All Stories

  1. Batching adaptive variance reduction

    Article • ACM Transactions on Modeling and Computer Simulation, December 2022, ACM (Association for Computing Machinery)

    Reiichiro Kawai

  2. A decoupling principle for Markov-modulated chains

    Article • Statistics & Probability Letters, March 2022, Elsevier

    Reiichiro Kawai

  3. Super- and subdiffusive positions in fractional Klein–Kramers equations

    Article • Physica A Statistical Mechanics and its Applications, February 2022, Elsevier

    Reiichiro Kawai

  4. Time-squeezing and time-expanding transformations in harmonic force fields

    Article • Chaos An Interdisciplinary Journal of Nonlinear Science, September 2021, American Institute of Physics

    Reiichiro Kawai

  5. A general approach to sample path generation of infinitely divisible processes via shot noise representation

    Article • Statistics & Probability Letters, July 2021, Elsevier

    Reiichiro Kawai

  6. Numerical aspects of shot noise representation of infinitely divisible laws and related processes

    Article • Probability Surveys, January 2021, Institute of Mathematical Statistics

    Reiichiro Kawai

  7. Adaptive importance sampling and control variates

    Article • Journal of Mathematical Analysis and Applications, March 2020, Elsevier

    Reiichiro Kawai

  8. Asymptotic degeneracy and subdiffusivity

    Article • Journal of Physics A Mathematical and Theoretical, January 2020, Institute of Physics Publishing

    Reiichiro Kawai

  9. Computable Primal and Dual Bounds for Stochastic Control

    Article • SIAM Journal on Control and Optimization, January 2020, Society for Industrial & Applied Mathematics (SIAM)

    Reiichiro Kawai

  10. Analytic model for transient anomalous diffusion with highly persistent correlations

    Article • June 2019, American Physical Society (APS)

    Reiichiro Kawai

  11. Optimal statistical inference for subdiffusion processes

    Article • Journal of Physics A Mathematical and Theoretical, February 2019, Institute of Physics Publishing

    Reiichiro Kawai

  12. SMOOTH UPPER BOUNDS FOR THE PRICE FUNCTION OF AMERICAN STYLE OPTIONS

    Article • International Journal of Theoretical and Applied Finance, February 2018, World Scientific Pub Co Pte Lt

    Reiichiro Kawai

  13. Optimizing Adaptive Importance Sampling by Stochastic Approximation

    Article • SIAM Journal on Scientific Computing, January 2018, Society for Industrial & Applied Mathematics (SIAM)

    Reiichiro Kawai

  14. Polynomial upper and lower bounds for financial derivative price functions under regime-switching

    Article • The Journal of Computational Finance, January 2018, Incisive Media

    Reiichiro Kawai

  15. Adaptive importance sampling Monte Carlo simulation for general multivariate probability laws

    Article • Journal of Computational and Applied Mathematics, August 2017, Elsevier

    Reiichiro Kawai

  16. Cusping, transport and variance of solutions to generalized Fokker–Planck equations

    Article • Journal of Physics A Mathematical and Theoretical, May 2017, Institute of Physics Publishing

    Reiichiro Kawai

  17. Solving Multidimensional Fractional Fokker--Planck Equations via Unbiased Density Formulas for Anomalous Diffusion Processes

    Article • SIAM Journal on Scientific Computing, January 2017, Society for Industrial & Applied Mathematics (SIAM)

    Reiichiro Kawai

  18. Acceleration on Adaptive Importance Sampling with Sample Average Approximation

    Article • SIAM Journal on Scientific Computing, January 2017, Society for Industrial & Applied Mathematics (SIAM)

    Reiichiro Kawai

  19. Higher Order Fractional Stable Motion: Hyperdiffusion with Heavy Tails

    Article • Journal of Statistical Physics, August 2016, Springer Science + Business Media

