Reiichiro Kawai

32 papers Journal 31Unranked 1

Year	Rank	Type	Title / Venue / Authors
2026	J	`jnl`	A deep learning-based forward scheme for forward-backward SDEs with jumps. J. Sci. Comput. Reiichiro Kawai, Riu Naito, Toshihiro Yamada
2026	J	`jnl`	Controlling antithetic variates. Eur. J. Oper. Res. Reiichiro Kawai
2025	J	`jnl`	Antithetic variates revisited again. Monte Carlo Methods Appl. Reiichiro Kawai
2024	J	`jnl`	A forward scheme with machine learning for forward-backward SDEs with jumps by decoupling jumps. CoRR Reiichiro Kawai, Riu Naito, Toshihiro Yamada
2024	J	`jnl`	Sampling and Change of Measure for Monte Carlo Integration on Simplices. J. Sci. Comput. Chenxiao Song, Reiichiro Kawai
2023	J	`jnl`	Batching Adaptive Variance Reduction. ACM Trans. Model. Comput. Simul. Chenxiao Song, Reiichiro Kawai
2023	J	`jnl`	Dynamic Finite-Budget Allocation of Stratified Sampling with Adaptive Variance Reduction by Strata. SIAM J. Sci. Comput. Chenxiao Song, Reiichiro Kawai
2022	J	`jnl`	Iterative weak approximation and hard bounds for switching diffusion. CoRR Qinjing Qiu, Reiichiro Kawai
2022	J	`jnl`	Moment and polynomial bounds for ruin-related quantities in risk theory. Eur. J. Oper. Res. Yue He, Reiichiro Kawai
2021	J	`jnl`	A general approach to sample path generation of infinitely divisible processes via shot noise representation. CoRR Reiichiro Kawai
2021	J	`jnl`	Numerical Methods for Backward Stochastic Differential Equations: A Survey. CoRR Jared Chessari, Reiichiro Kawai
2021	J	`jnl`	Numerical aspects of shot noise representation of infinitely divisible laws and related processes. CoRR Sida Yuan, Reiichiro Kawai
2021	J	`jnl`	Weak approximation for stochastic differential equations with jumps by iteration and hard bounds. CoRR Qinjing Qiu, Reiichiro Kawai
2020	J	`jnl`	Computable Primal and Dual Bounds for Stochastic Control. SIAM J. Control. Optim. Chunxi Jiao, Reiichiro Kawai
2018	J	`jnl`	Optimizing Adaptive Importance Sampling by Stochastic Approximation. SIAM J. Sci. Comput. Reiichiro Kawai
2017	J	`jnl`	Acceleration on Adaptive Importance Sampling with Sample Average Approximation. SIAM J. Sci. Comput. Reiichiro Kawai
2017	J	`jnl`	Adaptive importance sampling Monte Carlo simulation for general multivariate probability laws. J. Comput. Appl. Math. Reiichiro Kawai
2017	J	`jnl`	Solving Multidimensional Fractional Fokker-Planck Equations via Unbiased Density Formulas for Anomalous Diffusion Processes. SIAM J. Sci. Comput. Sean Carnaffan, Reiichiro Kawai
2015	J	`jnl`	Explicit hard bounding functions for boundary value problems for elliptic partial differential equations. Comput. Math. Appl. Reiichiro Kawai
2015	J	`jnl`	Measuring Impact of Random Jumps Without Sample Path Generation. SIAM J. Sci. Comput. Reiichiro Kawai
2013	J	`jnl`	Numerical inverse Lévy measure method for infinite shot noise series representation. J. Comput. Appl. Math. Junichi Imai, Reiichiro Kawai
2013	J	`jnl`	On Weak Approximation of Stochastic Differential Equations through Hard Bounds by Mathematical Programming. SIAM J. Sci. Comput. Kenji Kashima, Reiichiro Kawai
2012	J	`jnl`	Infinite Variation Tempered Stable Ornstein-Uhlenbeck Processes with Discrete Observations. Commun. Stat. Simul. Comput. Reiichiro Kawai, Hiroki Masuda
2012	J	`jnl`	Likelihood ratio gradient estimation for Meixner distribution and Lévy processes. Comput. Stat. Reiichiro Kawai
2011	J	`jnl`	Exact discrete sampling of finite variation tempered stable Ornstein-Uhlenbeck processes. Monte Carlo Methods Appl. Reiichiro Kawai, Hiroki Masuda
2011	J	`jnl`	On simulation of tempered stable random variates. J. Comput. Appl. Math. Reiichiro Kawai, Hiroki Masuda
2010	J	`jnl`	Asymptotically optimal allocation of stratified sampling with adaptive variance reduction by strata. ACM Trans. Model. Comput. Simul. Reiichiro Kawai
2010	J	`jnl`	Quasi-Monte Carlo Method for Infinitely Divisible Random Vectors via Series Representations. SIAM J. Sci. Comput. Junichi Imai, Reiichiro Kawai
2009	—	`conf`	An optimization approach to weak approximation of Lévy-driven stochastic differential equations with application to option pricing. CDC Kenji Kashima, Reiichiro Kawai
2008	J	`jnl`	Optimal Importance Sampling Parameter Search for Lévy Processes via Stochastic Approximation. SIAM J. Numer. Anal. Reiichiro Kawai
2007	J	`jnl`	Adaptive Monte Carlo Variance Reduction with Two-time-scale Stochastic Approximation. Monte Carlo Methods Appl. Reiichiro Kawai
2006	J	`jnl`	An importance sampling method based on the density transformation of Lévy processes. Monte Carlo Methods Appl. Reiichiro Kawai