3 citations · 8 across the 19 of their papers we have counts for
11 papers · 1 filter
Factorization of Time-Ordered Exponentials for Wiener Space Transformations
Jirô Akahori, Takafumi Amaba, Tasuku Kubo
We develop an operator-algebraic framework for change-of-variables formulas on Wiener space, interpreting them as arising from hidden symmetries acting on observables. We show that…
On distributional and asymptotic results for exponential functional of renewal -- reward processes describing risk models
J. Akahori, C. Constantinescu, Y. Imamura +1
Inspired by the double-debt problem in Japan where the mortgagor has to pay the remaining loan even if their house was destroyed by a catastrophic event, we model the lender's cash…
An efficient weak Euler-Maruyama type approximation scheme of very high dimensional SDEs by orthogonal random variables
Jirô Akahori, Masahiro Kinuya, Takashi Sawai +1
We will introduce Euler-Maruyama approximations given by an orthogonal system in for high dimensional SDEs, which could be finite dimensional approximations of SPDEs.…
Phase transitions for edge-reinforced random walks on the half-line
Jiro Akahori, Andrea Collevecchio, Masato Takei
We study the behaviour of a class of edge-reinforced random walks {on }, with heterogeneous initial weights, where each edge weight can be updated only when the edge…
Bridge representation and modal-path approximation
Jiro Akahori, Xiaoming Song, Tai-Ho Wang
The article shows a bridge representation for the joint density of a system of stochastic processes consisting of a Brownian motion with drift coupled with a correlated fractional…
What is the natural scale for a Lévy process in modelling term structure of interest rates?
Jirô Akahori, Takahiro Tsuchiya
This paper gives examples of explicit arbitrage-free term structure models with Lévy jumps via state price density approach. By generalizing quadratic Gaussian models, it is found…