118 citations · 199 across the 29 of their papers we have counts for
34 papers
Path-Space Model Risk via Signature-Induced Optimal Transport
Tomoyuki Ichiba, Qijin Shi
We propose a signature-induced, optimal transport framework for path-space model risk, in which ambiguity between stochastic path laws is factorized through optimal transport costs…
Feynman Formula for Discrete-time Quantum Walks
Jean-Pierre Fouque, Tomoyuki Ichiba, Ka Lok Lam
We explicitly connect (discrete-time) quantum walks on Z with a four-state Markov additive process via a Feynman-type formula (2.5). Using this representation, we derive a relation…
Unbiased Rough Integrators and No Free Lunch in Rough-Path-Based Market Models
Tomoyuki Ichiba, Qijin Shi
Built to generalise classical stochastic calculus, rough path theory provides a natural and pathwise framework to model continuous non-semimartingale assets. This paper investigate…
Catalan Numbers, Riccati Equations and Convergence
Yicheng Feng, Jean-Pierre Fouque, Tomoyuki Ichiba
We analyze both finite and infinite systems of Riccati equations derived from stochastic differential games on infinite networks. We discuss a connection to the Catalan numbers and…
Invariant measure of gaps in degenerate competing three-particle systems
Sandro Franceschi, Tomoyuki Ichiba, Ioannis Karatzas +1
We study the gap processes in a degenerate system of three particles interacting through their ranks. We obtain the Laplace transform of the invariant measure of these gaps, and an…
Directed Chain Generative Adversarial Networks
Ming Min, Ruimeng Hu, Tomoyuki Ichiba
Real-world data can be multimodal distributed, e.g., data describing the opinion divergence in a community, the interspike interval distribution of neurons, and the oscillators nat…