Kensuke Ishitani

List of research outcomes

This list is not complete and representing at the moment only items from zbMATH Open and arXiv. We are working on additional sources - please check back here soon!

Publication	Date of Publication	Type
Construction and sample path properties of Brownian house-moving between two curves Japan Journal of Industrial and Applied Mathematics	2025-01-27	Paper
Sampling Brownian house-moving JSIAM Letters	2022-11-09	Paper
Computation of first-order greeks for barrier options using chain rules for Wiener path integrals JSIAM Letters	2019-03-18	Paper
Effects of randomization on asymptotic periodicity of nonsingular transformations Osaka Journal of Mathematics	2017-04-13	Paper
Optimal Execution for Uncertain Market Impact: Derivation and Characterization of a Continuous-Time Value Function Recent Advances in Financial Engineering 2012	2015-06-19	Paper
A fast wavelet expansion technique for evaluation of portfolio credit risk under the Vasicek multi-factor model Japan Journal of Industrial and Applied Mathematics	2014-06-02	Paper
An analytical evaluation method of the operational risk using fast wavelet expansion techniques Asia-Pacific Financial Markets	2013-09-20	Paper
A fast wavelet expansion technique for Vasicek multi-factor model of portfolio credit risk JSIAM Letters	2013-08-09	Paper
Invariant measures for a class of rational transformations and ergodic properties Tokyo Journal of Mathematics	2008-07-21	Paper
Integration by parts formulae for Wiener measures on a path space between two curves Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete	2007-01-26	Paper
On the weak convergence of conditioned Bessel bridges	N/A	Paper
Construction and sample path properties of Brownian house-moving between two curves	N/A	Paper
Higher order integration by parts formulae for Wiener measures on a path space between two curves	N/A	Paper

Research outcomes over time

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