Tomoyuki Ichiba, Ph.D.
Affiliations: | Statistics | University of California, Santa Barbara, Santa Barbara, CA, United States | |
| 2009 | Columbia University, New York, NY |
Google:
"Tomoyuki Ichiba"Parents
Sign in to add mentor| Ioannis Karatzas | grad student | 2009 | Columbia | |
| (Topics in multi-dimensional diffusion theory: Attainability, reflection, ergodicity and rankings.) | ||||
BETA: Related publications
See more...
Publications
|
You can help our author matching system! If you notice any publications incorrectly attributed to this author, please sign in and mark matches as correct or incorrect. |
| Detering N, Fouque J, Ichiba T. (2020) Directed Chain Stochastic Differential Equations Stochastic Processes and Their Applications. 130: 2519-2551 |
| Ichiba T, Sarantsev A. (2019) Stationary distributions and convergence for Walsh diffusions Bernoulli. 25: 2439-2478 |
| Ichiba T, Ludkovski M, Sarantsev A. (2019) Dynamic Contagion in a Banking System with Births and Defaults Annals of Finance. 15: 489-538 |
| Ichiba T, Karatzas I, Prokaj V, et al. (2018) Stochastic integral equations for Walsh semimartingales Annales De L Institut Henri Poincare-Probabilites Et Statistiques. 54: 726-756 |
| Ichiba T, Sarantsev A. (2017) Yet another condition for absence of collisions for competing Brownian particles Electronic Communications in Probability. 22 |
| Ichiba T, Karatzas I. (2014) Skew-unfolding the skorokhod reflection of a continuous semimartingale Springer Proceedings in Mathematics and Statistics. 100: 349-376 |
| Ichiba T, Karatzas I, Prokaj V. (2013) Diffusions with rank-based characteristics and values in the nonnegative quadrant Bernoulli. 19: 2455-2493 |
| Fouque JP, Ichiba T. (2013) Stability in a model of interbank lending Siam Journal On Financial Mathematics. 4: 784-803 |
| Fernholz ER, Ichiba T, Karatzas I. (2013) Two Brownian particles with rank-based characteristics and skew-elastic collisions Stochastic Processes and Their Applications. 123: 2999-3026 |
| Fernholz R, Ichiba T, Karatzas I. (2013) A second-order stock market model Annals of Finance. 9: 439-454 |