An importance sampling method based on the density transformation of Lévy processes. - Reiichiro Kawai (Monte Carlo Methods Appl., 2006)

Adaptive Monte Carlo Variance Reduction with Two-time-scale Stochastic Approximation. - Reiichiro Kawai (Monte Carlo Methods Appl., 2007)

Optimal Importance Sampling Parameter Search for Lévy Processes via Stochastic Approximation. - Reiichiro Kawai (SIAM J. Numer. Anal., 2008)

An optimization approach to weak approximation of Lévy-driven stochastic differential equations with application to option pricing. - Kenji Kashima; Reiichiro Kawai (CDC, 2009)

Quasi-Monte Carlo Method for Infinitely Divisible Random Vectors via Series Representations. - Junichi Imai; Reiichiro Kawai (SIAM J. Sci. Comput., 2010)

Asymptotically optimal allocation of stratified sampling with adaptive variance reduction by strata. - Reiichiro Kawai (ACM Trans. Model. Comput. Simul., 2010)

On simulation of tempered stable random variates. - Reiichiro Kawai; Hiroki Masuda (J. Comput. Appl. Math., 2011)

Exact discrete sampling of finite variation tempered stable Ornstein-Uhlenbeck processes. - Reiichiro Kawai; Hiroki Masuda (Monte Carlo Methods Appl., 2011)

Infinite Variation Tempered Stable Ornstein-Uhlenbeck Processes with Discrete Observations. - Reiichiro Kawai; Hiroki Masuda (Commun. Stat. Simul. Comput., 2012)

Likelihood ratio gradient estimation for Meixner distribution and Lévy processes. - Reiichiro Kawai (Comput. Stat., 2012)

Numerical inverse Lévy measure method for infinite shot noise series representation. - Junichi Imai; Reiichiro Kawai (J. Comput. Appl. Math., 2013)

On Weak Approximation of Stochastic Differential Equations through Hard Bounds by Mathematical Programming. - Kenji Kashima; Reiichiro Kawai (SIAM J. Sci. Comput., 2013)

Explicit hard bounding functions for boundary value problems for elliptic partial differential equations. - Reiichiro Kawai (Comput. Math. Appl., 2015)

Measuring Impact of Random Jumps Without Sample Path Generation. - Reiichiro Kawai (SIAM J. Sci. Comput., 2015)

Adaptive importance sampling Monte Carlo simulation for general multivariate probability laws. - Reiichiro Kawai (J. Comput. Appl. Math., 2017)

Solving Multidimensional Fractional Fokker-Planck Equations via Unbiased Density Formulas for Anomalous Diffusion Processes. - Sean Carnaffan; Reiichiro Kawai (SIAM J. Sci. Comput., 2017)

Acceleration on Adaptive Importance Sampling with Sample Average Approximation. - Reiichiro Kawai (SIAM J. Sci. Comput., 2017)

Optimizing Adaptive Importance Sampling by Stochastic Approximation. - Reiichiro Kawai (SIAM J. Sci. Comput., 2018)

Computable Primal and Dual Bounds for Stochastic Control. - Chunxi Jiao; Reiichiro Kawai (SIAM J. Control. Optim., 2020)

Numerical Methods for Backward Stochastic Differential Equations: A Survey. - Jared Chessari; Reiichiro Kawai (CoRR, 2021)

Numerical aspects of shot noise representation of infinitely divisible laws and related processes. - Sida Yuan; Reiichiro Kawai (CoRR, 2021)

A general approach to sample path generation of infinitely divisible processes via shot noise representation. - Reiichiro Kawai (CoRR, 2021)

Weak approximation for stochastic differential equations with jumps by iteration and hard bounds. - Qinjing Qiu; Reiichiro Kawai (CoRR, 2021)

Iterative weak approximation and hard bounds for switching diffusion. - Qinjing Qiu; Reiichiro Kawai (CoRR, 2022)

Moment and polynomial bounds for ruin-related quantities in risk theory. - Yue He; Reiichiro Kawai (Eur. J. Oper. Res., 2022)

Batching Adaptive Variance Reduction. - Chenxiao Song; Reiichiro Kawai (ACM Trans. Model. Comput. Simul., 2023)

Dynamic Finite-Budget Allocation of Stratified Sampling with Adaptive Variance Reduction by Strata. - Chenxiao Song; Reiichiro Kawai (SIAM J. Sci. Comput., 2023)

A forward scheme with machine learning for forward-backward SDEs with jumps by decoupling jumps. - Reiichiro Kawai; Riu Naito; Toshihiro Yamada (CoRR, 2024)

Sampling and Change of Measure for Monte Carlo Integration on Simplices. - Chenxiao Song; Reiichiro Kawai (J. Sci. Comput., 2024)