- 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
- 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, 979-1024
- Arturo Kohatsu-Higa, Dai Taguchi, Jie Zhong Parametrix methods for skew diffusions. Potential Analysis, August 2016, Volume 45, Issue 2, pp 299-329
- Patrik Andersson, Arturo Kohatsu-Higa, Exact simulation of stochastic differential equations using parametrix expansions. To appear in Bernoulli
- 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.
- 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)
- 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
- 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
- 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
- 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
- . 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.
- 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..
- 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 - Weak Approximations for SDE’s 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,
- 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 - 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. - M. Hayashi and A. Kohatsu-Higa.
*Smoothness of the distribution of the supremum of a multi-dimensional diffusion proces*s.*Potential Analysis*, 2013,38/1, 57-77 - 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. - .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. - Arturo Kohatsu-Higa, Nicolas Vayatis and Kazuhiro Yasuda
*Strong consistency of the Bayesian estimator forthe Ornstein-Uhlenbeck process*To appear in the procceedings of the Metabief Conference. - .A. Kohatsu-Higa, N. Vayatis, Kazuhiro Yasuda
*Strong consistency of Bayesian estimator underdiscrete observations and unknown transition density*Proceedings of the Workshop on Stochastic Analysis on Stochastic Analysis with Financial Applications: Hong Kong 2009. Birkhauser 2011. - .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) - .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 - .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. - A. Kohatsu-Higa and P. Tankov
*"Jump-adapted discretization schemes for Levy-driven SDEs*. Stochastic Processes and their Applications, Vol. 120, 2010, 2258-2285. - .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, - 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 - 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 - J.M. Corcuera and A. Kohatsu-Higa.
*Statistical Inference and Malliavin Calculus*. . Seminar on Stochastic Analysis, Random Fields and Applications VI, 2011 , - 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 - 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 - 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 - 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. - 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 - 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) - 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.
- 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. - 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. - 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. - 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. - A. Kohatsu-Higa. and A. Sulem.
*A large trader-insider model.*. Procceedings of the Ritsumeikan Congress on Stochastic Process and Mathematical Finance, 2005. - A. Kohatsu-Higa. and A. Sulem.
*Utility maximization in an insider influenced market.*. Mathematical Finance, , Vol 16, 1, January 2006, 153--179. - F. Antonelli, A. Kohatsu-Higa.
*Densities of one dimensional bsde's*Potential Analysis , 22, N3, 263-287, 2005. - 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.
- 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. - 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. - 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). - A. Kohatsu-Higa and M. Yamazato.
*On moments and tail behaviors of storage processes.*Journal of Applied Probability, 20, 1069-1086, 2003. - A. Kohatsu-Higa and M. Montero.
*Malliavin Calculus in Finance.*Handbook of Computational Finance. Birkhauser, 2004. - 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. - 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. - A. Kohatsu-Higa and M. Montero.
*Malliavin Calculus applied to finance.*Physica A 320, 548--570 (2003) - G. Bernis, E. Gobet, A. Kohatsu-Higa. Monte Carlo evaluation of Greeks for multidimensional barrier and lookback options. Mathematical Finance, 13, 99-113, 2003
- H.-P. Bermin, A. Kohatsu-Higa, M. Montero. Local Vega index and variance reduction methods. Mathematical Finance, 13, 85-97, 2003.
- A. Kohatsu-Higa, R. Pettersson. Variance Reduction Methods for Simulation of Densities on Wiener Space SIAM Journal on Numerical Analysis , vol40, 431-450, 2002.
- 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). - 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). - A. Kohatsu-Higa, D. Marquez, M. Sanz. Asymptotic behaviour of the density in a parabolic spde. Journal of Theoretical Probability, 14, 427-462, 2001.
- 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.* - A. Kohatsu-Higa.
*Weak approximations: A Malliavin calculus approach*Mathematics of Computation, (70), 135-172, 2001. - F. Antonelli, A. Kohatsu-Higa. Filtration stability of backward sde's. Stochastic Analysis and Its Applications, vol 18, 11-37, 2000.
- 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. - A. Kohatsu-Higa, J. Leon. Anticipating Stochastic Differential Equations of the Stratonovich type., Applied Mathematics and Optimization, vol. 36, 263-289, 1997.
- A. Kohatsu-Higa, J. Leon, D. Nualart. Stochastic differential equations with random coefficients. Bernoulli, vol 3, 2, 233-245, 1997.
- A. Kohatsu-Higa.
*High order It\^o-Taylor approximations to heat kernels.*Journal of Mathematics of Kyoto University, vol 37, 1, 129-151, 1997. - 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.
- 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.
- H. Ahn, A. Kohatsu-Higa. Numerical Solutions of Anticipating Stochastic Differential Equations. Stochastics and Stochastic Reports, vol. 54, 247-269, 1995.
- A. Kohatsu-Higa. Weak Convergence of Infinite Order U-processes. Statistics and Probability Letters, vol. 12, 1991, 145-151.
- A. Kohatsu-Higa. Weak Convergence of a Sequence of Stochastic Processes Related with U-statistics. Osaka Journal of Mathematics. vol. 27, 1990, 361-371.
- 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.
- 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.