10 citations · 15 across the 8 of their papers we have counts for
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Smoothness of Directed Chain Stochastic Differential Equations
Tomoyuki Ichiba, Ming Min
We study the smoothness of the solution of the directed chain stochastic differential equations, where each process is affected by its neighborhood process in an infinite directed…
Linear-Quadratic Stochastic Differential Games on Random Directed Networks
Yichen Feng, Jean-Pierre Fouque, Tomoyuki Ichiba
The study of linear-quadratic stochastic differential games on directed networks was initiated in Feng, Fouque \& Ichiba \cite{fengFouqueIchiba2020linearquadratic}. In that work, t…
Path Properties of a Generalized Fractional Brownian Motion
Tomoyuki Ichiba, Guodong Pang, Murad S. Taqqu
The generalized fractional Brownian motion is a Gaussian self-similar process whose increments are not necessarily stationary. It appears in applications as the scaling limit of a…
Linear-Quadratic Stochastic Differential Games on Directed Chain Networks
Yichen Feng, Jean-Pierre Fouque, Tomoyuki Ichiba
We study linear-quadratic stochastic differential games on directed chains inspired by the directed chain stochastic differential equations introduced by Detering, Fouque, and Ichi…
Dynamic Contagion in a Banking System with Births and Defaults
Tomoyuki Ichiba, Michael Ludkovski, Andrey Sarantsev
We consider a dynamic model of interconnected banks. New banks can emerge, and existing banks can default, creating a birth-and-death setup. Microscopically, banks evolve as indepe…
Directed Chain Stochastic Differential Equations
Nils Detering, Jean-Pierre Fouque, Tomoyuki Ichiba
We propose a particle system of diffusion processes coupled through a chain-like network structure described by an infinite-dimensional, nonlinear stochastic differential equation…