Tomoyuki Ichiba
Tomoyuki Ichiba
Department of Statistics and Applied Probability, University of California Santa Barbara
Verified email at pstat.ucsb.edu - Homepage
Title
Cited by
Cited by
Year
Hybrid atlas models
T Ichiba, V Papathanakos, A Banner, I Karatzas, R Fernholz
The Annals of Applied Probability 21 (2), 609-644, 2011
1012011
Stability in a model of interbank lending
JP Fouque, T Ichiba
SIAM Journal on Financial Mathematics 4 (1), 784-803, 2013
682013
Strong solutions of stochastic equations with rank-based coefficients
T Ichiba, I Karatzas, M Shkolnikov
Probability theory and related fields 156 (1-2), 229-248, 2013
642013
On collisions of Brownian particles
T Ichiba, I Karatzas
The Annals of Applied Probability 20 (3), 951-977, 2010
612010
Convergence rates for rank-based models with applications to portfolio theory
T Ichiba, S Pal, M Shkolnikov
Probability Theory and Related Fields 156 (1-2), 415-448, 2013
492013
Estimating the effect of the red card in soccer: when to commit an offense in exchange for preventing a goal opportunity
J Vecer, F Kopriva, T Ichiba
Journal of Quantitative Analysis in Sports 5 (1), 2009
392009
Estimating the Effect of the Red Card in Soccer
J Vecer, F Kopriva, T Ichiba
Journal of Quantitative Analysis in Sports 5, 2009
392009
Planar diffusions with rank-based characteristics and perturbed Tanaka equations
ER Fernholz, T Ichiba, I Karatzas, V Prokaj
Probability Theory and Related Fields 156 (1-2), 343-374, 2013
372013
Planar diffusions with rank-based characteristics and perturbed Tanaka equations
ER Fernholz, T Ichiba, I Karatzas, V Prokaj
Arxiv preprint arXiv:1108.3992, 2011
352011
A second-order stock market model
R Fernholz, T Ichiba, I Karatzas
Annals of Finance 9 (3), 439-454, 2013
342013
Two Brownian particles with rank-based characteristics and skew-elastic collisions
ER Fernholz, T Ichiba, I Karatzas
Stochastic Processes and their Applications 123 (8), 2999-3026, 2013
332013
Hybrid atlas models
AD Banner, ER Fernholz, T Ichiba, I Karatzas, V Papathanakos
Ann. Appl. Probab 21 (2), 609-644, 2011
252011
On Probabilistic Excitement of Sports Games
J Vecer, T Ichiba, M Laudanovic
Journal of Quantitative Analysis in Sports 3 (3), 2007
152007
Topics in Multi-dimensional Diffusion Theory: Attainability, Reflection, Ergodicity and Rankings
T Ichiba
Columbia University, 2009
142009
Stochastic integral equations for Walsh semimartingales
T Ichiba, I Karatzas, V Prokaj, M Yan
Annales de l'Institut Henri Poincaré, Probabilités et Statistiques 54 (2 …, 2018
132018
Parallels Between Betting Contracts and Credit Derivatives: Lessons Learned from FIFA World Cup 2006 Betting Markets
J Vecer, T Ichiba, M Laudanovic
Working Paper,” Department of Statistics, Columbia University, 2006
92006
Directed chain stochastic differential equations
N Detering, JP Fouque, T Ichiba
Stochastic Processes and their Applications, 2019
82019
Efficient estimation of one-dimensional diffusion first passage time densities via Monte Carlo simulation
T Ichiba, C Kardaras
Journal of Applied Probability 48 (3), 699-712, 2011
82011
Convergence and Stationary Distributions for Walsh Diffusions
T Ichiba, A Sarantsev
arXiv preprint arXiv:1706.07127, 2017
72017
Diffusions with rank-based characteristics and values in the nonnegative quadrant
T Ichiba, I Karatzas, V Prokaj
Bernoulli 19 (5B), 2455-2493, 2013
72013
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Articles 1–20