YOSHIDA Nakahiro
Title

Professor 
Field  Theoretical Statistics and Probability Theory 
Research interests

Asymptotic expansion, limit theorems, statistical inference for stochastic processes, stochastic numerical analysis, applications of statistical methods to finance and insurance mathematics 
Current research

I am studying asymptotic expansion for a martingale with mixed normal limit. The expansion formula is written by a certain random symbol specified by the Malliavin calculus. It is applied to approximation of the realized volatility. Nonsynchronous covariance estimator gives various problems in limit theorems and practical applications to highfrequent data analysis. Asymptotic expansion for pricing options is still our research area. Recently we are developing methods for highly precise tail approximation. We are making YUIMA II, an objectoriented large scale Rsoftware for statistical analysis and simulation for stochastic processes. 
Selected publications


Memberships, awards and activities

Mathematical Society of Japan, Japan Statistical Society, International Statistical Institute, Bernoulli Society. Japan Statistical Society Award Japan Statistical Society (2009), The first Research Achievement Award Japan Statistical Society (2007), Analysis Prize Mathematical Society of Japan (2006). Bernoulli Society Executive Committee, Statistical Inference for Stochastic Processes editorial board, ESAIM: Probability and Statistics editorial board, Program committee 8th World Congress in Probability and Statistics 2012 Istanbul, Scientific Program Committee, ISI 59th World Statistics Congress Hong Kong 2013 