3 citations · 3 across the 6 of their papers we have counts for
5 papers · 1 filter
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…
What is the natural scale for a Lévy process in modelling term structure of interest rates?
Jirô Akahori, Takahiro Tsuchiya
This paper gives examples of explicit arbitrage-free term structure models with Lévy jumps via state price density approach. By generalizing quadratic Gaussian models, it is found…