Tomoyuki Ichiba
- Large Banking Systems with Default and Recovery: A Mean Field Game Model
2020/01/28 by Romuald Élie, Tomoyuki Ichiba, Élie, Romuald +3 · 1 citation
Economics, Econometrics and Finance · Physics and Astronomy · #Complex Systems and Time Series Analysis #Advanced Thermodynamics and Statistical Mechanics #Stochastic processes and financial applications
- Linear-Quadratic Stochastic Differential Games on Directed Chain Networks
2020/03/19 by Yichen Feng, Jean‐Pierre Fouque, Feng, Yichen +3 · 2 citations
Economics, Econometrics and Finance · Mathematics · #Stochastic processes and financial applications #Economic theories and models #Stochastic processes and statistical mechanics
- Linear-Quadratic Stochastic Differential Games on Random Directed Networks
2020/11/05 by Yichen Feng, Jean‐Pierre Fouque, Feng, Yichen +3 · 1 citation
Economics, Econometrics and Finance · Mathematics · #60H30 #91A15 #FOS: Mathematics #Probability (math.PR) #Stochastic processes and financial applications #Stochastic processes and statistical mechanics #advanced mathematical theories
- Relative Arbitrage Opportunities in an Extended Mean Field System
2023/11/05 by Nicole Tianjiao Yang, Yang, Nicole Tianjiao, Tomoyuki Ichiba +1 · 2 citations
Economics, Econometrics and Finance · #60H10 #91A15 #91G10 #Complex Systems and Time Series Analysis #Economic theories and models #FOS: Economics and business #FOS: Mathematics #Mathematical Finance (q-fin.MF) #Optimization and Control (math.OC) #Stochastic processes and financial applications
- Semimartingale properties of a generalized fractional Brownian motion and its mixtures with applications in asset pricing
2020/12/02 by Tomoyuki Ichiba, Ichiba, Tomoyuki, Guodong Pang +3 · 1 citation
Economics, Econometrics and Finance · #FOS: Mathematics #Financial Markets and Investment Strategies #Financial Risk and Volatility Modeling #Probability (math.PR) #Stochastic processes and financial applications
- Path-Space Model Risk via Signature-Induced Optimal Transport
2026/07/22 by Tomoyuki Ichiba, Qijin Shi · 1 voice
#q-fin.RM #math.OC #q-fin.MF