42 citations · 147 across the 12 of their papers we have counts for
12 papers
Stopping Rules for Monte Carlo Methods of Martingale Difference Type
Jiezhong Wu, Reiichiro Kawai
We establish a practical and easy-to-implement sequential stopping rule for the martingale central limit theorem, focusing on Monte Carlo methods for estimating the mean of a non-i…
Stopping Rules for Monte Carlo Methods: A Review
Jiezhong Wu, Reiichiro Kawai
Sequential analysis encompasses simulation theories and methods where the sample size is determined dynamically based on accumulating data. Since the conceptual inception, numerous…
A forward scheme with machine learning for forward-backward SDEs with jumps by decoupling jumps
Reiichiro Kawai, Riu Naito, Toshihiro Yamada
Forward-backward stochastic differential equations (FBSDEs) have been generalized by introducing jumps for better capturing random phenomena, while the resulting FBSDEs are far mor…
The Gerber-Shiu discounted penalty function: A review from practical perspectives
Yue He, Reiichiro Kawai, Yasutaka Shimizu +1
The Gerber-Shiu function provides a unified framework for the evaluation of a variety of risk quantities. Ever since its establishment, it has attracted constantly increasing inter…
Convergence Error Analysis of Reflected Gradient Langevin Dynamics for Globally Optimizing Non-Convex Constrained Problems
Kanji Sato, Akiko Takeda, Reiichiro Kawai +1
Gradient Langevin dynamics and a variety of its variants have attracted increasing attention owing to their convergence towards the global optimal solution, initially in the uncons…
Iterative weak approximation and hard bounds for switching diffusion
Qinjing Qiu, Reiichiro Kawai
We establish a novel convergent iteration framework for a weak approximation of general switching diffusion. The key theoretical basis of the proposed approach is a restriction of…
A recursive representation for decoupling time-state dependent jumps from jump-diffusion processes
Qinjing Qiu, Reiichiro Kawai
We establish a recursive representation that fully decouples jumps from a large class of multivariate inhomogeneous stochastic differential equations with jumps of general time-sta…
A general approach to sample path generation of infinitely divisible processes via shot noise representation
Reiichiro Kawai
We establish a sample path generation scheme in a unified manner for general multivariate infinitely divisible processes based on shot noise representation of their integrators. Th…
Numerical aspects of shot noise representation of infinitely divisible laws and related processes
Sida Yuan, Reiichiro Kawai
The ever-growing appearance of infinitely divisible laws and related processes in various areas, such as physics, mathematical biology, finance and economics, has fuelled an increa…
Numerical methods for backward stochastic differential equations: A survey
Jared Chessari, Reiichiro Kawai, Yuji Shinozaki +1
Backward Stochastic Differential Equations (BSDEs) have been widely employed in various areas of social and natural sciences, such as the pricing and hedging of financial derivativ…
On Layered Stable Processes
C. Houdré, R. Kawai
Layered stable (multivariate) distributions and processes are defined and studied. A layered stable process combines stable trends of two different indices, one of them possibly Ga…
On Fractional Tempered Stable Motion
C. Houdré, R. Kawai
Fractional tempered stable motion (fTSm)} is defined and studied. FTSm has the same covariance structure as fractional Brownian motion, while having tails heavier than Gaussian but…