papers
Publications (14)
math.PR2014
Diffusions with rank-based characteristics and values in the nonnegative quadrant
Tomoyuki Ichiba, Ioannis Karatzas, Vilmos Prokaj
math.PR2011
Hybrid Atlas models
Tomoyuki Ichiba, Vassilios Papathanakos, Adrian Banner +2
math.PR2016
Stochastic Integral Equations for Walsh Semimartingales
Tomoyuki Ichiba, Ioannis Karatzas, Vilmos Prokaj +1
math.PR2011
Convergence rates for rank-based models with applications to portfolio theory
Tomoyuki Ichiba, Soumik Pal, Mykhaylo Shkolnikov
math.PR2010
On collisions of Brownian particles
Tomoyuki Ichiba, Ioannis Karatzas
math.PR2011
Strong solutions of stochastic equations with rank-based coefficients
Tomoyuki Ichiba, Ioannis Karatzas, Mykhaylo Shkolnikov
math.PR2012
Planar Diffusions with Rank-Based Characteristics: Transition Probabilities, Time Reversal, Maximality and Perturbed Tanaka equations
E. Robert Fernholz, Tomoyuki Ichiba, Ioannis Karatzas +1
math.PR2010
Efficient estimation of one-dimensional diffusion first passage time densities via Monte Carlo simulation
Tomoyuki Ichiba, Constantinos Kardaras
math.PR2017
Yet Another Condition for Absence of Collisions for Competing Brownian Particles
Tomoyuki Ichiba, Andrey Sarantsev
math.PR2014
Skew-Unfolding the Skorokhod Reflection of a Continuous Semimartingale
Tomoyuki Ichiba, Ioannis Karatzas
math.PR2012
Two Brownian Particles with Rank-Based Characteristics and Skew-Elastic Collisions
E. Robert Fernholz, Tomoyuki Ichiba, Ioannis Karatzas
q-fin.MF2017
Option Pricing with Delayed Information
Tomoyuki Ichiba, Seyyed Mostafa Mousavi
math.PR2013
Large deviations for interacting Bessel-like processes and applications to systemic risk
Tomoyuki Ichiba, Mykhaylo Shkolnikov
q-fin.ST2013
A second-order stock market model
Robert Fernholz, Tomoyuki Ichiba, Ioannis Karatzas