    Reiichiro Kawai

  20. Anomalous spreading and misidentification of spatial random walk models

    Article • Applied Mathematical Modelling, May 2016, Elsevier

    Reiichiro Kawai

  21. Explicit hard bounding functions for boundary value problems for elliptic partial differential equations

    Article • Computers & Mathematics with Applications, December 2015, Elsevier

    Reiichiro Kawai

  22. Sample Path Generation of Lévy-Driven Continuous-Time Autoregressive Moving Average Processes

    Article • Methodology And Computing In Applied Probability, November 2015, Springer Science + Business Media

    Reiichiro Kawai

  23. Solution Bounds for Elliptic Partial Differential Equations via Feynman-Kac Representation

    Article • Stochastic Analysis and Applications, August 2015, Taylor & Francis

    Reiichiro Kawai

  24. Measuring Impact of Random Jumps Without Sample Path Generation

    Article • SIAM Journal on Scientific Computing, January 2015, Society for Industrial & Applied Mathematics (SIAM)

    Reiichiro Kawai

  25. On the likelihood function of small time variance Gamma Lévy processes

    Article • Statistics, May 2014, Taylor & Francis

    Reiichiro Kawai

  26. Numerical inverse Lévy measure method for infinite shot noise series representation

    Article • Journal of Computational and Applied Mathematics, December 2013, Elsevier

    Reiichiro Kawai

  27. Computation of Greeks for asset price dynamics driven by stable and tempered stable processes

    Article • Quantitative Finance, August 2013, Taylor & Francis

    Reiichiro Kawai

  28. Fisher Information for Fractional Brownian Motion Under High-Frequency Discrete Sampling

    Article • Communication in Statistics- Theory and Methods, May 2013, Taylor & Francis

    Reiichiro Kawai

  29. On Weak Approximation of Stochastic Differential Equations through Hard Bounds by Mathematical Programming

    Article • SIAM Journal on Scientific Computing, January 2013, Society for Industrial & Applied Mathematics (SIAM)

    Reiichiro Kawai

  30. Local asymptotic normality for normal inverse Gaussian Lévy processes with high-frequency sampling

    Article • ESAIM Probability and Statistics, December 2012, EDP Sciences

    Reiichiro Kawai

  31. Nonnegative compartment dynamical system modelling with stochastic differential equations

    Article • Applied Mathematical Modelling, December 2012, Elsevier

    Reiichiro Kawai

  32. Local Asymptotic Normality Property for Ornstein–Uhlenbeck Processes with Jumps Under Discrete Sampling

    Article • Journal of Theoretical Probability, October 2012, Springer Science + Business Media

    Reiichiro Kawai

  33. Continuous-time modeling of random searches: statistical properties and inference

    Article • Journal of Physics A Mathematical and Theoretical, May 2012, Institute of Physics Publishing

    Reiichiro Kawai

  34. Sampling rate of spatial stochastic processes with independent components in modeling random search paths

    Article • Physical Review E, February 2012, American Physical Society (APS)

    Reiichiro Kawai

  35. Multi-scale properties of random walk models of animal movement: lessons from statistical inference

    Article • Proceedings of the Royal Society A Mathematical Physical and Engineering Sciences, February 2012, Royal Society Publishing

    Reiichiro Kawai

  36. Infinite Variation Tempered Stable Ornstein–Uhlenbeck Processes with Discrete Observations

    Article • Communications in Statistics - Simulation and Computation, January 2012, Taylor & Francis

    Reiichiro Kawai

  37. On Monte Carlo and Quasi-Monte Carlo Methods for Series Representation of Infinitely Divisible Laws

    Article • January 2012, Springer Science + Business Media

    Reiichiro Kawai

  38. Likelihood ratio gradient estimation for Meixner distribution and Lévy processes

    Article • Computational Statistics, November 2011, Springer Science + Business Media

    Reiichiro Kawai

  39. On finite truncation of infinite shot noise series representation of tempered stable laws

    Article • Physica A Statistical Mechanics and its Applications, November 2011, Elsevier

