24 citations · 24 across the 2 of their papers we have counts for
5 papers
Density estimates for jump diffusion processes
Arturo Kohatsu-Higa, Eulalia Nualart, Ngoc Khue Tran
We consider a real-valued diffusion process with a linear jump term driven by a Poisson point process and we assume that the jump amplitudes have a centered density with finite mom…
Asymptotic properties of the stochastic heat equation in large times
Arturo Kohatsu-Higa, David Nualart
In this article, we study the asymptotic behavior of the stochastic heat equation for large times.
Integration by parts formula for killed processes: A point of view from approximation theory
Noufel Frikha, Arturo Kohatsu-Higa, Libo Li
In this paper, we establish a probabilistic representation for two integration by parts formulas, one being of Bismut-Elworthy-Li's type, for the marginal law of a one-dimensional…
An operator approach for Markov chain weak approximations with an application to infinite activity Lévy driven SDEs
Hideyuki Tanaka, Arturo Kohatsu-Higa
Weak approximations have been developed to calculate the expectation value of functionals of stochastic differential equations, and various numerical discretization schemes (Euler,…
Hints for an extension of the early exercise premium formula for American options
Hans-Peter Bermin, Arturo Kohatsu-Higa, Josep Perello
Characterization of the American put option price is still an open issue. From the beginning of the nineties there exists a non-closed formula for this price but nontrivial numeric…