6 papers · 1 filter
-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…
On a positivity preserving numerical scheme for jump-extended CIR process: the alpha-stable case
Libo Li, Dai Taguchi
We propose a positivity preserving implicit Euler-Maruyama scheme for a jump-extended Cox-Ingersoll-Ross (CIR) process where the jumps are governed by a compensated spectrally posi…
Malliavin Calculus for Non-colliding Particle Systems
Nobuaki Naganuma, Dai Taguchi
In this paper, we use Malliavin calculus to show the existence and continuity of density functions of -dimensional non-colliding particle systems such as hyperbolic particle sys…