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math.PR2020
-error estimates for approximation of irregular functionals of random vectors
Dai Taguchi, Akihiro Tanaka, Tomooki Yuasa
Avikainen showed that, for any , and any function of bounded variation in , it holds that $\mathbb{E}[|f(X)-f(\widehat{X})|^{q}] \leq C(p,q) \ma…
math.PR2019
On the Euler--Maruyama scheme for degenerate stochastic differential equations with non-sticky condition
Dai Taguchi, Akihiro Tanaka
The aim of this paper is to study weak and strong convergence of the Euler--Maruyama scheme for a solution of one-dimensional degenerate stochastic differential equation $\mathrm{d…
math.PR2018
Probability density function of SDEs with unbounded and path--dependent drift coefficient
Dai Taguchi, Akihiro Tanaka
In this paper, we first prove that the existence of a solution of SDEs under the assumptions that the drift coefficient is of linear growth and path--dependent, and diffusion coeff…