年別の研究成果
年別の研究成果
研究成果
- 6 Article
検索結果
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2023
On density functions related to discrete time maximum of some one-dimensional diffusion processes
Nakatsu, T., 2023 3月 15, In: Applied Mathematics and Computation. 441, 127672.研究成果: Article › 査読
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2019
Some Properties of Density Functions on Maxima of Solutions to One-Dimensional Stochastic Differential Equations
Nakatsu, T., 2019 12月 1, In: Journal of Theoretical Probability. 32, 4, p. 1746-1779 34 p.研究成果: Article › 査読
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2017
An Integration by Parts Type Formula for Stopping Times and its Application
Nakatsu, T., 2017 9月 1, In: Methodology and Computing in Applied Probability. 19, 3, p. 751-773 23 p.研究成果: Article › 査読
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Volatility risk structure for options depending on extrema
Nakatsu, T., 2017 12月, In: Journal of Computational Finance. 21, 3, p. 105-122 18 p.研究成果: Article › 査読
2 被引用数 (Scopus) -
2016
Integration by parts formulas concerning maxima of some SDEs with applications to study on density functions
Nakatsu, T., 2016 3月 3, In: Stochastic Analysis and Applications. 34, 2, p. 293-317 25 p.研究成果: Article › 査読
5 被引用数 (Scopus) -
2013
Absolute continuity of the laws of a multi-dimensional stochastic differential equation with coefficients dependent on the maximum
Nakatsu, T., 2013 11月, In: Statistics and Probability Letters. 83, 11, p. 2499-2506 8 p.研究成果: Article › 査読
7 被引用数 (Scopus)