Personal information

Numerical Analysis, Scientific Computing, Probability, Stochastic Processes, Statistical Physics

Activities

Employment (5)

The University of Tokyo: Komaba, Meguro, Tokyo, JP

2020-04-01 to present | Professor (Graduate School of Arts and Sciences / Mathematics and Informatics Center)
Employment
Source: Self-asserted source
Reiichiro Kawai

University of Sydney: Sydney, NSW, AU

2012-07-05 to 2020-01-31 | Senior Lecturer in Statistics (School of Mathematics and Statistics)
Employment
Source: Self-asserted source
Reiichiro Kawai

University of Leicester: Leicester, Leicester, GB

2009-07-01 to 2012-06-31 | Lecturer in Financial Mathematics (Department of Mathematics)
Employment
Source: Self-asserted source
Reiichiro Kawai

Osaka University: Toyonaka, Osaka, JP

2007-08-01 to 2009-06-31 | Fixed Term Assistant Professor (Center for the Study of Finance and Insurance)
Employment
Source: Self-asserted source
Reiichiro Kawai

Daiwa Securities Group: Chiyoda-ku, Tokyo, JP

2005-03-16 to 2009-06-31 (Proprietary Trading and Financial Engineering)
Employment
Source: Self-asserted source
Reiichiro Kawai

Education and qualifications (4)

Georgia Institute of Technology: Atlanta, GA, US

2004-12-31 | Ph.D. Industrial and Systems Engineering
Education
Source: Self-asserted source
Reiichiro Kawai

Georgia Institute of Technology: Atlanta, GA, US

2003-05-31 | M.S. Operations Research
Education
Source: Self-asserted source
Reiichiro Kawai

Georgia Institute of Technology: Atlanta, GA, US

2003-05-31 | M.S. Applied Mathematics
Education
Source: Self-asserted source
Reiichiro Kawai

Tokyo Institute of Technology: Tokyo, JP

1995-04-01 to 1999-03-31 | B. Eng (Department of Industrial Engineering and Management)
Education
Source: Self-asserted source
Reiichiro Kawai

Professional activities (2)

University of Queensland: Brisbane, Queensland, AU

2023-07-15 to 2023-09-25 | Visiting Academic (School of Mathematics and Physics)
Invited position
Source: Self-asserted source
Reiichiro Kawai

The University of Sydney: Sydney, NSW, AU

2020-02-01 to 2023-01-31 | Honorary Professor (School of Mathematics and Statistics)
Invited position
Source: Self-asserted source
Reiichiro Kawai

Funding (6)

Implementable optimal resource allocation and stopping theory in stochastic numerical analysis

2021-04-01 to 2026-03-31 | Grant
Japan Society for the Promotion of Science (Tokyo, JP)
GRANT_NUMBER: 21K03347
Source: Self-asserted source
Reiichiro Kawai via DimensionsWizard

Theory and implementation of probabilistic numerical methods

2020-09-11 to 2022-03-31 | Grant
Japan Society for the Promotion of Science (Tokyo, JP)
GRANT_NUMBER: 20K22301
Source: Self-asserted source
Reiichiro Kawai via DimensionsWizard

Financial Modelling Post-2008: Where Next?

2012-11-28 to 2014-02-28 | Grant
Economic and Social Research Council (Swindon, GB)
GRANT_NUMBER: ES/J022640/1
GRANT_NUMBER: ES/J022640/1
Source: Self-asserted source
Reiichiro Kawai via DimensionsWizard
grade
Preferred source (of 3)‎

Stochastic control of Levy driven processes with application to mathematical finance

Source: Self-asserted source
Reiichiro Kawai via DimensionsWizard

Numerical Analysis of Jump-Models and Applications of Malliavin Calculus in Finance

2009-01-01 to 2011-12-31 | Grant
Japan Society for the Promotion of Science (Tokyo, JP)
GRANT_NUMBER: 21340024
Source: Self-asserted source
Reiichiro Kawai via DimensionsWizard

モンテカルロ法に関連する諸問題と金融工学への応用

2008-01-01 to 2009-12-31 | Grant
Japan Society for the Promotion of Science (Tokyo, JP)
GRANT_NUMBER: 20740059
Source: Self-asserted source
Reiichiro Kawai via DimensionsWizard

Works (50 of 74)

Items per page:
Page 1 of 2

Convergence error analysis of reflected gradient Langevin dynamics for non-convex constrained optimization

Japan Journal of Industrial and Applied Mathematics
2025-01 | Journal article
Contributors: Kanji Sato; Akiko Takeda; Reiichiro Kawai; Taiji Suzuki
Source: check_circle
Crossref

