5 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…
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…