Tomooki Yuasa

collaborators

3 papers

math.PR2021

Higher-order error estimates of the discrete-time Clark--Ocone formula

Tsubasa Nishimura, Kenji Yasutomi, Tomooki Yuasa

In this article, we investigate the convergence rate of the discrete-time Clark--Ocone formula provided by Akahori--Amaba--Okuma [1]. In that paper, they mainly focus on the $L_{2}…

math.PR2020

$L^{q}$ -error estimates for approximation of irregular functionals of random vectors

Dai Taguchi, Akihiro Tanaka, Tomooki Yuasa

Avikainen showed that, for any $p, q \in [1, \infty)$ , and any function $f$ of bounded variation in $R$ , it holds that $\mathbb{E}[|f(X)-f(\widehat{X})|^{q}] \leq C(p,q) \ma…

math.PR2020

An efficient weak Euler-Maruyama type approximation scheme of very high dimensional SDEs by orthogonal random variables

Jirô Akahori, Masahiro Kinuya, Takashi Sawai +1

We will introduce Euler-Maruyama approximations given by an orthogonal system in $L^{2} [0, 1]$ for high dimensional SDEs, which could be finite dimensional approximations of SPDEs.…

Higher-order error estimates of the discrete-time Clark--Ocone formula

Lq-error estimates for approximation of irregular functionals of random vectors

An efficient weak Euler-Maruyama type approximation scheme of very high dimensional SDEs by orthogonal random variables

$L^{q}$ -error estimates for approximation of irregular functionals of random vectors