Unbiased density computation for stochastic resetting *

Journal of Physics A: Mathematical and Theoretical
2024-07-19 | Journal article
Contributors: Reiichiro Kawai
Source: check_circle
Crossref

Sampling and Change of Measure for Monte Carlo Integration on Simplices

Journal of Scientific Computing
2024-03 | Journal article
Contributors: Chenxiao Song; Reiichiro Kawai
Source: check_circle
Crossref

Adaptive radial importance sampling under directional stratification

Probabilistic Engineering Mechanics
2023 | Journal article
EID:

2-s2.0-85149852804

Part of ISSN: 18784275 02668920
Contributors: Song, C.; Kawai, R.
Source: Self-asserted source
Reiichiro Kawai via Scopus - Elsevier

Adaptive stratified sampling for structural reliability analysis

Structural Safety
2023 | Journal article
EID:

2-s2.0-85143047580

Part of ISSN: 01674730
Contributors: Song, C.; Kawai, R.
Source: Self-asserted source
Reiichiro Kawai via Scopus - Elsevier

Monte Carlo and variance reduction methods for structural reliability analysis: A comprehensive review

Probabilistic Engineering Mechanics
2023 | Journal article
EID:

2-s2.0-85163496077

Part of ISSN: 18784275 02668920
Contributors: Song, C.; Kawai, R.
Source: Self-asserted source
Reiichiro Kawai via Scopus - Elsevier

A recursive representation for decoupling time-state dependent jumps from jump-diffusion processes

Stochastics
2023-09-25 | Journal article
Part of ISSN: 1744-2508
Part of ISSN: 1744-2516
Contributors: Qinjing Qiu; Reiichiro Kawai
Source: Self-asserted source
Reiichiro Kawai

Iterative Weak Approximation and Hard Bounds for Switching Diffusion

Journal of Theoretical Probability
2023-06 | Journal article
Contributors: Qinjing Qiu; Reiichiro Kawai
Source: check_circle
Crossref
grade
Preferred source (of 2)‎

Batching Adaptive Variance Reduction

ACM Transactions on Modeling and Computer Simulation
2023-04-30 | Journal article
Contributors: Chenxiao Song; Reiichiro Kawai
Source: check_circle
Crossref
grade
Preferred source (of 2)‎

Dynamic Finite-Budget Allocation of Stratified Sampling with Adaptive Variance Reduction by Strata

SIAM Journal on Scientific Computing
2023-04-30 | Journal article
Contributors: Chenxiao Song; Reiichiro Kawai
Source: check_circle
Crossref
grade
Preferred source (of 2)‎

The Gerber-Shiu discounted penalty function: A review from practical perspectives

Insurance: Mathematics and Economics
2023-03 | Journal article
Contributors: Yue He; Reiichiro Kawai; Yasutaka Shimizu; Kazutoshi Yamazaki
Source: check_circle
Crossref
grade
Preferred source (of 2)‎

Dimension dependent properties of subdiffusions in damping force fields from an inference perspective

Physica Scripta
2023-01-01 | Journal article
Contributors: Yue He; Reiichiro Kawai
Source: check_circle
Crossref
grade
Preferred source (of 2)‎

Numerical methods for backward stochastic differential equations: A survey

Probability Surveys
2023-01-01 | Journal article
Part of ISSN: 1549-5787
Contributors: Jared Chessari; Reiichiro Kawai; Yuji Shinozaki; Toshihiro Yamada
Source: Self-asserted source
Reiichiro Kawai

Moment and polynomial bounds for ruin-related quantities in risk theory

European Journal of Operational Research
2022-11 | Journal article
Contributors: Yue He; Reiichiro Kawai
Source: check_circle
Crossref
grade
Preferred source (of 2)‎

A decoupling principle for Markov-modulated chains

Statistics & Probability Letters
2022-03 | Journal article
Contributors: Qinjing Qiu; Reiichiro Kawai
Source: check_circle
Crossref
grade
Preferred source (of 2)‎

Super- and subdiffusive positions in fractional Klein–Kramers equations

Physica A: Statistical Mechanics and its Applications
2022-02 | Journal article
Contributors: Yue He; Reiichiro Kawai
Source: check_circle
Crossref
grade
Preferred source (of 2)‎

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

Chaos: An Interdisciplinary Journal of Nonlinear Science
2021-09 | Journal article
Contributors: Yue He; Reiichiro Kawai
Source: check_circle
Crossref
grade
Preferred source (of 2)‎

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

Statistics & Probability Letters
2021-07 | Journal article
Contributors: Reiichiro Kawai
Source: check_circle
Crossref
grade
Preferred source (of 2)‎

