Publication Search Results
Exact matches for:
- Author = Kawai R [web profile page]
1.
Song C, Kawai R
Chenxiao Song & Reiichiro Kawai:
Sampling and Change of Measure for Monte Carlo Integration on Simplices,
Journal of Scientific Computing,
98
(2024),
no. 3,
Article 64 (29 pages).
2.
Qiu Q, Kawai R
Qinjing Qiu and Reiichiro Kawai:
Iterative Weak Approximation and Hard Bounds for Switching Diffusion,
Journal of Theoretical Probability,
36
(2023),
1003–1036.
3.
Song C, Kawai R
Chenxiao Song, Reiichiro Kawai:
Adaptive radial importance sampling under directional stratification,
Probabilistic Engineering Mechanics,
72
(2023),
Article 193443 (14 pages).
4.
Song C, Kawai R
Chenxiao Song, Reiichiro Kawai:
Batching Adaptive Variance Reduction,
ACM Transactions on Modeling and Computer Simulation,
33 Open Access
(2023),
no. 1-2,
Article 3 (24 pages).
5.
He Y, Kawai R, Shimizu Y, Yamazaki K
Yue He, Reiichiro Kawai,Yasutaka Shimizu, Kazutoshi Yamazaki:
The Gerber-Shiu discounted penalty function: A review from practical perspectives,
Insurance: Mathematics and Economics,
109
(2023),
no. March 2023,
1–28.
6.
He Y, Kawai R
Yue He and Reiichiro Kawai:
Dimension dependent properties of subdiffusions in damping force fields from an inference perspective,
Physica Scripta,
98
(2023),
Article 015006.
7.
Song C, Kawai R
Chenxiao Song and Reiichiro Kawai:
Adaptive stratified sampling for structural reliability analysis,
Structural Safety,
101
(2023),
Article 102292 (12 pages).
8.
He Y, Kawai R
Yue He, Reiichiro Kawai:
Moment and polynomial bounds for ruin-related quantities in risk theory,
European Journal of Operational Research,
302
(2022),
no. 3,
1255–1271.
9.
Yuan S, Kawai R
Sida Yuan, Reiichiro Kawai:
Numerical aspects of shot noise representation of infinitely divisible laws and related processes,
Probability Surveys,
18
(2021),
201–271.
10.
He Y, Kawai R
Yue He and Reiichiro Kawai:
Time-squeezing and time-expanding transformations in harmonic force fields,
Chaos,
31
(2021),
no. Open Access,
093107 (12 pages).
11.
Jiao C, Kawai R
Chunxi Jiao, Reiichiro Kawai:
Computable Primal and dual bounds for stochastic control,
SIAM Journal on Control and Optimization,
58
(2020),
no. 6,
3709–3733.
12.
Yuan S, Kawai R
Sida Yuan and Reiichiro Kawai:
Asymptotic degeneracy and subdiffusivity,
Journal of Physics A: Mathematical and Theoretical,
53
(2020),
no. 9,
Art. 095002 (17 pages).
13.
Kawai R
Reiichiro Kawai:
Adaptive importance sampling and control variates,
Journal of Mathematical Analysis and Applications,
483
(2020),
no. 1,
Art 123608 (31 pages).
14.
Carnaffan S, Kawai R
Sean Carnaffan and Reiichiro Kawai:
Analytic model for transient anomalous diffusion with highly persistent correlations,
Physical Review E,
99
(2019),
no. 6,
062120.
15.
Carnaffan S, Kawai R
Sean Carnaffan and Reiichiro Kawai:
Optimal statistical inference for subdiffusion processes,
Journal of Physics A: Mathematical and Theoretical,
52
(2019),
no. 13,
135001.
16.
Bhim L, Kawai R
Louis Bhim and Reiichiro Kawai:
Polynomial upper and lower bounds for financial derivative price functions under regime-switching,
Journal of Computational Finance,
22
(2018),
no. 2,
35–71.
17.
Kawai R
Reiichiro Kawai:
Optimizing adaptive importance sampling by stochastic approximation,
SIAM Journal on Scientific Computing,
40
(2018),
no. 4,
A2774–A2800.
18.
