Yuji Kasahara

Economics, Econometrics and Finance · Social Sciences

13h-index632citations46works0.02yr avg
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Research Topics

Stochastic processes and financial applications(23), Stochastic processes and statistical mechanics(22), Probability and Risk Models(12), advanced mathematical theories(8), Financial Risk and Volatility Modeling(7)

Publications46 total

A note on the product of independent random variables with regularly varying tails
Tsukuba Journal of Mathematics·2018· 4 cited
Tails of the first hitting times of linear diffusions
Tsukuba Journal of Mathematics·2016· 2 cited
TAUBERIAN THEOREM FOR HARMONIC MEAN OF STIELTJES TRANSFORMS AND ITS APPLICATIONS TO LINEAR DIFFUSIONS
OUKA (Osaka University Knowledge Archive) (Osaka University)·2016· 1 cited
Bessel like diffusionのfirst hitting timeについて
2016
Diffusions with Bessel-like drifts
Kyoto journal of mathematics·2015· 2 citedOpen Access
Limiting distribution of the maximum of a null recurrent diffusion process
Kodai Mathematical Journal·2012Open Access
Spectral function of Krein’s and Kotani’s string in the class $\Gamma$
Proceedings of the Japan Academy Series A Mathematical Sciences·2012· 4 citedOpen Access
Asymptotic Behavior of the Transition Density of an Ergodic Linear Diffusion
Publications of the Research Institute for Mathematical Sciences·2012· 2 citedOpen Access
Asymptotic behavior of spectral measures of Krein’s and Kotani’s strings
Kyoto journal of mathematics·2010· 12 citedOpen Access
Remarks on Krein-Kotani’s correspondence between strings and Herglotz functions
Proceedings of the Japan Academy Series A Mathematical Sciences·2009· 4 citedOpen Access
Occupation time theorems for one-dimensional random walks and diffusion processes in random environments
Stochastic Processes and their Applications·2008· 3 cited
A limit theorem for occupation times of Lamperti’s stochastic processes
Proceedings of the Japan Academy Series A Mathematical Sciences·2008Open Access
Brownian representation of a class of Lévy processes and its application to occupation times of diffusion processes
Illinois Journal of Mathematics·2006· 13 citedOpen Access
Occupation time theorems for a class of one-dimensional diffusion processes
Periodica Mathematica Hungarica·2005· 4 cited
On a generalized arc-sine law for one-dimensional diffusion processes
OUKA (Osaka University Knowledge Archive) (Osaka University)·2005· 17 cited
Remarks on Tauberian theorem of exponential type and Fenchel-Legendre transform
OUKA (Osaka University Knowledge Archive) (Osaka University)·2002· 6 cited
A remark on the covariance matrix of fractional Brownian motion
TeaPot (Ochanomizu University)·2001· 1 citedOpen Access
Large deviation around the origin for sums of nonnegative i.i.d. random variables
TeaPot (Ochanomizu University)·2000Open Access
On tail probability of local times of Gaussian processes
Stochastic Processes and their Applications·1999· 10 cited
A Note on the Local Time of Fractional Brownian Motion
Journal of Theoretical Probability·1999· 2 cited
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Frequent Co-authors

Shinzo Watanabe(6), Makoto Maejima(5), Shinichi Kotani(4), Nobuko Kosugi(3), Norio Kôno(2), Wim Vervaat(1), Yuki Matsumoto(1), Yuko Yano(1), Tomohiro Ogawa(1), H. Watanabe(1), Keigo Yamada(1), Nobuko Kosugi(1), Endre Csáki(1), Antónia Földes(1), Namiko Ogawa(1), Genki Tahara(1), Sakurako Suzuki(1)