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

Probability Surveys
2021-01-01 | Journal article
Part of ISSN: 1549-5787
Source: Self-asserted source
Reiichiro Kawai
grade
Preferred source (of 2)‎

Adaptive importance sampling and control variates

Journal of Mathematical Analysis and Applications
2020-03 | Journal article
Part of ISSN: 0022-247X
Source: Self-asserted source
Reiichiro Kawai
grade
Preferred source (of 2)‎

Asymptotic degeneracy and subdiffusivity

Journal of Physics A: Mathematical and Theoretical
2020-03-06 | Journal article
Contributors: Sida Yuan; Reiichiro Kawai
Source: check_circle
Crossref
grade
Preferred source (of 2)‎

Computable Primal and Dual Bounds for Stochastic Control

SIAM Journal on Control and Optimization
2020-01 | Journal article
Contributors: Chunxi Jiao; Reiichiro Kawai
Source: check_circle
Crossref
grade
Preferred source (of 2)‎

Analytic model for transient anomalous diffusion with highly persistent correlations

Physical Review E
2019-06-20 | Journal article
Part of ISSN: 2470-0045
Part of ISSN: 2470-0053
Source: Self-asserted source
Reiichiro Kawai
grade
Preferred source (of 2)‎

Optimal statistical inference for subdiffusion processes

Journal of Physics A: Mathematical and Theoretical
2019-03-29 | Journal article
Contributors: Sean Carnaffan; Reiichiro Kawai
Source: check_circle
Crossref
grade
Preferred source (of 2)‎

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

Journal of Computational Finance
2018 | Journal article
Part of ISSN: 1460-1559
Source: Self-asserted source
Reiichiro Kawai
grade
Preferred source (of 2)‎

Smooth upper bounds for the price function of American style options

International Journal of Theoretical and Applied Finance
2018 | Journal article
EID:

2-s2.0-85042930066

Contributors: Bhim, L.; Kawai, R.
Source: Self-asserted source
Reiichiro Kawai via Scopus - Elsevier

Optimizing Adaptive Importance Sampling by Stochastic Approximation

SIAM Journal on Scientific Computing
2018-01 | Journal article
Contributors: Reiichiro Kawai
Source: check_circle
Crossref
grade
Preferred source (of 2)‎

Acceleration on adaptive importance sampling with sample average approximation

SIAM Journal on Scientific Computing
2017 | Journal article
EID:

2-s2.0-85028679631

Contributors: Kawai, R.
Source: Self-asserted source
Reiichiro Kawai via Scopus - Elsevier

Adaptive importance sampling Monte Carlo simulation for general multivariate probability laws

Journal of Computational and Applied Mathematics
2017-08 | Journal article
Contributors: Reiichiro Kawai
Source: check_circle
Crossref
grade
Preferred source (of 2)‎

Cusping, transport and variance of solutions to generalized Fokker-Planck equations

Journal of Physics A: Mathematical and Theoretical
2017-04-26 | Journal article
Contributors: Sean Carnaffan; Reiichiro Kawai
Source: check_circle
Crossref
grade
Preferred source (of 2)‎

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

Methodology and Computing in Applied Probability
2017-03-01 | Journal article
Contributors: Reiichiro Kawai
Source: check_circle
Crossref
grade
Preferred source (of 3)‎

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

SIAM Journal on Scientific Computing
2017-01 | Journal article
Contributors: Sean Carnaffan; Reiichiro Kawai
Source: check_circle
Crossref
grade
Preferred source (of 2)‎

Higher Order Fractional Stable Motion: Hyperdiffusion with Heavy Tails

Journal of Statistical Physics
2016-10-20 | Journal article
Contributors: Reiichiro Kawai
Source: check_circle
Crossref
grade
Preferred source (of 3)‎

Anomalous spreading and misidentification of spatial random walk models

Applied Mathematical Modelling
2016-05 | Journal article
Contributors: Reiichiro Kawai
Source: check_circle
Crossref
grade
Preferred source (of 2)‎

MEASURING IMPACT OF RANDOM JUMPS WITHOUT SAMPLE PATH GENERATION

Siam Journal on Scientific Computing
2015 | Journal article
WOSUID:

WOS:000367019400005

Contributors: Kawai, Reiichiro
Source: Self-asserted source
Reiichiro Kawai via ResearcherID
grade
Preferred source (of 2)‎

On the likelihood function of small time variance Gamma Levy processes

Statistics
2015 | Journal article
WOSUID:

WOS:000348852300004

Contributors: Kawai, Reiichiro
Source: Self-asserted source
Reiichiro Kawai via ResearcherID
grade
Preferred source (of 2)‎

