• 60 Citations
  • 4 h-Index
20162020

Research output per year

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Research Output

  • 60 Citations
  • 4 h-Index
  • 13 Article
  • 1 Chapter
2020

Probability density function of SDEs with unbounded and path-dependent drift coefficient

Taguchi, D. & Tanaka, A., 2020, (Accepted/In press) In : Stochastic Processes and their Applications. 130, 9, p. 5243-5289 47 p.

Research output: Contribution to journalArticle

Semi-implicit Eulera-Maruyama approximation for noncolliding particle systems

Ngo, H. L. & Taguchi, D., Apr 2020, In : Annals of Applied Probability. 30, 2, p. 673-705 33 p.

Research output: Contribution to journalArticle

2019

Malliavin calculus for non-colliding particle systems

Naganuma, N. & Taguchi, D., Jan 1 2019, (Accepted/In press) In : Stochastic Processes and their Applications.

Research output: Contribution to journalArticle

On a positivity preserving numerical scheme for jump-extended CIR process: the alpha-stable case

Li, L. & Taguchi, D., Sep 1 2019, In : BIT Numerical Mathematics. 59, 3, p. 747-774 28 p.

Research output: Contribution to journalArticle

1 Citation (Scopus)

On the Euler–Maruyama Scheme for Degenerate Stochastic Differential Equations with Non-sticky Condition

Taguchi, D. & Tanaka, A., 2019, Lecture Notes in Mathematics. Springer, p. 165-185 21 p. (Lecture Notes in Mathematics; vol. 2252).

Research output: Chapter in Book/Report/Conference proceedingChapter

On the Euler–Maruyama scheme for SDEs with bounded variation and Hölder continuous coefficients

Ngo, H. L. & Taguchi, D., Jul 2019, In : Mathematics and Computers in Simulation. 161, p. 102-112 11 p.

Research output: Contribution to journalArticle

1 Citation (Scopus)
2018

Approximation for non-smooth functionals of stochastic differential equations with irregular drift

Ngo, H. L. & Taguchi, D., Jan 1 2018, In : Journal of Mathematical Analysis and Applications. 457, 1, p. 361-388 28 p.

Research output: Contribution to journalArticle

1 Citation (Scopus)
2017

On the Euler-Maruyama approximation for one-dimensional stochastic differential equations with irregular coefficients

Ngo, H. L. & Taguchi, D., Oct 1 2017, In : IMA Journal of Numerical Analysis. 37, 4, p. 1864-1883 20 p.

Research output: Contribution to journalArticle

7 Citations (Scopus)
13 Citations (Scopus)

Strong rate of convergence for the Euler–Maruyama approximation of SDEs with Hölder continuous drift coefficient

Menoukeu Pamen, O. & Taguchi, D., Aug 2017, In : Stochastic Processes and their Applications. 127, 8, p. 2542-2559 18 p.

Research output: Contribution to journalArticle

4 Citations (Scopus)
2016

Stability problem for one-dimensional stochastic differential equations with discontinuous drift

Taguchi, D., Nov 1 2016, In : Lecture Notes in Mathematics. 2168, p. 97-121 25 p.

Research output: Contribution to journalArticle

Strong rate of convergence for the Euler-Maruyama approximation of stochastic differential equations with irregular coefficients

Ngo, H. L. & Taguchi, D., Jan 1 2016, In : Mathematics of Computation. 85, 300, p. 1793-1819 27 p.

Research output: Contribution to journalArticle

Open Access
30 Citations (Scopus)

The Parametrix Method for Skew Diffusions

Kohatsu-Higa, A., Taguchi, D. & Zhong, J., Aug 1 2016, In : Potential Analysis. 45, 2, p. 299-329 31 p.

Research output: Contribution to journalArticle

3 Citations (Scopus)