Reiichiro Kawai - researchr alias

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Viewing Publication 1 - 23 from 23

2024

Sampling and Change of Measure for Monte Carlo Integration on SimplicesChenxiao Song, Reiichiro Kawai. jscic, 98(3):64, March 2024. [doi]

2023

Batching Adaptive Variance ReductionChenxiao Song, Reiichiro Kawai. tomacs, 33, 2023. [doi]

Dynamic Finite-Budget Allocation of Stratified Sampling with Adaptive Variance Reduction by StrataChenxiao Song, Reiichiro Kawai. siamsc, 45(2):898, April 2023. [doi]

2022

Moment and polynomial bounds for ruin-related quantities in risk theoryYue He, Reiichiro Kawai. eor, 302(3):1255-1271, 2022. [doi]

2020

Computable Primal and Dual Bounds for Stochastic ControlChunxi Jiao, Reiichiro Kawai. siamco, 58(6):3709-3733, 2020. [doi]

2018

Optimizing Adaptive Importance Sampling by Stochastic ApproximationReiichiro Kawai. siamsc, 40(4), 2018. [doi]

2017

Solving Multidimensional Fractional Fokker-Planck Equations via Unbiased Density Formulas for Anomalous Diffusion ProcessesSean Carnaffan, Reiichiro Kawai. siamsc, 39(5), 2017. [doi]

Adaptive importance sampling Monte Carlo simulation for general multivariate probability lawsReiichiro Kawai. jcam, 319:440-459, 2017. [doi]

Acceleration on Adaptive Importance Sampling with Sample Average ApproximationReiichiro Kawai. siamsc, 39(4), 2017. [doi]

2015

Measuring Impact of Random Jumps Without Sample Path GenerationReiichiro Kawai. siamsc, 37(6), 2015. [doi]

Explicit hard bounding functions for boundary value problems for elliptic partial differential equationsReiichiro Kawai. cma, 70(12):2822-2837, 2015. [doi]

2013

Numerical inverse Lévy measure method for infinite shot noise series representationJunichi Imai, Reiichiro Kawai. jcam, 253:264-283, 2013. [doi]

On Weak Approximation of Stochastic Differential Equations through Hard Bounds by Mathematical ProgrammingKenji Kashima, Reiichiro Kawai. siamsc, 35(1), 2013. [doi]

2012

Likelihood ratio gradient estimation for Meixner distribution and Lévy processesReiichiro Kawai. cstat, 27(4):739-755, 2012. [doi]

Infinite Variation Tempered Stable Ornstein-Uhlenbeck Processes with Discrete ObservationsReiichiro Kawai, Hiroki Masuda. cssc, 41(1):125-139, 2012. [doi]

2011

On simulation of tempered stable random variatesReiichiro Kawai, Hiroki Masuda. jcam, 235(8):2873-2887, 2011. [doi]

Exact discrete sampling of finite variation tempered stable Ornstein-Uhlenbeck processesReiichiro Kawai, Hiroki Masuda. mcma, 17(3):279-300, 2011. [doi]

2010

Quasi-Monte Carlo Method for Infinitely Divisible Random Vectors via Series RepresentationsJunichi Imai, Reiichiro Kawai. siamsc, 32(4):1879-1897, 2010. [doi]

Asymptotically optimal allocation of stratified sampling with adaptive variance reduction by strataReiichiro Kawai. tomacs, 20(2), 2010. [doi]

2009

An optimization approach to weak approximation of Lévy-driven stochastic differential equations with application to option pricingKenji Kashima, Reiichiro Kawai. cdc 2009: 3673-3678 [doi]

2008

Optimal Importance Sampling Parameter Search for Lévy Processes via Stochastic ApproximationReiichiro Kawai. siamnum, 47(1):293-307, 2008. [doi]

2007

Adaptive Monte Carlo Variance Reduction with Two-time-scale Stochastic ApproximationReiichiro Kawai. mcma, 13(3):197-217, 2007. [doi]

2006

An importance sampling method based on the density transformation of Lévy processesReiichiro Kawai. mcma, 12(2):171-186, 2006. [doi]

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