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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
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}…