3 citations · 3 across the 6 of their papers we have counts for
7 papers
Fully coupled drift-less Forward and backward Stochastic Differential Equations in a degenerate case
Takahiro Tsuchiya
Existence and uniqueness results of fully coupled forward stochastic differential equations without drifts and backward stochastic differential equations in a degenerate case are o…
Newton-Kantorovitch method for decoupled forward-backward stochastic differential equations
Dai Taguchi, Takahiro Tsuchiya
We present and prove a Newton-Kantorovitch method for solving decoupled forward-backward stochastic differential equations (FBSDEs) involving smooth coefficients with uniformly bou…
Stability problems for Cantor stochastic differential equations
Hiroya Hashimoto, Takahiro Tsuchiya
We consider driftless stochastic differential equations and the diffusions starting from the positive half line. It is shown that the Feller test for explosions gives a necessary a…
Convergence rate of stability problems of SDEs with (dis-)continuous coefficients
Hashimoto Hashimoto, Takahiro Tsuchiya
We consider the stability problems of one dimensional SDEs when the diffusion coefficients satisfy the so called Nakao-Le Gall condition. The explicit rate of convergence of the st…
Defaultable Bonds via HKA
Yuta Inoue, Takahiro Tsuchiya
To construct a no-arbitrage defaultable bond market, we work on the state price density framework. Using the heat kernel approach (HKA for short) with the killing of a Markov proce…
A Heat Kernel Approach to Interest Rate Models
Jiro Akahori, Yuji Hishida, Josef Teichmann +1
We construct default-free interest rate models in the spirit of the well-known Markov funcional models: our focus is analytic tractability of the models and generality of the appro…