Reiichiro Kawai
The University of Tokyo
Professor, Mathematics
Japan
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My Publications
Adaptive importance sampling and control variates
Journal of Mathematical Analysis and Applications
March 2020
Asymptotic degeneracy and subdiffusivity
Journal of Physics A Mathematical and Theoretical
January 2020
Analytic model for transient anomalous diffusion with highly persistent correlations
June 2019
Optimal statistical inference for subdiffusion processes
Journal of Physics A Mathematical and Theoretical
February 2019
SMOOTH UPPER BOUNDS FOR THE PRICE FUNCTION OF AMERICAN STYLE OPTIONS
International Journal of Theoretical and Applied Finance
February 2018
Optimizing Adaptive Importance Sampling by Stochastic Approximation
SIAM Journal on Scientific Computing
January 2018
Polynomial upper and lower bounds for financial derivative price functions under regime...
The Journal of Computational Finance
January 2018
Adaptive importance sampling Monte Carlo simulation for general multivariate probabilit...
Journal of Computational and Applied Mathematics
August 2017
Cusping, transport and variance of solutions to generalized Fokker–Planck equations
Journal of Physics A Mathematical and Theoretical
May 2017
Solving Multidimensional Fractional Fokker--Planck Equations via Unbiased Density Formu...
SIAM Journal on Scientific Computing
January 2017
Acceleration on Adaptive Importance Sampling with Sample Average Approximation
SIAM Journal on Scientific Computing
January 2017
Higher Order Fractional Stable Motion: Hyperdiffusion with Heavy Tails
Journal of Statistical Physics
August 2016
Anomalous spreading and misidentification of spatial random walk models
Applied Mathematical Modelling
May 2016
Explicit hard bounding functions for boundary value problems for elliptic partial diffe...
Computers & Mathematics with Applications
December 2015
Sample Path Generation of Lévy-Driven Continuous-Time Autoregressive Moving Average Pro...
Methodology And Computing In Applied Probability
November 2015
Solution Bounds for Elliptic Partial Differential Equations via Feynman-Kac Representation
Stochastic Analysis and Applications
August 2015
Measuring Impact of Random Jumps Without Sample Path Generation
SIAM Journal on Scientific Computing
January 2015
On the likelihood function of small time variance Gamma Lévy processes
Statistics
May 2014
Numerical inverse Lévy measure method for infinite shot noise series representation
Journal of Computational and Applied Mathematics
December 2013
Computation of Greeks for asset price dynamics driven by stable and tempered stable pro...
Quantitative Finance
August 2013
Fisher Information for Fractional Brownian Motion Under High-Frequency Discrete Sampling
Communication in Statistics- Theory and Methods
May 2013
On Weak Approximation of Stochastic Differential Equations through Hard Bounds by Mathe...
SIAM Journal on Scientific Computing
January 2013
Local asymptotic normality for normal inverse Gaussian Lévy processes with high-frequen...
ESAIM Probability and Statistics
December 2012
Nonnegative compartment dynamical system modelling with stochastic differential equations
Applied Mathematical Modelling
December 2012
Local Asymptotic Normality Property for Ornstein–Uhlenbeck Processes with Jumps Under D...
Journal of Theoretical Probability
October 2012
Continuous-time modeling of random searches: statistical properties and inference
Journal of Physics A Mathematical and Theoretical
May 2012
Sampling rate of spatial stochastic processes with independent components in modeling r...
Physical Review E
February 2012
Multi-scale properties of random walk models of animal movement: lessons from statistic...
Proceedings of the Royal Society A Mathematical Physical and Engineering Sciences
February 2012
Infinite Variation Tempered Stable Ornstein–Uhlenbeck Processes with Discrete Observations
Communications in Statistics - Simulation and Computation
January 2012
On Monte Carlo and Quasi-Monte Carlo Methods for Series Representation of Infinitely Di...
January 2012
Likelihood ratio gradient estimation for Meixner distribution and Lévy processes
Computational Statistics
November 2011
On finite truncation of infinite shot noise series representation of tempered stable laws
Physica A Statistical Mechanics and its Applications
November 2011
An optimization approach to weak approximation of stochastic differential equations wit...
Applied Numerical Mathematics
May 2011
On the local asymptotic behavior of the likelihood function for Meixner Lévy processes ...
Statistics & Probability Letters
April 2011
On simulation of tempered stable random variates
Journal of Computational and Applied Mathematics
February 2011
A Weak Approximation of Stochastic Differential Equations with Jumps Through Tempered P...
Stochastic Models
January 2011
Exact discrete sampling of finite variation tempered stable Ornstein–Uhlenbeck processes
Monte Carlo Methods and Applications
January 2011
GREEKS FORMULAS FOR AN ASSET PRICE MODEL WITH GAMMA PROCESSES
Mathematical Finance
October 2010
Computation of Greeks and Multidimensional Density Estimation for Asset Price Models wi...
Applied Mathematical Finance
July 2010
Asymptotically optimal allocation of stratified sampling with adaptive variance reducti...
ACM Transactions on Modeling and Computer Simulation
April 2010
Quasi-Monte Carlo Method for Infinitely Divisible Random Vectors via Series Representat...
SIAM Journal on Scientific Computing
January 2010
An Optimization Approach to Weak Approximation of Lévy-Driven Stochastic Differential E...
January 2010
Sensitivity analysis for averaged asset price dynamics with gamma processes
Statistics & Probability Letters
January 2010
An optimization approach to weak approximation of Lévy-driven stochastic differe...
December 2009
A multivariate Lévy process model with linear correlation
Quantitative Finance
August 2009
SENSITIVITY ANALYSIS AND DENSITY ESTIMATION FOR THE HOBSON-ROGERS STOCHASTIC VOLATILITY...
International Journal of Theoretical and Applied Finance
May 2009
Optimal Importance Sampling Parameter Search for Lévy Processes via Stochastic Approxim...
SIAM Journal on Numerical Analysis
January 2009
Adaptive Monte Carlo Variance Reduction for Lévy Processes with Two-Time-Scale Stochast...
Methodology And Computing In Applied Probability
August 2007
On layered stable processes
Bernoulli
February 2007
Adaptive Monte Carlo Variance Reduction with Two-time-scale Stochastic Approximation
Monte Carlo Methods and Applications
January 2007
On fractional tempered stable motion
Stochastic Processes and their Applications
August 2006
An importance sampling method based on the density transformation of Lévy processes
Monte Carlo Methods and Applications
April 2006
An importance sampling method based on the density transformation of Lévy processes
Monte Carlo Methods and Applications
January 2006