastic differential equations with random coefficients. Bernoulli, vol 3, 2, 233-245, 1997.
  65. A. Kohatsu-Higa. High order It\^o-Taylor approximations to heat kernels. Journal of Mathematics of Kyoto University, vol 37, 1, 129-151, 1997.
  66. A. Kohatsu-Higa, M. Sanz. Existence and regularity of the density for solutions to stochastic differential equations with boundary conditions. Stochastics and Stochastic Reports, vol 60, 1-22, 1997.
  67. M. Ferrante, A. Kohatsu-Higa, M. Sanz. Strong approximations for stochastic differential equations with boundary conditions. Stochastic Processes and their Applications, vol. 61, 323-337, 1996.
  68. H. Ahn, A. Kohatsu-Higa. Numerical Solutions of Anticipating Stochastic Differential Equations. Stochastics and Stochastic Reports, vol. 54, 247-269, 1995.
  69. A. Kohatsu-Higa. Weak Convergence of Infinite Order U-processes. Statistics and Probability Letters, vol. 12, 1991, 145-151.
  70. A. Kohatsu-Higa. Weak Convergence of a Sequence of Stochastic Processes Related with U-statistics. Osaka Journal of Mathematics. vol. 27, 1990, 361-371.
  71. A. Kohatsu-Higa. The Euler approximation for stochastic differential equations with boundary conditions. Proceedings of the ``Workshop on Turbulent Diffusion and Related Problems in Stochastic Numerics". The Institute of Statistical Mathematics, Tokio, 1996.
  72. A. Kohatsu-Higa, P. Protter. The Euler scheme for SDE's driven by semimartingales. In Stochastic analysis on infinite dimensional spaces, 1994. H. Kunita and H.Kuo (Eds.), 141-151, Pitman Research Notes in Mathematics Series ,vol. 310, 1994.
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