コハツ・ヒガ アルトゥーロ（立命館大学 数理科学科 教授）
Profile
パデュー大学にて博士の学位を取得(1992年7月)。
その後、バルセロナ（スペイン）等諸外国で研究活動に従事。2005年から2011年3月まで大阪大学基礎工学部・基礎工学研究科准教授、2011年4月より立命館大学教授（現職）。日本金融・証券計量・工学学会（JAFEE）の英文ジャーナル"Asia-Pacific Financial Markets（APFM）"や、"SIAM Journal on Financial Mathematics (SIFIN)"などの編集委員を務める。
JST-CREST「数学と諸分野の協働によるブレークスルーの探索」において2009年より【複雑な金融商品の数学的構造と無限次元解析】をテーマとするプロジェクトを立ち上げ、チームリーダーを務めている。
編集委員としての活動
- Asia-Pacific Financial Markets：編集委員
- Siam Journal on Financial Mathematics：編集委員 (- 2016.12.)
- Acta Applicandae Mathematicae：編集委員 (- 2016)
- American Journal of Algorithms and Computing：編集委員 (- 2013.2.)
This journal is a new free access journal which is supported by charging printing fees to the authors.
- Stochastic Processes and their Applications：編集委員 (- 2011.5.)
研究内容
Mathematical aspects of Simulation of Stochastic Systems
My research interests are centered on various applied and theoretical aspects of simulation for stochastic systems which evolve with time.
In particular, stochastic equations of different types. These equations may have various applications in finance, engineering and physics.
One of the challenges consists in studying their theoretical properties and obtaining efficient simulation methods.
Therefore students working with me may do theoretical studies related with these problems or either simulation studies
which have a strong mathematically oriented theoretical basis. We sometimes also try to test newly proposed simulation methods
and find some theoretical basis to explain their behavior. The goal is to obtain fast and accurate methods that can be used in
various practical problems and therefore there is a strive to achieve some generality over particularity.
Usually, students working on simulations will be proficient in C programming or other similar languages such as scilab or octave.
On the theoretical side, we request basic knowledge and interest in either probability theory, stochastic process or Monte Carlo methods.
Our students, usually interact with the group of mathematical finance where they can also experience the direct feeling of applications
to real problems. Therefore our group is very active, we encourage discussions between students, visitors and professors.
We have frequent seminars, many times given by visitors from various countries and backgrounds therefore achieving a
high scientific interaction which promotes learning and the spread of information.
We also encourage communication in foreign languages due to the multi-culturality of our group.