I am a PhD candidate in Statistical Science at UCL (10/2021-), supervised by Alexandros Beskos and Samuel Livingstone. I am currently funded by Heilbronn Institute for Mathematical Research. Before PhD, I was a research assistant at Hitotsubashi University, supervised by Toshihiro Yamada, and then worked as a quantitative analyst at MUFG Bank, Ltd. for two years.
Research: My research interests lie in statistical and numerical methods for stochastic processes. My current research focuses on developing effective numerical schemes and approximate (closed-form) likelihoods for improved parameter estimation of Stochastic Differential Equations (SDEs).
Contact: yuga[dot]iguchi[dot]21[at]ucl[dot]ac[dot]uk
Publications
Preprint
Submitted- Y. Iguchi, A. Jasra, M. Maama & A. Beskos (3/2024). Antithetic Multilevel Methods for Elliptic and Hypo-Elliptic Diffusions with Applications. [arxiv].
- Y. Iguchi & A. Beskos (12/2023). Parameter Inference for Hypo-elliptic Diffusions under a Weak Design Condition. [arxiv], [codes].
- Y. Iguchi, A. Beskos & M. Graham (7/2023). Parameter Inference for Degenerate Diffusion Processes. [arxiv], [codes]. Forthcoming at Stochastic Processes and their Applications.
- Y. Iguchi, A. Beskos & M. Graham (11/2022). Parameter Estimation with Increased Precision for Elliptic and Hypo-elliptic Diffusions. [arxiv], [codes]. Forthcoming at Bernoulli [link].
Peer-reviewed
- Y. Iguchi & T. Yamada (2022). Weak approximation of SDEs for tempered distributions and applications. Advances in Computational Mathematics. [link]
- Y. Iguchi, R. Naito, Y. Okano, A. Takahashi & T. Yamada (2021). Deep asymptotic expansion: Application to financial mathematics. IEEE Asia-Pacific Conference on Computer Science and Data Engineering. [link]
- Y. Iguchi & T. Yamada (2021). Operator splitting around Euler–Maruyama scheme and high order discretization of heat kernels. ESAIM: Mathematical Modelling and Numerical Analysis. [link]
- Y. Iguchi & T. Yamada (2021). A second-order discretization for degenerate systems of stochastic differential equations. IMA Journal of Numerical Analysis. [link]
Talks
Bernoulli-IMS 11th World Congress in Probability and Statistics 2024. Bochum, Germany. 8/2024.
Title: Parameter Estimation with Increased Precision for Elliptic and Hypo-elliptic Diffusions.
DYNSTOCH 2023 – Workshop on Statistical Methods for Dynamical Stochastic Models. Imperial College London. 3/2023. Same title as above.
CMStatistics 2022. King's College London. 12/2022. Same title as above.
Recent Development of Statistical Inference for Stochastic Processes. Online workshop. 2/2023. Same title as above.
CompStat 2023. University of London. 8/2023. Same title as above.
PhD seminar. Department of Statistical Science, UCL. 10/2023. Same title as above.
Workshop on Financial Risks and Their Management. Ryukoku University. 2/2019.
Title: A Higher Order Discretization for Degenerate System of Stochastic Differential Equations: Application to Pricing Path-dependent Options.
Poster Presentations
2024 ISBA World Meeting. Ca’ Foscari University of Venice. 7/2024.
Title: Parameter Estimation with Increased Precision for Elliptic and Hypo-elliptic Diffusions.
6th Workshop on Sequential Monte Carlo Methods (SMC 2024) ICMS, Bayes Centre, Edinburgh. 5/2024. Same title as above.
Third workshop on Monte Carlo methods in Warsaw. University of Warsaw. 12/2023. Same title as above.
Review service
Stochastic Processes and their Applications, Statistics and Computing, Annals of the Institute of Statistical Mathematics.