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. I will join Prob_AI Hub in 2025 as a post-doctoral researcher. 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
- An extended Milstein scheme for effective weak approximation of diffusions. (2024) [arxiv]. Y. Iguchi & T. Yamada.
- Antithetic multilevel methods for elliptic and hypo-elliptic diffusions with applications. (2024) [arxiv]. Y. Iguchi, A. Jasra, M. Maama & A. Beskos.
- Parameter inference for hypo-elliptic diffusions under a weak design condition. (2023) [arxiv], [codes]. Y. Iguchi & A. Beskos. Major revision → Resubmitted.
Peer-reviewed
- 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.
- 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
- A second-order discretization for degenerate systems of stochastic differential equations. (2021) IMA Journal of Numerical Analysis. Y. Iguchi & T. Yamada.
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)
Skew-symmetric discretisation for elliptic and hypo-elliptic diffusions with super linear drift (with Samuel Livingstone, Giorgos Vasdekis and Rui-Yang Zhang).
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
Annals of the Institute of Statistical Mathematics, Bernoulli, SIAM-JUQ, Statistics and Computing, Stochastic Processes and their Applications.
Other research activities
Attending workshop Monte Carlo sampling: beyond the diffusive regime, INI, Cambridge, 11/2024.
Online mini-workshop on the recent development of statistical inference for diffusions with S. Ditlevsen, A. Samson, P. Pilipovic, M. R. Johansen. 12/2024
Awards
James Nelson Award (2023-24), Department of Statistical Science, UCL. The best-accepted paper during 23-24 by PhD student within the department.