24 citations · 41 across the 13 of their papers we have counts for
18 papers
Semi-implicit Euler--Maruyama scheme for polynomial diffusions on the unit ball
Takuya Nakagawa, Dai Taguchi, Tomooki Yuasa
In this article, we consider numerical schemes for polynomial diffusions on the unit ball, which are solutions of stochastic differential equations with a diffusion coefficient of…
Approximations for adapted M-solutions of Type-II backward stochastic Volterra integral equations
Yushi Hamaguchi, Dai Taguchi
In this paper, we study a class of Type-II backward stochastic Volterra integral equations (BSVIEs). For the adapted M-solutions, we obtain two approximation results, namely, a BSD…
-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…
A generalized Avikainen's estimate and its applications
Dai Taguchi
Avikainen provided a sharp upper bound of the difference by the moments of for any one-dimensional random variables wi…
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…
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…