Bhim L, Kawai R
Louis Bhim and Reiichiro Kawai:
Smooth upper bounds for the price function of American style options,
International Journal of Theoretical and Applied Finance,
21
(2018),
no. 1,
1850009.
MR3786715
19.
Carnaffan S, Kawai R
Sean Carnaffan and Reiichiro Kawai:
Solving multidimensional fractional Fokker-Planck equations via unbiased density formulas for anomalous diffusion processes,
SIAM Journal on Scientific Computing,
39
(2017),
no. 5,
B886–B915.
MR3705800
20.
Kawai R
Reiichiro Kawai:
Acceleration on adaptive importance sampling with sample average approximation,
SIAM: SIAM Journal on Scientific Computing (SISC),
39
(2017),
no. 4,
A1586–A1615.
21.
Carnaffan S, Kawai R
Sean Carnaffan and Reiichiro Kawai:
Cusping, transport and variance of solutions to generalized Fokker-Planck equations,
Journal of Physics A: Mathematical and Theoretical,
50
(2017),
no. 24,
20 pages (Art. 245001).
22.
Kawai R
Ray Kawai:
Sample Path Generation of Lévy-Driven Continuous-Time Autoregressive Moving Average Processes,
Methodology and Computing in Applied Probability,
19
(2017),
no. 1,
175–211.
23.
Kawai R
Ray Kawai:
Adaptive importance sampling Monte Carlo simulation for general multivariate probability laws,
Journal of Computational and Applied Mathematics,
319
(2017),
no. 1 August 2017,
440–459.
24.
Kawai R
Reiichiro Kawai:
Higher Order Fractional Stable Motion: Hyperdiffusion with Heavy Tails,
Journal of Statistical Physics,
165
(2016),
no. 1,
126–152.
MR3547838
25.
Kawai R
Ray Kawai:
Anomalous spreading and misidentification of spatial random walk models,
Applied Mathematical Modelling,
40
(2016),
no. 9-10,
5283–5291.
MR3485085
26.
Kawai R
Ray Kawai:
Explicit hard bounding functions for boundary value problems for elliptic partial differential equations,
Computers and Mathematics with Applications,
70
(2015),
2822–2837.
27.
Kawai R
Ray Kawai:
Measuring impact of random jumps without sample path generation,
SIAM Journal on Scientific Computing,
37
(2015),
no. 6,
A2558–A2582.
28.
Kawai R
Reiichiro Kawai:
Solution Bounds for Elliptic Partial Differential Equations via Feynman-Kac Representation,
Stochastic Analysis and Applications,
33
(2015),
no. 5,
844–862.
29.
Kawai R
Reiichiro Kawai:
On the likelihood function of small time variance Gamma Lévy processes,
Statistics: A Journal of Theoretical and Applied Statistics,
49
(2015),
no. 1,
63–83.
30.
Kawai R
Reiichiro Kawai:
On the likelihood function of small time variance Gamma Lévy processes,
Statistics: A Journal of Theoretical and Applied Statistics,
(2014),
1–21.
31.
Kawai R
Reiichiro Kawai:
Mathematical programming gives hard bounds of the Dirichlet Problem for partial differential equations,
22nd National Conference of the Australian Society for Operations Research,
22nd National Conference of the Australian Society for Operations Research,
Gaertner, P., Bowden, F., Piantadosi, J., Mobbs, K. (eds.),
ASOR2013,
The Australian Society for Operations Research,
Adelaide,
(2013),
107–113.
ISBN 978-0-9872143-3-1.
32.
Kawai R
Reiichiro Kawai:
Local asymptotic normality property for Ornstein-Uhlenbeck processes with jumps under discrete sampling,
Journal of Theoretical Probability,
26
(2013),
no. 4,
932–967.
33.
Kawai R, Takeuchi A
Reiichiro Kawai and Atsushi Takeuchi:
Computation of Greeks for asset price dynamics driven by stable and tempered stable processes,
Quantitative Finance,
13
(2013),
no. 8,
1303–1316.
34.
Imai J, Kawai R
Junichi Imai, Reiichiro Kawai:
Numerical inverse Lévy measure method for infinite shot noise series representation,
Journal of Computational and Applied Mathematics,
253
(2013),
264–283.
