| On simulation of tempered stable random variates R Kawai, H Masuda Journal of Computational and Applied Mathematics 235 (8), 2873-2887, 2011 | 84 | 2011 |
| Monte Carlo and variance reduction methods for structural reliability analysis: A comprehensive review C Song, R Kawai Probabilistic Engineering Mechanics, 103479, 2023 | 67 | 2023 |
| On layered stable processes C Houdré, R Kawai Bernoulli 13 (1), 252-278, 2007 | 43 | 2007 |
| Numerical methods for backward stochastic differential equations: A survey J Chessari, R Kawai, Y Shinozaki, T Yamada Probability Surveys 20, 486-567, 2023 | 40 | 2023 |
| On fractional tempered stable motion C Houdré, R Kawai Stochastic Processes and their Applications 116 (8), 1161-1184, 2006 | 37 | 2006 |
| Local asymptotic normality for normal inverse Gaussian Lévy processes with high-frequency sampling R Kawai, H Masuda ESAIM: Probability and Statistics 17, 13-32, 2013 | 35 | 2013 |
| Asymptotically optimal allocation of stratified sampling with adaptive variance reduction by strata R Kawai ACM Transactions on Modeling and Computer Simulation (TOMACS) 20 (2), 1-17, 2010 | 35 | 2010 |
| Greeks formulas for an asset price model with gamma processes R Kawai, A Takeuchi Mathematical Finance: An International Journal of Mathematics, Statistics …, 2011 | 34 | 2011 |
| Optimal importance sampling parameter search for Lévy processes via stochastic approximation R Kawai SIAM Journal on Numerical Analysis 47 (1), 293-307, 2009 | 32 | 2009 |
| Infinite variation tempered stable Ornstein–Uhlenbeck processes with discrete observations R Kawai, H Masuda Communications in Statistics-Simulation and Computation 41 (1), 125-139, 2012 | 31 | 2012 |
| Multi-scale properties of random walk models of animal movement: lessons from statistical inference R Kawai, S Petrovskii Proceedings of the Royal Society A: Mathematical, Physical and Engineering …, 2012 | 30 | 2012 |
| On finite truncation of infinite shot noise series representation of tempered stable laws J Imai, R Kawai Physica A: Statistical Mechanics and its Applications 390 (23-24), 4411-4425, 2011 | 29 | 2011 |
| A multivariate Lévy process model with linear correlation R Kawai Quantitative Finance 9 (5), 597-606, 2009 | 28 | 2009 |
| Exact discrete sampling of finite variation tempered stable Ornstein–Uhlenbeck processes R Kawai, H Masuda Monte Carlo Methods and Applications 17 (3), 279-300, 2011 | 27* | 2011 |
| Computation of Greeks and multidimensional density estimation for asset price models with time-changed Brownian motion R Kawai, A Kohatsu-Higa Applied Mathematical Finance 17 (4), 301-321, 2010 | 26 | 2010 |
| Adaptive Monte Carlo variance reduction for Lévy processes with two-time-scale stochastic approximation R Kawai Methodology and Computing in Applied Probability 10 (2), 199-223, 2008 | 26 | 2008 |
| Adaptive importance sampling Monte Carlo simulation for general multivariate probability laws R Kawai Journal of Computational and Applied Mathematics 319, 440-459, 2017 | 20 | 2017 |
| On weak approximation of stochastic differential equations through hard bounds by mathematical programming K Kashima, R Kawai SIAM Journal on Scientific Computing 35 (1), A1-A21, 2013 | 20 | 2013 |
| An importance sampling method based on the density transformation of Lévy processes R Kawai Monte Carlo Methods and Applications 12 (2), 171-186, 2006 | 20 | 2006 |
| Numerical inverse Lévy measure method for infinite shot noise series representation J Imai, R Kawai Journal of Computational and Applied Mathematics 253, 264-283, 2013 | 19 | 2013 |
Hiroki MasudaUniversity of TokyoCorreu electrònic verificat a ms.u-tokyo.ac.jp
