Reiichiro Kawai

Publication Activity (10 Years)

Years Active: 2006-2024
Publications (10 Years): 14

Top Topics

Diffusion Process

Importance Sampling

Top Venues

SIAM J. Sci. Comput.

Comput. Math. Appl.

J. Comput. Appl. Math.

Publications

Chenxiao Song, Reiichiro Kawai
Sampling and Change of Measure for Monte Carlo Integration on Simplices. J. Sci. Comput. 98 (3) (2024)
Chenxiao Song, Reiichiro Kawai
Dynamic Finite-Budget Allocation of Stratified Sampling with Adaptive Variance Reduction by Strata. SIAM J. Sci. Comput. 45 (2) (2023)
Chenxiao Song, Reiichiro Kawai
Batching Adaptive Variance Reduction. ACM Trans. Model. Comput. Simul. 33 (2023)
Yue He, Reiichiro Kawai
Moment and polynomial bounds for ruin-related quantities in risk theory. Eur. J. Oper. Res. 302 (3) (2022)
Qinjing Qiu, Reiichiro Kawai
Iterative weak approximation and hard bounds for switching diffusion. CoRR (2022)
Reiichiro Kawai
A general approach to sample path generation of infinitely divisible processes via shot noise representation. CoRR (2021)
Sida Yuan, Reiichiro Kawai
Numerical aspects of shot noise representation of infinitely divisible laws and related processes. CoRR (2021)
Qinjing Qiu, Reiichiro Kawai
Weak approximation for stochastic differential equations with jumps by iteration and hard bounds. CoRR (2021)
Jared Chessari, Reiichiro Kawai
Numerical Methods for Backward Stochastic Differential Equations: A Survey. CoRR (2021)
Chunxi Jiao, Reiichiro Kawai
Computable Primal and Dual Bounds for Stochastic Control. SIAM J. Control. Optim. 58 (6) (2020)
Reiichiro Kawai
Optimizing Adaptive Importance Sampling by Stochastic Approximation. SIAM J. Sci. Comput. 40 (4) (2018)
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)
Reiichiro Kawai
Acceleration on Adaptive Importance Sampling with Sample Average Approximation. SIAM J. Sci. Comput. 39 (4) (2017)
Reiichiro Kawai
Adaptive importance sampling Monte Carlo simulation for general multivariate probability laws. J. Comput. Appl. Math. 319 (2017)
Reiichiro Kawai
Explicit hard bounding functions for boundary value problems for elliptic partial differential equations. Comput. Math. Appl. 70 (12) (2015)
Reiichiro Kawai
Measuring Impact of Random Jumps Without Sample Path Generation. SIAM J. Sci. Comput. 37 (6) (2015)
Kenji Kashima, Reiichiro Kawai
On Weak Approximation of Stochastic Differential Equations through Hard Bounds by Mathematical Programming. SIAM J. Sci. Comput. 35 (1) (2013)
Junichi Imai, Reiichiro Kawai
Numerical inverse Lévy measure method for infinite shot noise series representation. J. Comput. Appl. Math. 253 (2013)
Reiichiro Kawai, Hiroki Masuda
Infinite Variation Tempered Stable Ornstein-Uhlenbeck Processes with Discrete Observations. Commun. Stat. Simul. Comput. 41 (1) (2012)
Reiichiro Kawai
Likelihood ratio gradient estimation for Meixner distribution and Lévy processes. Comput. Stat. 27 (4) (2012)
Reiichiro Kawai, Hiroki Masuda
Exact discrete sampling of finite variation tempered stable Ornstein-Uhlenbeck processes. Monte Carlo Methods Appl. 17 (3) (2011)
Reiichiro Kawai, Hiroki Masuda
On simulation of tempered stable random variates. J. Comput. Appl. Math. 235 (8) (2011)
Reiichiro Kawai
Asymptotically optimal allocation of stratified sampling with adaptive variance reduction by strata. ACM Trans. Model. Comput. Simul. 20 (2) (2010)
Junichi Imai, Reiichiro Kawai
Quasi-Monte Carlo Method for Infinitely Divisible Random Vectors via Series Representations. SIAM J. Sci. Comput. 32 (4) (2010)
Kenji Kashima, Reiichiro Kawai
An optimization approach to weak approximation of Lévy-driven stochastic differential equations with application to option pricing. CDC (2009)
Reiichiro Kawai
Optimal Importance Sampling Parameter Search for Lévy Processes via Stochastic Approximation. SIAM J. Numer. Anal. 47 (1) (2008)
Reiichiro Kawai
Adaptive Monte Carlo Variance Reduction with Two-time-scale Stochastic Approximation. Monte Carlo Methods Appl. 13 (3) (2007)
Reiichiro Kawai
An importance sampling method based on the density transformation of Lévy processes. Monte Carlo Methods Appl. 12 (2) (2006)