Shibaura Institute of Technology · Faculty of Science and Engineering, Mathematical Sciences Program, Mathematical Sciences Course · 准教授

Research keywordsdiffusion process maxima・first-passage analysis・stochastic differential equations・option pricing・volatility risk・density functions

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• On density functions related to discrete time maximum of some one-dimensional diffusion processes2023 · Applied Mathematics and Computation
• 書評：Bruno Bouchard and Jean-François Chassagneux: Fundamentals and Advanced Techniques in Derivatives Hedging, Universitext, Springer, 2016年, 292ページ2022 · 数学
• Some properties of density functions on maxima of solutions to one-dimensional stochastic differential equations2019 · Journal of Theoretical Probability
• Some Properties of Density Functions on Maxima of Solutions to One-Dimensional Stochastic Differential Equations2019

• 複雑な構造を持つウィーナー汎関数の解析2019 · 科学研究費助成事業
• 確率微分方程式に付随する密度関数及び感応度の解析2017 · 科学研究費助成事業
• 滑らかでない確率微分方程式の理論：数値解析への応用2012 · 科学研究費助成事業

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