Kei Kobayashi

1. Stochastic Calculus for a Time-Changed Semimartingale and the Associated Stochastic Differential Equations
   2010/10/05 by Kei Kobayashi · 11 citations
   Economics, Econometrics and Finance · Mathematics · #Financial Risk and Volatility Modeling #Nonlinear Differential Equations Analysis #Stochastic processes and financial applications
2. A strong and weak approximation scheme for stochastic differential equations driven by a time-changed Brownian motion
   2014/08/19 by Ernest Jum, Kei Kobayashi, Jum, Ernest +1 · 3 citations
   Economics, Econometrics and Finance · Mathematics · Social Sciences · #60H10 #60H35 #65C30 #FOS: Mathematics #Financial Risk and Volatility Modeling #Insurance, Mortality, Demography, Risk Management #Probability (math.PR) #Statistical Distribution Estimation and Applications #Stochastic processes and financial applications
3. Strong approximation of stochastic differential equations driven by a time-changed Brownian motion with time-space-dependent coefficients
   2019/03/20 by Sixian Jin, Kei Kobayashi, Jin, Sixian +1 · 2 citations
   Economics, Econometrics and Finance · Mathematics · #Stochastic processes and financial applications #Markov Chains and Monte Carlo Methods #Stochastic processes and statistical mechanics
4. On time-changed Gaussian processes and their associated Fokker-Planck-Kolmogorov equations
   2010/11/10 by Marjorie G. Hahn, Kei Kobayashi, Hahn, Marjorie G. +5 · 1 citation
   Economics, Econometrics and Finance · Mathematics · Physics and Astronomy · #35Q84 (Primary) #60G15 #60G22 (Secondary) #FOS: Mathematics #Fractional Differential Equations Solutions #Probability (math.PR) #Statistical Mechanics and Entropy #Stochastic processes and financial applications