Publications

Preprints

1. Pathwise skew-symmetric discretisation for SDEs with super-linear drift. (2026)

     Y.Iguchi, S. Livingstone, G. Vasdekis & R. Zhang. [arxiv] 

2. Parameter estimation for weakly interacting hypoelliptic diffusions. (2025) 

Y. Iguchi, A. Beskos & G. A. Pavliotis. [arxiv] Under revision.

3. A closed-form transition density expansion for elliptic and hypo-elliptic SDEs. (2026+) 

Y. Iguchi & A. Beskos.  Bernoulli (in press). [arxiv] 

Published papers

1. Skew-symmetric schemes for stochastic differential equations with non-Lipschitz drift: an unadjusted Barker algorithm. (2026)  

Y. Iguchi, S. Livingstone, N. Nüsken, G. Vasdekis & R. Zhang. 

IMA Journal of Numerical Analysis. [arxiv] 

2. Parameter inference for hypo-elliptic diffusions under a weak design condition. (2025)

Y. Iguchi & A. Beskos.

Electronic Journal of Statistics. [arxiv] [codes] 

3. Antithetic multilevel methods for elliptic and hypo-elliptic diffusions with applications. (2025) 

Y. Iguchi,  A. Jasra,  M. Maama & A. Beskos.

SIAM/ASA Journal on Uncertainty Quantification. [arxiv]

4. Parameter inference for degenerate diffusion processes. (2024) 

Y. Iguchi,  A. Beskos & M. Graham. 

Stochastic Processes and Their Applications. [arxiv]  [codes] 

5. Parameter estimation with increased precision for elliptic and hypo-elliptic diffusions. (2025) 

Y. Iguchi,  A. Beskos & M. Graham. 

Bernoulli. [arxiv] [codes]  

6. Weak approximation of SDEs for tempered distributions and applications. (2022) 

Y. Iguchi & T. Yamada. 

Advances in Computational Mathematics. [link]  

7. Deep asymptotic expansion: Application to financial mathematics. (2021) 

     Y. Iguchi, R. Naito, Y. Okano, A. Takahashi & T. Yamada.  

     IEEE Asia-Pacific Conference on Computer Science and Data Engineering. 

8. Operator splitting around Euler–Maruyama scheme and high order discretization of heat kernels. (2021) 

Y. Iguchi & T. Yamada. 

ESAIM: Mathematical Modelling and Numerical Analysis. [link]

9.  A second-order discretization for degenerate systems of stochastic differential equations. (2021) 

 Y. Iguchi & T. Yamada. 

IMA Journal of Numerical Analysis. [link]

PhD thesis

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

Y. Iguchi 

Book Chapter

• An extended Milstein scheme for effective weak approximation of diffusions. (2026) 

Y. Iguchi & T. Yamada.   

Recent Development in Stochastic Numerics and Computational Finance.