Akihiko Inoue's Homepage
 English / Japanese


Department of Mathematics, Graduate School of Science, Hiroshima University
 HigashiHiroshima 7398526, Japan
 Email: 'inoue100' followed by '@hiroshimau.ac.jp'
RESEARCH INTERESTS
 Stochastic Processes with Memory,
Mathematical Finance, Time Series Analysis,
Tauberian Theorems
PAPERS
 A. Inoue,
Closedform expression for finite predictor coefficients of multivariate ARMA processes,
Journal of Multivariate Analysis 176 (2020), 104578.
arxiv:1805.04820.
 A. Inoue,
Representation theorems in finite prediction and their applications (Japanese),
Sugaku 71 (2019), 302324.
 A. Inoue and Y. Kasahara,
Simple matrix representations of the orthogonal polynomials for a rational spectral density on the unit circle,
Journal of Mathematical Analysis and Applications 464 (2018), 13661374.
 A. Inoue, Y. Kasahara and M. Pourahmadi,
Baxter's inequality for finite predictor coefficients of multivariate longmemory stationary processes,
Bernoulli 24 (2018), 12021232. pdf
 A. Inoue, Y. Kasahara and M. Pourahmadi,
The intersection of past and future for multivariate stationary processes,
Proceedings of the American Mathematical Society 144 (2016), 17791786. arXiv:1501.00625
 Y. Kasahara, A. Inoue and M. Pourahmadi,
Rigidity for matrixvalued Hardy functions,
Integral Equations and Operator Theory, 84 (2016), 289300.
 A. Inoue, S. Moriuchi and Y. Nakamura,
A Vasicektype short rate model with memory effect,
Stochastic Analysis and Applications 33 (2015), 10681082. arXiv:1504.01542
 A. Inoue and V. Anh, Prediction of fractional processes with longrange
dependence, Hokkaido Mathematical Journal 41 (2012), 157183. arXiv:0708.3631
 N. H. Bingham, A. Inoue and Y. Kasahara,
An explicit representation of Verblunsky coefficients, Statistics & Probability Letters
82 (2012), 403410. arXiv:1109.4513
 Y. Kasahara, M. Pourahmadi and A. Inoue,
Duals of random vectors and processes with applications to prediction
problems with missing values, Statistics & Probability Letters
79 (2009), 16371646. pdf
 A. Inoue, Y. Kasahara and P. Phartyal,
Baxter's inequality for fractional Brownian motiontype processes
with Hurst index less than 1/2,
Statistics & Probability Letters 78 (2008), 28892894. pdf
 A. Inoue, AR and MA representation of partial autocorrelation
functions, with applications, Probability Theory and Related Fields
140 (2008), 523551.
pdf
 K. Fukuda, A. Inoue and Y. Nakano,
Optimal intertemporal risk allocation applied to insurance pricing. arXiv:0711.1143
 A. Inoue and Y. Nakano, Remark on optimal investment in a market
with memory, Theory of Stochastic Processes 13 (2007), 6676. pdf
 A. Inoue and V. Anh, Prediction of fractional Brownian motiontype
proesses, Stochastic Analysis and Applications 25 (2007), 641666. pdf
 A. Inoue and Y. Nakano, Optimal longterm investment model with
memory, Applied Mathematics and Optimization 55 (2007), 93122. pdf
 A. Inoue, Y. Nakano and V. Anh, Binary market models with memory,
Statistics & Probability Letters 77 (2007), 256264. pdf
 M. Pourahmadi, A. Inoue and Y. Kasahara, A Prediction Problem in
L^2(w), Proceedings of the American Mathematical Society 135 (2007),
12331239. pdf
 A. Inoue and Y. Kasahara, Explicit representation of finite
predictor coefficients and its applications, The Annals of Statistics 34
(2006), 973993. pdf
 A. Inoue, Y. Nakano and V. Anh, Linear filtering of systems with
memory and application to finance, Journal of Applied Mathematics and
Stochastic Analysis, (2006), Art. ID 53104, 26 pp. pdf
 V. Anh and A. Inoue, Financial markets with memory I: Dynamic
models, Stochastic Analysis and Applications 23 (2005), 275300. pdf
 V. Anh, A. Inoue and Y. Kasahara, Financial markets with memory II:
Innovation processes and expected utility maximization, Stochastic
Analysis and Applications 23 (2005), 301328. pdf
 V. Anh and A. Inoue, Prediction of fractional Brownian motion with
Hurst index less than 1/2, Bulletin of the Australian Mathematical
Society 70 (2004), 321328.
