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math.OC2019★ 6 cited
Polyhedral approximations of the semidefinite cone and their application
Yuzhu Wang, Akihiro Tanaka, Akiko Yoshise
We develop techniques to construct a series of sparse polyhedral approximations of the semidefinite cone. Motivated by the semidefinite (SD) bases proposed by Tanaka and Yoshise (2…
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…