3 citations · 5 across the 4 of their papers we have counts for
4 papers
Higher-order error estimates of the discrete-time Clark--Ocone formula
Tsubasa Nishimura, Kenji Yasutomi, Tomooki Yuasa
In this article, we investigate the convergence rate of the discrete-time Clark--Ocone formula provided by Akahori--Amaba--Okuma [1]. In that paper, they mainly focus on the $L_{2}…
Random walk in a finite directed graph subject to a synchronizing road coloring
Kouji Yano, Kenji Yasutomi
A constructive proof is given to the fact that any ergodic Markov chain can be realized as a random walk subject to a synchronizing road coloring. Redundancy (ratio of extra entrop…
Realization of finite-state mixing Markov chain as a random walk subject to a synchronizing road coloring
Kouji Yano, Kenji Yasutomi
A mixing Markov chain is proved to be realized as a random walk in a directed graph subject to a synchronizing road coloring. The result ensures existence of appropriate random map…
Asymptotic behavior of prices of path dependent options
Yuji Hishida, Kenji Yasutomi
In this paper, we give a numerical method for pricing long maturity, path dependent options by using the Markov property for each underlying asset. This enables us to approximate a…