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Tomoyuki Ichiba, Ph.D. - Publications

Affiliations: 
Statistics University of California, Santa Barbara, Santa Barbara, CA, United States 
 2009 Columbia University, New York, NY 
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16 high-probability publications. We are testing a new system for linking publications to authors. You can help! If you notice any inaccuracies, please sign in and mark papers as correct or incorrect matches. If you identify any major omissions or other inaccuracies in the publication list, please let us know.

Year Citation  Score
2020 Detering N, Fouque J, Ichiba T. Directed Chain Stochastic Differential Equations Stochastic Processes and Their Applications. 130: 2519-2551. DOI: 10.1016/J.Spa.2019.07.009  0.406
2019 Ichiba T, Sarantsev A. Stationary distributions and convergence for Walsh diffusions Bernoulli. 25: 2439-2478. DOI: 10.3150/18-Bej1059  0.371
2019 Ichiba T, Ludkovski M, Sarantsev A. Dynamic Contagion in a Banking System with Births and Defaults Annals of Finance. 15: 489-538. DOI: 10.1007/S10436-019-00351-2  0.375
2018 Ichiba T, Karatzas I, Prokaj V, Yan M. Stochastic integral equations for Walsh semimartingales Annales De L Institut Henri Poincare-Probabilites Et Statistiques. 54: 726-756. DOI: 10.1214/16-Aihp819  0.588
2017 Ichiba T, Sarantsev A. Yet another condition for absence of collisions for competing Brownian particles Electronic Communications in Probability. 22. DOI: 10.1214/17-Ecp41  0.401
2014 Ichiba T, Karatzas I. Skew-unfolding the skorokhod reflection of a continuous semimartingale Springer Proceedings in Mathematics and Statistics. 100: 349-376. DOI: 10.1007/978-3-319-11292-3_13  0.632
2013 Ichiba T, Karatzas I, Prokaj V. Diffusions with rank-based characteristics and values in the nonnegative quadrant Bernoulli. 19: 2455-2493. DOI: 10.3150/12-Bej459  0.623
2013 Fouque JP, Ichiba T. Stability in a model of interbank lending Siam Journal On Financial Mathematics. 4: 784-803. DOI: 10.1137/110841096  0.358
2013 Fernholz ER, Ichiba T, Karatzas I. Two Brownian particles with rank-based characteristics and skew-elastic collisions Stochastic Processes and Their Applications. 123: 2999-3026. DOI: 10.1016/J.Spa.2013.03.019  0.641
2013 Fernholz R, Ichiba T, Karatzas I. A second-order stock market model Annals of Finance. 9: 439-454. DOI: 10.1007/S10436-012-0193-2  0.546
2013 Ichiba T, Pal S, Shkolnikov M. Convergence rates for rank-based models with applications to portfolio theory Probability Theory and Related Fields. 156: 415-448. DOI: 10.1007/S00440-012-0432-5  0.544
2013 Fernholz ER, Ichiba T, Karatzas I, Prokaj V. Planar diffusions with rank-based characteristics and perturbed Tanaka equations Probability Theory and Related Fields. 156: 343-374. DOI: 10.1007/S00440-012-0430-7  0.597
2013 Ichiba T, Karatzas I, Shkolnikov M. Strong solutions of stochastic equations with rank-based coefficients Probability Theory and Related Fields. 156: 229-248. DOI: 10.1007/S00440-012-0426-3  0.625
2011 Ichiba T, Kardaras C. Efficient estimation of one-dimensional diffusion first passage time densities via monte carlo simulation Journal of Applied Probability. 48: 699-712. DOI: 10.1239/Jap/1316796908  0.313
2011 Ichiba T, Papathanakos V, Banner A, Karatzas I, Fernholz R. Hybrid atlas models Annals of Applied Probability. 21: 609-644. DOI: 10.1214/10-Aap706  0.585
2010 Ichiba T, Karatzas I. On collisions of brownian particles Annals of Applied Probability. 20: 951-977. DOI: 10.1214/09-Aap641  0.625
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