Publication

  Preprint

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

• An extended Milstein scheme for effective weak approximation of diffusions. (2024) [preprint]. Y. Iguchi & T. Yamada.  

 Peer-reviewed

• Parameter inference for hypo-elliptic diffusions under a weak design condition. (2025) Electronic Journal of Statistics. Y. Iguchi & A. Beskos. [link] [codes] 
• 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] [link]
• Parameter inference for degenerate diffusion processes. (2024) Stochastic Processes and Their Applications. Y. Iguchi,  A. Beskos & M. Graham. [arxiv]  [codes]. 
• Parameter estimation with increased precision for elliptic and hypo-elliptic diffusions. (2025) Bernoulli. Y. Iguchi,  A. Beskos & M. Graham. [arxiv] [codes].  
• Weak approximation of SDEs for tempered distributions and applications. (2022) Advances in Computational Mathematics. Y. Iguchi & T. Yamada. [link]  
• 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.  
• 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]
• 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]