 A. Inoue and Y. Kasahara, Partial autocorrelation functions of the
fractional ARIMA processes with negative degree of differencing, Journal
of Multivariate Analysis 89 (2004), 135147. pdf
 A. Inoue, On the worst conditional expectation, Journal of
Mathematical Analysis and Applications 286 (2003), 237247. pdf
 A. Inoue, Asymptotic behavior for partial autocorrelation functions
of fractional ARIMA processes, The Annals of Applied Probability 12
(2002), 14711491. pdf
 N. H. Bingham and A. Inoue, Extension of the DrasinSheaJordan
theorem, Journal of the Mathematical Society of Japan 52 (2000),
545559. pdf
 N. H. Bingham and A. Inoue, Tauberian and Mercerian theorems for
systems of kernels, Journal of Mathematical Analysis and Applications
252 (2000), 177197. pdf
 N. H. Bingham and A. Inoue, Abelian, Tauberian, and Mercerian
theorems for arithmetic sums, Journal of Mathematical Analysis and
Applications 250 (2000), 465493. pdf
 A. Inoue and Y. Kasahara, Asymptotics for prediction errors of
stationary processes with reflection positivity, Journal of Mathematical
Analysis and Applications 250 (2000), 299319. pdf
 A. Inoue, Asymptotics for the partial autocorrelation function of a
stationary process, Journal d'Analyse Mathematique 81 (2000), 65109. pdf
 A. Inoue and H. Kikuchi, AbelTauber theorems for Hankel and Fourier
transforms and a problem of Boas, Hokkaido Mathematical Journal 28
(1999), 577596.
pdf
 A. Inoue and Y. Kasahara, On the asymptotic behavior of the
prediction error of a stationary process, in Trends in Probability and
Related Analysis (Taipei, 1998), 207218, World Sci. Publishing, River
Edghe, NJ, 1999. pdf
 N. H. Bingham and A. Inoue, Ratio Mercerian theorems with
applications to Hankel and Fourier transforms, Proceedings of the London
Mathematical Society (3) 79 (1999), 626648.
 N. H. Bingham and A. Inoue, An AbelTauber theorem for Hankel
transforms, in Trends in probability and related analysis (Taipei,
1996), 8390, World Sci. Publishing, River Edge, NJ, 1997.
 N. H. Bingham and A. Inoue, The DrasinSheaJordan theorem for
Fourier and Hankel transforms, The Quarterly Journal of Mathematics.
Oxford Series (2) 48 (1997), 279307.
 A. Inoue, Regularly varying correlation functions and KMOLangevin
equations, Hokkaido Mathematical Journal 26 (1997), 457482.
pdf
 A. Inoue, AbelTauber theorems for FourierStieltjes coefficients,
Journal of Mathematical Analysis and Applications 211 (1997), 460480.
 A. Inoue, An AbelTauber theorem for Fourier sine transforms, J.
Math. Sci. Univ. Tokyo 2 (1995), 303309.
 A. Inoue, On AbelTauber theorems for Fourier cosine transforms,
Journal of Mathematical Analysis and Applications 196 (1995), 764776.
 Y. Okabe and A. Inoue, The theory of KM2OLangevin equations and
applications to data analysis. II. Causal analysis (1), Nagoya
Mathematical Journal 134 (1994), 128.
 A. Inoue, On the equations of stationary processes with divergent
diffusion coefficients, Journal of the Faculty of Science. University of
Tokyo. Section IA. Mathematics 40 (1993), 307336. pdf
 Y. Okabe and A. Inoue, On the exponential decay of the correlation
functions for KMOLangevin equations, Japanese Journal of Mathematics.
New Series 18 (1992), 1324.
 A. Inoue, The AlderWainwright effect for stationary processes with
reflection positivity. II. Osaka Journal of Mathematics 28 (1991),
537561.
 A. Inoue, The AlderWainwright effect for stationary processes with
reflection positivity, Journal of the Mathematical Society of Japan 43
(1991), 515526.
 A. Inoue, Path integral for diffusion equations, Hokkaido
Mathematical Journal 15 (1986), 7199.
BOOK

Akihiko Inoue, Yumiharu Nakano and Kei Fukuda,
Mathematics for Finance and Insurance (Japanese),
Iwanami Studies in Advanced Mathematics, Iwanami, Tokyo, 2014. 464 pp.
OTHERS
 A. Inoue, Partial autocorrelation functions (in Japanese), Rokko
Lectures in Mathematics 16, 2005. pdf
