Publication

  Preprint

1. Parameter estimation for weakly interacting hypoelliptic diffusions. (2025) Y. Iguchi, A. Beskos & G. A. Pavliotis. [preprint]  

2. Skew-symmetric schemes for stochastic differential equations with non-Lipschitz drift: an unadjusted Barker algorithm. (2025) Y. Iguchi, S. Livingstone, N. Nüsken, G. Vasdekis & R. Zhang. In revision. [preprint]  

3. A closed-form transition density expansion for elliptic and hypo-elliptic SDEs. (2025) Y. Iguchi & A. Beskos.  In revision. [preprint] 

4. An extended Milstein scheme for effective weak approximation of diffusions. (2024) Y. Iguchi & T. Yamada.  Recent Development in Stochastic Numerics and Computational Finance (to appear as a book chapter).  

 Peer-reviewed

1. Parameter inference for hypo-elliptic diffusions under a weak design condition. (2025) Electronic Journal of Statistics. Y. Iguchi & A. Beskos. [arxiv] [codes] 

2. Antithetic multilevel methods for elliptic and hypo-elliptic diffusions with applications. (2025) SIAM/ASA Journal on Uncertainty Quantification. Y. Iguchi,  A. Jasra,  M. Maama & A. Beskos. [arxiv]

3. Parameter inference for degenerate diffusion processes. (2024) Stochastic Processes and Their Applications. Y. Iguchi,  A. Beskos & M. Graham. [arxiv]  [codes] 

4. Parameter estimation with increased precision for elliptic and hypo-elliptic diffusions. (2025) Bernoulli. Y. Iguchi,  A. Beskos & M. Graham. [arxiv] [codes]  

5. Weak approximation of SDEs for tempered distributions and applications. (2022) Advances in Computational Mathematics. Y. Iguchi & T. Yamada. [link]  

6. Deep asymptotic expansion: Application to financial mathematics. (2021) IEEE Asia-Pacific Conference on Computer Science and Data Engineering. Y. Iguchi, R. Naito, Y. Okano, A. Takahashi & T. Yamada.  

7. Operator splitting around Euler–Maruyama scheme and high order discretization of heat kernels. (2021) ESAIM: Mathematical Modelling and Numerical Analysis.Y. Iguchi & T. Yamada. [link]

8.  A second-order discretization for degenerate systems of stochastic differential equations. (2021) IMA Journal of Numerical Analysis. Y. Iguchi & T. Yamada. [link]

  PhD thesis

• Statistical Inference for Elliptic and Hypo-Elliptic Diffusions: Asymptotic Theory and Numerical Methodologies. (2025) Y. Iguchi [link]