4 papers
Existence of densities and atoms for the running maximum of time-inhomogeneous jump diffusions
Takuya Nakagawa, Ryoichi Suzuki
We prove absolute continuity of the running maximum of one-dimensional time-inhomogeneous Lévy--Itô diffusions driven by a Brownian motion and…
Pathwise stability for one-dimensional SDEs driven by Brownian motion and a symmetric stable process
Takuya Nakagawa, Ryoichi Suzuki
We prove quantitative pathwise stability estimates for one-dimensional stochastic differential equations driven by a common Brownian motion and a common symmetric -stable proces…
Existence of density functions for SDEs driven by pure-jump processes
Takuya Nakagawa, Ryoichi Suzuki
We verify the existence of density functions of the running maximum of a stochastic differential equation (SDE) driven by a Brownian motion and a non-truncated stable process. This…
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…