    Reiichiro Kawai

  40. An optimization approach to weak approximation of stochastic differential equations with jumps

    Article • Applied Numerical Mathematics, May 2011, Elsevier

    Reiichiro Kawai

  41. On the local asymptotic behavior of the likelihood function for Meixner Lévy processes under high-frequency sampling

    Article • Statistics & Probability Letters, April 2011, Elsevier

    Reiichiro Kawai

  42. On simulation of tempered stable random variates

    Article • Journal of Computational and Applied Mathematics, February 2011, Elsevier

    Reiichiro Kawai

  43. A Weak Approximation of Stochastic Differential Equations with Jumps Through Tempered Polynomial Optimization

    Article • Stochastic Models, January 2011, Taylor & Francis

    Reiichiro Kawai

  44. Exact discrete sampling of finite variation tempered stable Ornstein–Uhlenbeck processes

    Article • Monte Carlo Methods and Applications, January 2011, De Gruyter

    Reiichiro Kawai

  45. GREEKS FORMULAS FOR AN ASSET PRICE MODEL WITH GAMMA PROCESSES

    Article • Mathematical Finance, October 2010, Wiley

    Reiichiro Kawai

  46. Computation of Greeks and Multidimensional Density Estimation for Asset Price Models with Time-Changed Brownian Motion

    Article • Applied Mathematical Finance, July 2010, Taylor & Francis

    Reiichiro Kawai

  47. Asymptotically optimal allocation of stratified sampling with adaptive variance reduction by strata

    Article • ACM Transactions on Modeling and Computer Simulation, April 2010, ACM (Association for Computing Machinery)

    Reiichiro Kawai

  48. Quasi-Monte Carlo Method for Infinitely Divisible Random Vectors via Series Representations

    Article • SIAM Journal on Scientific Computing, January 2010, Society for Industrial & Applied Mathematics (SIAM)

    Reiichiro Kawai

  49. An Optimization Approach to Weak Approximation of Lévy-Driven Stochastic Differential Equations

    Article • January 2010, Springer Science + Business Media

    Reiichiro Kawai

  50. Sensitivity analysis for averaged asset price dynamics with gamma processes

    Article • Statistics & Probability Letters, January 2010, Elsevier

    Reiichiro Kawai

  51. An optimization approach to weak approximation of Lévy-driven stochastic differential equations with application to option pricing

    Article • December 2009, Institute of Electrical & Electronics Engineers (IEEE)

    Reiichiro Kawai

  52. A multivariate Lévy process model with linear correlation

    Article • Quantitative Finance, August 2009, Taylor & Francis

    Reiichiro Kawai

  53. SENSITIVITY ANALYSIS AND DENSITY ESTIMATION FOR THE HOBSON-ROGERS STOCHASTIC VOLATILITY MODEL

    Article • International Journal of Theoretical and Applied Finance, May 2009, World Scientific Pub Co Pte Lt

    Reiichiro Kawai

  54. Optimal Importance Sampling Parameter Search for Lévy Processes via Stochastic Approximation

    Article • SIAM Journal on Numerical Analysis, January 2009, Society for Industrial & Applied Mathematics (SIAM)

    Reiichiro Kawai

  55. Adaptive Monte Carlo Variance Reduction for Lévy Processes with Two-Time-Scale Stochastic Approximation

    Article • Methodology And Computing In Applied Probability, August 2007, Springer Science + Business Media

    Reiichiro Kawai

  56. On layered stable processes

    Article • Bernoulli, February 2007, Bernoulli Society for Mathematical Statistics and Probability

    Reiichiro Kawai

  57. Adaptive Monte Carlo Variance Reduction with Two-time-scale Stochastic Approximation

    Article • Monte Carlo Methods and Applications, January 2007, De Gruyter

    Reiichiro Kawai

  58. On fractional tempered stable motion

    Article • Stochastic Processes and their Applications, August 2006, Elsevier

    Reiichiro Kawai

  59. An importance sampling method based on the density transformation of Lévy processes

    Article • Monte Carlo Methods and Applications, April 2006, De Gruyter

    Reiichiro Kawai

  60. An importance sampling method based on the density transformation of Lévy processes

    Article • Monte Carlo Methods and Applications, January 2006, De Gruyter

    Reiichiro Kawai