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

Publication

  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].  
    Accepted
  • Y. Iguchi,  A. Beskos & M. Graham (7/2023).  Parameter Inference for Degenerate Diffusion Processes. [arxiv], [codes]. Forthcoming at Stochastic Processes and their Applications [link]. 
  • 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]

Work in Progress 

Talk 

Poster Presentation 

Review service

 Stochastic Processes and their Applications, Statistics and Computing, Annals of the Institute of Statistical Mathematics.