Akihiro Tanaka

List of research outcomes

This list is not complete and representing at the moment only items from zbMATH Open and arXiv. We are working on additional sources - please check back here soon!

Publication	Date of Publication	Type
Weak Approximation for a Black-Scholes Type Regime Switching Model Applied Mathematical Finance	2025-01-27	Paper
Notes on backward stochastic differential equations for computing XVA Proceedings of the Forum "Math-for-Industry" 2018	2024-04-03	Paper
\(L^q\)-error estimates for approximation of irregular functionals of random vectors IMA Journal of Numerical Analysis	2022-01-27	Paper
On a Monte Carlo scheme for some linear stochastic partial differential equations Monte Carlo Methods and Applications	2021-07-14	Paper
Polyhedral approximations of the semidefinite cone and their application Computational Optimization and Applications	2021-06-01	Paper
On the Euler-Maruyama scheme for degenerate stochastic differential equations with non-sticky condition Lecture Notes in Mathematics	2020-10-20	Paper
Probability density function of SDEs with unbounded and path-dependent drift coefficient Stochastic Processes and their Applications	2020-09-02	Paper
Remarks on an arbitrage-free condition for XVA JSIAM Letters	2019-10-09	Paper
Probability density function of SDEs with unbounded and path--dependent drift coefficient (available as arXiv preprint)	2018-11-17	Paper
LP-based tractable subcones of the semidefinite plus nonnegative cone Annals of Operations Research	2018-08-13	Paper
An LP-based algorithm to test copositivity	2015-08-14	Paper
A Malliavin calculus method to study densities of additive functionals of SDE's with irregular drifts Annales de l'Institut Henri Poincaré. Probabilités et Statistiques	2012-08-20	Paper

Research outcomes over time

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