4 papers · 1 filter
Strong rate of convergence for the Euler--Maruyama scheme of SDEs with unbounded Hölder continuous drift coefficient
Tsukasa Moritoki, Dai Taguchi
In this paper, we provide the strong rate of convergence for the Euler--Maruyama scheme for multi-dimensional stochastic differential equations with uniformly locally (unbounded) H…
A generalized coupling approach for the weak approximation of stochastic functional differential equations
Yushi Hamaguchi, Dai Taguchi
In this paper, we study functional type weak approximation of weak solutions of stochastic functional differential equations by means of the Euler--Maruyama scheme. Under mild assu…
Strong solution and approximation of time-dependent radial Dunkl processes with multiplicative noise
Minh-Thang Do, Hoang-Long Ngo, Dai Taguchi
We study the strong existence and uniqueness of solutions within a Weyl chamber for a class of time-dependent particle systems driven by multiplicative noise. This class includes w…
Numerical schemes for radial Dunkl processes
Hoang-Long Ngo, Dai Taguchi
We consider the numerical approximation for a class of radial Dunkl processes corresponding to arbitrary (reduced) root systems in . This class contains some well-k…