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Reiichiro Kawai

Orcid: 0000-0002-3845-015X

According to our database1, Reiichiro Kawai authored at least 28 papers between 2006 and 2024.

Collaborative distances:
  • Dijkstra number2 of five.
  • Erdős number3 of four.

Timeline

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Online presence:

On csauthors.net:

Bibliography

2024
Sampling and Change of Measure for Monte Carlo Integration on Simplices.
[BibTeX]
[DOI]
Chenxiao Song
,
Reiichiro Kawai
J. Sci. Comput., March, 2024

2023
Dynamic Finite-Budget Allocation of Stratified Sampling with Adaptive Variance Reduction by Strata.
[BibTeX]
[DOI]
Chenxiao Song
,
Reiichiro Kawai
SIAM J. Sci. Comput., April, 2023

Batching Adaptive Variance Reduction.
[BibTeX]
[DOI]
Chenxiao Song
,
Reiichiro Kawai
ACM Trans. Model. Comput. Simul., 2023

2022
Moment and polynomial bounds for ruin-related quantities in risk theory.
[BibTeX]
[DOI]
Yue He
,
Reiichiro Kawai
Eur. J. Oper. Res., 2022

Iterative weak approximation and hard bounds for switching diffusion.
[BibTeX]
[DOI]
Qinjing Qiu
,
Reiichiro Kawai
CoRR, 2022

2021
Weak approximation for stochastic differential equations with jumps by iteration and hard bounds.
[BibTeX]
[DOI]
Qinjing Qiu
,
Reiichiro Kawai
CoRR, 2021

A general approach to sample path generation of infinitely divisible processes via shot noise representation.
[BibTeX]
[DOI]
Reiichiro Kawai
CoRR, 2021

Numerical aspects of shot noise representation of infinitely divisible laws and related processes.
[BibTeX]
[DOI]
Sida Yuan
,
Reiichiro Kawai
CoRR, 2021

Numerical Methods for Backward Stochastic Differential Equations: A Survey.
[BibTeX]
[DOI]
Jared Chessari
,
Reiichiro Kawai
CoRR, 2021

2020
Computable Primal and Dual Bounds for Stochastic Control.
[BibTeX]
[DOI]
Chunxi Jiao
,
Reiichiro Kawai
SIAM J. Control. Optim., 2020

2018
Optimizing Adaptive Importance Sampling by Stochastic Approximation.
[BibTeX]
[DOI]
Reiichiro Kawai
SIAM J. Sci. Comput., 2018

2017
Acceleration on Adaptive Importance Sampling with Sample Average Approximation.
[BibTeX]
[DOI]
Reiichiro Kawai
SIAM J. Sci. Comput., 2017

Solving Multidimensional Fractional Fokker-Planck Equations via Unbiased Density Formulas for Anomalous Diffusion Processes.
[BibTeX]
[DOI]
Sean Carnaffan
,
Reiichiro Kawai
SIAM J. Sci. Comput., 2017

Adaptive importance sampling Monte Carlo simulation for general multivariate probability laws.
[BibTeX]
[DOI]
Reiichiro Kawai
J. Comput. Appl. Math., 2017

2015
Measuring Impact of Random Jumps Without Sample Path Generation.
[BibTeX]
[DOI]
Reiichiro Kawai
SIAM J. Sci. Comput., 2015

Explicit hard bounding functions for boundary value problems for elliptic partial differential equations.
[BibTeX]
[DOI]
Reiichiro Kawai
Comput. Math. Appl., 2015

2013
On Weak Approximation of Stochastic Differential Equations through Hard Bounds by Mathematical Programming.
[BibTeX]
[DOI]
Kenji Kashima
,
Reiichiro Kawai
SIAM J. Sci. Comput., 2013

Numerical inverse Lévy measure method for infinite shot noise series representation.
[BibTeX]
[DOI]
Junichi Imai
,
Reiichiro Kawai
J. Comput. Appl. Math., 2013

2012
Likelihood ratio gradient estimation for Meixner distribution and Lévy processes.
[BibTeX]
[DOI]
Reiichiro Kawai
Comput. Stat., 2012

Infinite Variation Tempered Stable Ornstein-Uhlenbeck Processes with Discrete Observations.
[BibTeX]
[DOI]
Reiichiro Kawai
,
Hiroki Masuda
Commun. Stat. Simul. Comput., 2012

2011
Exact discrete sampling of finite variation tempered stable Ornstein-Uhlenbeck processes.
[BibTeX]
[DOI]
Reiichiro Kawai
,
Hiroki Masuda
Monte Carlo Methods Appl., 2011

On simulation of tempered stable random variates.
[BibTeX]
[DOI]
Reiichiro Kawai
,
Hiroki Masuda
J. Comput. Appl. Math., 2011

2010
Asymptotically optimal allocation of stratified sampling with adaptive variance reduction by strata.
[BibTeX]
[DOI]
Reiichiro Kawai
ACM Trans. Model. Comput. Simul., 2010

Quasi-Monte Carlo Method for Infinitely Divisible Random Vectors via Series Representations.
[BibTeX]
[DOI]
Junichi Imai
,
Reiichiro Kawai
SIAM J. Sci. Comput., 2010

2009
An optimization approach to weak approximation of Lévy-driven stochastic differential equations with application to option pricing.
[BibTeX]
[DOI]
Kenji Kashima
,
Reiichiro Kawai
Proceedings of the 48th IEEE Conference on Decision and Control, 2009

2008
Optimal Importance Sampling Parameter Search for Lévy Processes via Stochastic Approximation.
[BibTeX]
[DOI]
Reiichiro Kawai
SIAM J. Numer. Anal., 2008

2007
Adaptive Monte Carlo Variance Reduction with Two-time-scale Stochastic Approximation.
[BibTeX]
[DOI]
Reiichiro Kawai
Monte Carlo Methods Appl., 2007

2006
An importance sampling method based on the density transformation of Lévy processes.
[BibTeX]
[DOI]
Reiichiro Kawai
Monte Carlo Methods Appl., 2006


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