24 citations · 41 across the 13 of their papers we have counts for
4 papers · 2 filters
On the Euler-Maruyama approximation for one-dimensional stochastic differential equations with irregular coefficients
Hoang-Long Ngo, Dai Taguchi
We study the strong rates of the Euler-Maruyama approximation for one dimensional stochastic differential equations whose drift coefficient may be neither continuous nor one-sided…
Convergence Implications via Dual Flow Method
Takafumi Amaba, Dai Taguchi, Go Yuki
Given a one-dimensional stochastic differential equation, one can associate to this equation a stochastic flow on , which has an absorbing barrier at zero. Then one c…
Strong rate of convergence for the Euler-Maruyama approximation of SDEs with Hölder continuous drift coefficient
Olivier Menoukeu Pamen, Dai Taguchi
In this paper, we consider a numerical approximation of the stochastic differential equation (SDE) $$X_{t}=x_{0}+ \int_{0}^{t} b(s, X_{s}) \mathrm{d}s + L_{t},~x_{0} \in \mathbb{R}…
Approximation for non-smooth functionals of stochastic differential equations with irregular drift
Hoang-Long Ngo, Dai Taguchi
This paper aims at developing a systematic study for the weak rate of convergence of the Euler-Maruyama scheme for stochastic differential equations with very irregular drift and c…