Papers

Publications

[20] Yushi Hamaguchi and Dai Taguchi, "Approximations for adapted M-solutions of Type-II backward stochastic Volterra integral equations", arXiv:2102.08536, ESAIM: Probability and Statistics, 27 (2023) 19–79.

[19] Takuya Nakagawa, Dai Taguchi and Tomooki Yuasa, "Semi-implicit Euler--Maruyama scheme for polynomial diffusions on the unit ball", arXiv:2104.03468v2 , Journal of Mathematical Analysis and Applications Volume 519, Issue 2 (2023).

[18] Dai Taguchi, On the strong convergence rate for the Euler--Maruyama scheme of one-dimensional SDEs with irregular diffusion coefficient and local time, Journal of Complexity, 74 (2023).

[17] Dai Taguchi and Takahiro Tsuchiya: "Newton-Kantorovitch method for decoupled forward-backward stochastic differential equations", arXiv:1806.01493. (Electronic Journal of Differential Equations, Vol. 2021 (2021), No. 98, pp. 1-16.).

[16] Dai Taguchi, Akihiro Tanaka and Tomooki Yuasa, "$L^{q}$-error estimates for approximation of irregular functionals of random vectors", arXiv:2005.03219v3. (IMA Journal of Numerical Analysis, Volume 42, Issue 1, January 2022, Pages 840–873).

[15] Dai Taguchi and Akihiro Tanaka, "Probability density function of SDEs with unbounded and path--dependent drift coefficient", Stochastic Processes and their Applications, Volume 130, Issue 9, September 2020, Pages 5243-5289.

[14] Nobuaki Naganuma and Dai Taguchi: "Malliavin Calculus for Non-colliding Particle Systems", Stochastic Processes and their Applications, Volume 130, Issue 4, April 2020, Pages 2384-2406.

[13] Hoang-Long Ngo and Dai Taguchi: "Semi-implicit Euler-Maruyama approximation for non-colliding particle systems", Annals of Applied Probability, Volume 30, Number 2 (2020), 673-705.

[12] Takafumi Amaba, Dai Taguchi and Go Yuki: "Convergence Implications via Dual Flow Method", arXiv:1508.07399, Markov Processes Relat. Fields 25, 533–568 (2019).

[11] Dai Taguchi and Akihiro Tanaka, "On the Euler--Maruyama scheme for degenerate stochastic differential equations with non-sticky condition", Séminaire de Probabilités L,165-185 (2019), (arXiv:1902.05712v2).

[10] Libo Li and Dai Taguchi: "On a positivity preserving numerical scheme for jump-extended CIR process: the alpha-stable case", BIT Numerical Mathematics, 59, pages747–774(2019).

[9] Hoang-Long Ngo and Dai Taguchi "On the Euler–Maruyama scheme for SDEs with bounded variation and Hölder continuous coefficients", Mathematics and Computers in Simulation, Volume 161, July 2019, Pages 102-112, (Special issue on the Eleventh International Conference on Monte Carlo Methods and Applications (MCM 2017), held in Montreal, Canada, July 03-07, 2017).

[8] Libo Li and Dai Taguchi: "On the Euler-Maruyama scheme for spectrally one-sided Lévy driven SDEs with Hölder continuous coefficients", arXiv:1712.09220v2, Statistics & Probability Letters Volume 146, March 2019, Pages 15-26.

[7] Hoang-Long Ngo and Dai Taguchi: "Approximation for non-smooth functionals of stochastic differential equations with irregular drift", Journal of Mathematical Analysis and Applications, Volume 457, Issue 1, 1 January 2018, Pages 361-388

[6] Hoang-Long Ngo and Dai Taguchi: "Strong convergence for the Euler-Maruyama approximation of stochastic differential equations with discontinuous coefficients", Statistics and Probability Letters 125 (2017) 55–63.

[5] Hoang-Long Ngo and Dai Taguchi: "On the Euler-Maruyama approximation for one-dimensional stochastic differential equations with irregular coefficients", IMA Journal of Numerical Analysis, Volume 37, Issue 4, 1 October 2017, Pages 1864–1883.

[4] Olivier Menoukeu Pamen and Dai Taguchi: "Strong rate of convergence for the Euler-Maruyama approximation of SDEs with Hölder continuous drift coefficient", Stochastic Processes and their Applications, 127, (2017), 2542-2559.

[3] Dai Taguchi: "Stability problem for one-dimensional stochastic differential equations with discontinuous drift", Séminaire de Probabilités XLVIII, Lecture Notes in Mathematics 2168, (2016), 97-121.

[2] Arturo Kohatsu-Higa, Dai Taguchi and Jie Zhong: "The parametrix method for skew diffusions", Potential Anal (2016) 45:299–329.

[1] Hoang-Long Ngo and Dai Taguchi: "Strong rate of convergence for the Euler-Maruyama approximation of stochastic differential equations with irregular coefficients", Mathematics of Computation 85 (2016), 1793-1819.

Proceedings

[1] Mizuki Furusawa and Dai Taguchi: "Strong rate of convergence for the Euler-Maruyama approximation of stochastic differential equations with jumps and irregular drift coefficient", Proceedings of the ISCIE International Symposium on Stochastic Systems Theory and its Applications Vol. 2016 (2016) p. 216-224

Book Review, 書評

[1] Jianfeng Zhang, Backward Stochastic Differential Equations－From Linear to Fully Nonlinear Theory (Probab. Theory Stoch. Model., 86), 日本数学会編集, 数学, 第71巻 第4号 (2019年10月), 岩波書店，リンク

Others, その他

• 日本数学会2020年度年会、特別講演予稿

• 日本数学会2021年度年会、特別講演予稿，slide.

Doctoral Thesis

Thesis title: "Numerical analysis for stochastic differential equations with irregular coefficients", Reviewed by Ritsumeikan University, (version of 2017, Feb. 13), Slide