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Reiichiro Kawai
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2020 – today
- 2024
- [j22]Chenxiao Song, Reiichiro Kawai
:
Sampling and Change of Measure for Monte Carlo Integration on Simplices. J. Sci. Comput. 98(3): 64 (2024) - [i6]Reiichiro Kawai, Riu Naito, Toshihiro Yamada:
A forward scheme with machine learning for forward-backward SDEs with jumps by decoupling jumps. CoRR abs/2410.09666 (2024) - 2023
- [j21]Chenxiao Song
Dynamic Finite-Budget Allocation of Stratified Sampling with Adaptive Variance Reduction by Strata. SIAM J. Sci. Comput. 45(2): 898- (2023) - [j20]Chenxiao Song
Batching Adaptive Variance Reduction. ACM Trans. Model. Comput. Simul. 33(1-2): 3:1-3:24 (2023) - 2022
- [j19]Yue He
Moment and polynomial bounds for ruin-related quantities in risk theory. Eur. J. Oper. Res. 302(3): 1255-1271 (2022) - [i5]Qinjing Qiu, Reiichiro Kawai:
Iterative weak approximation and hard bounds for switching diffusion. CoRR abs/2202.11242 (2022) - 2021
- [i4]Jared Chessari, Reiichiro Kawai:
Numerical Methods for Backward Stochastic Differential Equations: A Survey. CoRR abs/2101.08936 (2021) - [i3]Sida Yuan, Reiichiro Kawai:
Numerical aspects of shot noise representation of infinitely divisible laws and related processes. CoRR abs/2101.10533 (2021) - [i2]Reiichiro Kawai:
A general approach to sample path generation of infinitely divisible processes via shot noise representation. CoRR abs/2103.01414 (2021) - [i1]Qinjing Qiu, Reiichiro Kawai:
Weak approximation for stochastic differential equations with jumps by iteration and hard bounds. CoRR abs/2105.13015 (2021) - 2020
- [j18]Chunxi Jiao
Computable Primal and Dual Bounds for Stochastic Control. SIAM J. Control. Optim. 58(6): 3709-3733 (2020)
2010 – 2019
- 2018
- [j17]Reiichiro Kawai
Optimizing Adaptive Importance Sampling by Stochastic Approximation. SIAM J. Sci. Comput. 40(4): A2774-A2800 (2018) - 2017
- [j16]Reiichiro Kawai
Adaptive importance sampling Monte Carlo simulation for general multivariate probability laws. J. Comput. Appl. Math. 319: 440-459 (2017) - [j15]Reiichiro Kawai
Acceleration on Adaptive Importance Sampling with Sample Average Approximation. SIAM J. Sci. Comput. 39(4) (2017) - [j14]Sean Carnaffan, Reiichiro Kawai
Solving Multidimensional Fractional Fokker-Planck Equations via Unbiased Density Formulas for Anomalous Diffusion Processes. SIAM J. Sci. Comput. 39(5) (2017) - 2015
- [j13]Reiichiro Kawai
Explicit hard bounding functions for boundary value problems for elliptic partial differential equations. Comput. Math. Appl. 70(12): 2822-2837 (2015) - [j12]Reiichiro Kawai
Measuring Impact of Random Jumps Without Sample Path Generation. SIAM J. Sci. Comput. 37(6) (2015) - 2013
- [j11]Junichi Imai, Reiichiro Kawai
Numerical inverse Lévy measure method for infinite shot noise series representation. J. Comput. Appl. Math. 253: 264-283 (2013) - [j10]Kenji Kashima, Reiichiro Kawai
On Weak Approximation of Stochastic Differential Equations through Hard Bounds by Mathematical Programming. SIAM J. Sci. Comput. 35(1) (2013) - 2012
- [j9]Reiichiro Kawai
Infinite Variation Tempered Stable Ornstein-Uhlenbeck Processes with Discrete Observations. Commun. Stat. Simul. Comput. 41(1): 125-139 (2012) - [j8]Reiichiro Kawai
Likelihood ratio gradient estimation for Meixner distribution and Lévy processes. Comput. Stat. 27(4): 739-755 (2012) - 2011
- [j7]Reiichiro Kawai
On simulation of tempered stable random variates. J. Comput. Appl. Math. 235(8): 2873-2887 (2011) - [j6]Reiichiro Kawai
Exact discrete sampling of finite variation tempered stable Ornstein-Uhlenbeck processes. Monte Carlo Methods Appl. 17(3): 279-300 (2011) - 2010
- [j5]Junichi Imai, Reiichiro Kawai
Quasi-Monte Carlo Method for Infinitely Divisible Random Vectors via Series Representations. SIAM J. Sci. Comput. 32(4): 1879-1897 (2010) - [j4]Reiichiro Kawai
Asymptotically optimal allocation of stratified sampling with adaptive variance reduction by strata. ACM Trans. Model. Comput. Simul. 20(2): 9:1-9:17 (2010)
2000 – 2009
- 2009
- [c1]Kenji Kashima, Reiichiro Kawai
An optimization approach to weak approximation of Lévy-driven stochastic differential equations with application to option pricing. CDC 2009: 3673-3678 - 2008
- [j3]Reiichiro Kawai
Optimal Importance Sampling Parameter Search for Lévy Processes via Stochastic Approximation. SIAM J. Numer. Anal. 47(1): 293-307 (2008) - 2007
- [j2]Reiichiro Kawai
Adaptive Monte Carlo Variance Reduction with Two-time-scale Stochastic Approximation. Monte Carlo Methods Appl. 13(3): 197-217 (2007) - 2006
- [j1]Reiichiro Kawai
An importance sampling method based on the density transformation of Lévy processes. Monte Carlo Methods Appl. 12(2): 171-186 (2006)
Coauthor Index
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