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

Stochastic Analysis and Applications
2015 | Journal article
WOSUID:

WOS:000359860000004

Contributors: Kawai, Reiichiro
Source: Self-asserted source
Reiichiro Kawai via ResearcherID
grade
Preferred source (of 2)‎

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

Computers & Mathematics with Applications
2015-12-01 | Journal article
Contributors: Reiichiro Kawai
Source: check_circle
Crossref
grade
Preferred source (of 3)‎

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

Quantitative Finance
2013 | Journal article
WOSUID:

WOS:000321616700013

Contributors: Kawai, Reiichiro; Takeuchi, Atsushi
Source: Self-asserted source
Reiichiro Kawai via ResearcherID
grade
Preferred source (of 2)‎

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

Communications in Statistics-Theory and Methods
2013 | Journal article
WOSUID:

WOS:000321689600004

Contributors: Kawai, Reiichiro
Source: Self-asserted source
Reiichiro Kawai via ResearcherID
grade
Preferred source (of 2)‎

LOCAL ASYMPTOTIC NORMALITY FOR NORMAL INVERSE GAUSSIAN LEVY PROCESSES WITH HIGH-FREQUENCY SAMPLING

Esaim-Probability and Statistics
2013 | Journal article
WOSUID:

WOS:000314824300002

Contributors: Kawai, Reiichiro; Masuda, Hiroki
Source: Self-asserted source
Reiichiro Kawai via ResearcherID
grade
Preferred source (of 2)‎

Local Asymptotic Normality Property for Ornstein-Uhlenbeck Processes with Jumps Under Discrete Sampling

Journal of Theoretical Probability
2013 | Journal article
WOSUID:

WOS:000326050800002

Contributors: Kawai, Reiichiro
Source: Self-asserted source
Reiichiro Kawai via ResearcherID
grade
Preferred source (of 2)‎

Numerical inverse Levy measure method for infinite shot noise series representation

Journal of Computational and Applied Mathematics
2013 | Journal article
WOSUID:

WOS:000320477000022

Contributors: Imai, Junichi; Kawai, Reiichiro
Source: Self-asserted source
Reiichiro Kawai via ResearcherID
grade
Preferred source (of 2)‎

ON WEAK APPROXIMATION OF STOCHASTIC DIFFERENTIAL EQUATIONS THROUGH HARD BOUNDS BY MATHEMATICAL PROGRAMMING

Siam Journal on Scientific Computing
2013 | Journal article
WOSUID:

WOS:000315575000001

Contributors: Kashima, Kenji; Kawai, Reiichiro
Source: Self-asserted source
Reiichiro Kawai via ResearcherID
grade
Preferred source (of 2)‎

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

Journal of Physics a-Mathematical and Theoretical
2012 | Journal article
WOSUID:

WOS:000305393800006

Contributors: Kawai, Reiichiro
Source: Self-asserted source
Reiichiro Kawai via ResearcherID
grade
Preferred source (of 2)‎

Infinite Variation Tempered Stable Ornstein-Uhlenbeck Processes with Discrete Observations

Communications in Statistics-Simulation and Computation
2012 | Journal article
WOSUID:

WOS:000301279200010

Contributors: Kawai, Reiichiro; Masuda, Hiroki
Source: Self-asserted source
Reiichiro Kawai via ResearcherID
grade
Preferred source (of 2)‎

Likelihood ratio gradient estimation for Meixner distribution and L,vy processes

Computational Statistics
2012 | Journal article
WOSUID:

WOS:000310379900008

Contributors: Kawai, Reiichiro
Source: Self-asserted source
Reiichiro Kawai via ResearcherID
grade
Preferred source (of 2)‎

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

Proceedings of the Royal Society a-Mathematical Physical and Engineering Sciences
2012 | Journal article
WOSUID:

WOS:000301980300012

Contributors: Kawai, Reiichiro; Petrovskii, Sergei
Source: Self-asserted source
Reiichiro Kawai via ResearcherID
grade
Preferred source (of 2)‎

Nonnegative compartment dynamical system modelling with stochastic differential equations

Applied Mathematical Modelling
2012 | Journal article
WOSUID:

WOS:000308571900043

Contributors: Kawai, Reiichiro
Source: Self-asserted source
Reiichiro Kawai via ResearcherID
grade
Preferred source (of 2)‎

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

Springer Proceedings in Mathematics and Statistics
2012 | Conference paper
EID:

2-s2.0-84893535050

Contributors: Kawai, R.; Imai, J.
Source: Self-asserted source
Reiichiro Kawai via Scopus - Elsevier
Items per page:
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