Research Output per year

## Research Output 2013 2019

- 10 Citations
- 2 h-Index
- 5 Article

2019

## Some Properties of Density Functions on Maxima of Solutions to One-Dimensional Stochastic Differential Equations

Nakatsu, T., 2019 Jan 1, In : Journal of Theoretical Probability.Research output: Contribution to journal › Article

Density function

Stochastic differential equations

Continuous time

Discrete-time

2017

## An Integration by Parts Type Formula for Stopping Times and its Application

Nakatsu, T., 2017 Sep 1, In : Methodology and Computing in Applied Probability. 19, 3, p. 751-773 23 p.Research output: Contribution to journal › Article

1
Citation
(Scopus)

## Volatility risk structure for options depending on extrema

Nakatsu, T., 2017 Dec 1, In : Journal of Computational Finance. 21, 3, p. 105-122 18 p.Research output: Contribution to journal › Article

Elasticity

Decomposition

Black-Scholes model

Volatility risk

Vega

2016

4
Citations
(Scopus)

## Integration by parts formulas concerning maxima of some SDEs with applications to study on density functions

Nakatsu, T., 2016 Mar 3, In : Stochastic Analysis and Applications. 34, 2, p. 293-317 25 p.Research output: Contribution to journal › Article

Probability density function

Differential equations

Stochastic differential equations

Density function

2013

5
Citations
(Scopus)

## Absolute continuity of the laws of a multi-dimensional stochastic differential equation with coefficients dependent on the maximum

Nakatsu, T., 2013 Nov, In : Statistics and Probability Letters. 83, 11, p. 2499-2506 8 p.Research output: Contribution to journal › Article

Continuity

Stochastic differential equations

Coefficients