24 citations · 41 across the 13 of their papers we have counts for
Showing 2021Show all
2 papers · 1 filter
math.PR2021
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…
math.PR2021★ 3 cited
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…