3 papers
math.PR2020
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…
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…