14 citations · 21 across the 10 of their papers we have counts for
4 papers · 1 filter
Realized cumulants for martingales
Masaaki Fukasawa, Kazuki Matsushita
Generalizing the realized variance, the realized skewness (Neuberger, 2012) and the realized kurtosis (Bae and Lee, 2020), we construct realized cumulants with the so-called aggreg…
A New Discretization Scheme for One Dimensional Stochastic Differential Equations Using Time Change Method
Masaaki Fukasawa, Mitsumasa Ikeda
We propose a new numerical method for one dimensional stochastic differential equations (SDEs). The main idea of this method is based on a representation of a weak solution of a SD…
EM algorithm for stochastic hybrid systems
Masaaki Fukasawa
A stochastic hybrid system, also known as a switching diffusion, is a continuous-time Markov process with state space consisting of discrete and continuous parts. We consider param…
The asymptotic expansion of the regular discretization error of Itô integrals
Elisa Alòs, Masaaki Fukasawa
We study a Edgeworth-type refinement of the central limit theorem for the discretizacion error of Itô integrals. Towards this end, we introduce a new approach, based on the anticip…