35.
Kawai R
Reiichiro Kawai:
Fisher Information for Fractional Brownian Motion Under High-Frequency Discrete Sampling,
Communications in Statistics - Theory and Methods,
42
(2013),
no. 9,
1628–1636.
36.
Kawai R
Reiichiro Kawai:
On singularity of Fisher information matrix for stochastic processes under high frequency sampling,
Numerical Mathematics and Advanced Applications 2011,
Springer,
Berlin Heidelberg,
(2013),
841–849.
ISBN 978-3-642-33134-3.
37.
Kashima K, Kawai R
Kenji Kashima and Reiichiro Kawai:
On Weak Approximation of Stochastic Differential Equations through Hard Bounds by Mathematical Programming,
SIAM Journal on Scientific Computing,
35
(2013),
no. 1,
A1–A21.
38.
Kawai R, Masuda H
Reiichiro Kawai, Hiroki Masuda:
Local asymptotic normality for normal inverse Gaussian Lévy processes with high-frequency sampling,
ESAIM: Probability and Statistics,
17
(2013),
13–32.
39.
Kawai R
Reiichiro Kawai:
Likelihood ratio gradient estimation for Meixner distribution and Lévy processes,
Computational Statistics,
27
(2012),
no. 4,
739–755.
40.
Kawai R
Reiichiro Kawai:
Continuous-time modeling of random searches: statistical properties and inference,
Journal of Physics A: Mathematical and Theoretical,
45
(2012),
no. 23,
235004.
MR2929514
41.
Kawai R
Reiichiro Kawai:
Nonnegative compartment dynamics system modelling with stochastic differential equations,
Applied Mathematical Modelling,
36
(2012),
no. 12,
6291–6300.
MR2968465
42.
Kawai R
Reiichiro Kawai:
Sampling rate of spatial stochastic processes with independent components in modeling random search paths,
Physical Review E,
85
(2012),
no. 2,
021907.
43.
Kawai R, Petrovskii S
Reiichiro Kawai and Sergei Petrovskii:
Multiscale properties of random walk models of animal movement: lessons from statistical inference,
Proceedings of the Royal Society A: Mathematical, Physical & Engineering Sciences,
468
(2012),
no. 2141,
1428–1451.
MR2910357
44.
Kawai R, Imai J
Reiichiro Kawai and Junichi Imai:
On Monte Carlo and Quasi-Monte Carlo methods for series representation of infinitely divisible laws,
Monte Carlo and Quasi-Monte Carlo Methods 2010,
Springer-Verlag,
Berlin,
(2012),
471–486.
ISBN 978-3-642-27439-8.
45.
Kawai R, Masuda H
Reiichiro Kawai and Hiroki Masuda:
Infinite variation tempered stable Ornstein-Uhlenbeck processes with discrete observations,
Communications in Statistics - Simulation and Computation,
41
(2012),
no. 1,
125–139.
MR2844707
46.
Kashima K, Kawai R
Kenji Kashima and Reiichiro Kawai:
Lévy processes - a generalization of white noise,
ISCIE Journal 'Systems, Control and Information',
55
(2011),
no. 12,
505–512.
47.
Kawai R, Masuda H
Reiichiro Kawai and Hiroki Masuda:
Exact discrete sampling of finite variation tempered stable Ornstein-Uhlenbeck processes,
Monte Carlo Methods and Applications,
17
(2011),
no. 3,
279–300.
48.
Imai J, Kawai R
Junichi Imai and Reiichiro Kawai:
On finite truncation of infinite shot noise series representation of tempered stable laws,
Physica A: Statistical Mechanics and its Applications,
390
(2011),
no. 23-24,
4411–4425.
49.
Kashima K, Kawai R
Kenji Kashima and Reiichiro Kawai:
An optimization approach to weak approximation of stochastic differential equations with jumps,
Applied Numerical Mathematics,
61
(2011),
no. 5,
641–650.
50.
Kawai R, Masuda H
Reiichiro Kawai and Hiroki Masuda:
On the local asymptotic behavior of the likelihood function for Meixner Lévy processes under high-frequency sampling,
Statistics and Probability Letters,
81
(2011),
no. 4,
460–469.
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