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
- Y. Iguchi & T. Yamada (2024). An extended Milstein scheme for effective weak approximation of diffusions. [arxiv].
- Y. Iguchi, A. Jasra, M. Maama & A. Beskos (2024). Antithetic multilevel methods for elliptic and hypo-elliptic diffusions with applications. [arxiv].
- Y. Iguchi & A. Beskos (2023). Parameter inference for hypo-elliptic diffusions under a weak design condition. [arxiv], [codes]. Major revision → Resubmitted.
Peer-reviewed
- Y. Iguchi, A. Beskos & M. Graham (2024). Parameter inference for degenerate diffusion processes. [arxiv], [codes]. Stochastic Processes and their Applications [link].
- Y. Iguchi, A. Beskos & M. Graham (2024+). Parameter estimation with increased precision for elliptic and hypo-elliptic diffusions. [arxiv], [codes]. Forthcoming at Bernoulli.
- 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
Closed-form transition density expansion for elliptic and hypo-elliptic diffusions (with Alex Beskos)
Parameter estimation for interacting particle system (IPS) of hypo-elliptic diffusions (with Alex Beskos and Greg Pavliotis)
Closed-form transition density expansion for degenerate diffusions via Malliavin calculus
Talk
CMStatistics 2024. King's College London, London, UK. 12/2024.
Bernoulli-IMS 11th World Congress in Probability and Statistics 2024. Bochum, Germany. 8/2024.
London Meeting on Computational Statistics. London, UK. 6/2024.
PhD seminar. Department of Statistical Science, UCL, London, UK. 10/2023.
CompStat 2023. University of London, London, UK. 8/2023.
DYNSTOCH 2023 – Workshop on Statistical Methods for Dynamical Stochastic Models. Imperial College London, London, UK. 3/2023.
Recent Development of Statistical Inference for Stochastic Processes. Online workshop. 2/2023.
CMStatistics 2022. King's College London, London, UK. 12/2022.
Workshop on Financial Risks and Their Management. Ryukoku University, Kyoto, Japan. 2/2019.
Poster Presentation
6th Workshop on Sequential Monte Carlo Methods (SMC 2024) ICMS, Bayes Centre, Edinburgh. 5/2024. Same title as above.
Third workshop on Monte Carlo methods in Warsaw. University of Warsaw. 12/2023. Same title as above.
Review service
Stochastic Processes and their Applications, Statistics and Computing, Annals of the Institute of Statistical Mathematics.