Graduate School of Arts and Sciences, The University of Tokyo

3-8-1 Komaba, Meguro-ku, Tokyo 153-8902 Japan

raykawai (atmark) g (dot) ecc (dot) u-tokyo (dot) ac (dot) jp

Graduate School of Arts and Sciences / Mathematics and Informatics Center, The University of Tokyo, Japan, April 2020 -

School of Mathematics and Statistics, The University of Sydney, Australia, July 2012 - January 2020 (Honorary Professor, February 2020 - January 2023)

Department of Mathematics, University of Leicester, United Kingdom, July 2009 - June 2012

Center for the Study of Finance and Insurance, Osaka University, Japan, August 2007 - June 2009

Financial Engineering, Fixed Income Department, Daiwa Securities SMBC Co.Ltd., Japan, April 2006 - June 2009 (On leave August 2007 - June 2009)

Proprietary Trading Department, Equity Division, Daiwa Securities SMBC Co.Ltd., Japan, March 2005 - March 2006

Ph.D., Georgia Institute of Technology, United States of America, December 2004

MS in Applied Mathematics, Georgia Institute of Technology, United States of America, May 2003

MS in Operations Research, Georgia Institute of Technology, United States of America, May 2003

Department of Statistics, University of California, Los Angeles, United States of America, September 1999 - June 2000

B.Eng., Tokyo Institute of Technology, Japan, March 1999

Research Publications

Stochastic Numerics: numerical methods for stochastic differential equations and infinitely divisible processes.

Monte Carlo methods: variance reduction; stochastic approximation algorithms; sample average approximation.

Probability Theory: Lévy processes; infinitely divisible laws; Malliavin calculus.

Statistical Mechanics: properties and characteristics of anomalous diffusion processes.

Mathematical Statistics: statistical inference for stochastic processes; sampling schemes.

1. Sato, K., Takeda, A., Kawai, R., Suzuki, T., Convergence error analysis of reflected gradient Langevin dynamics for globally optimizing non-convex constrained problems (link)

2. Kawai, R., Antithetic variates revisited again (link)

3. Song, C., Kawai, R., Sampling and change of measure for Monte Carlo integration on simplices, Journal of Scientific Computing (2024) 98(3) 64.

4. Qiu, Q., Kawai, R., A recursive representation for decoupling time-state dependent jumps from jump-diffusion processes, Stochastics (2024) 96, doi:10.1080/17442508.2023.2259534

5. Song, C., Kawai, R., Monte Carlo and variance reduction methods for structural reliability analysis: A comprehensive review, Probabilistic Engineering Mechanics (2023) 73, 103479.

6. Chessari, J., Kawai, R., Shinozaki, Y., Yamada, T., Numerical methods for backward stochastic differential equations: A survey, Probability Surveys (2023) 20, 486-567.

7. Song, C., Kawai, R., Adaptive radial importance sampling under directional stratification, Probabilistic Engineering Mechanics (2023) 72, 103443.

8. He, Y., Kawai, R., Shimizu, Y., Yamazaki, K., The Gerber-Shiu discounted penalty function: A review from practical perspectives, Insurance: Mathematics and Economics (2023) 109, 1-28.

9. Song, C., Kawai, R., Batching adaptive variance reduction, ACM Transactions on Modeling and Computer Simulation (2023) 33(1-2) Article No 3.

10. He, Y., Kawai, R., Dimension dependent properties of subdiffusions in damping force fields from an inference perspective, Physica Scripta (2023) 98(1) 015006.

11. Song, C., Kawai, R., Dynamic finite-budget allocation of stratified sampling with adaptive variance reduction by strata, SIAM Journal on Scientific Computing (2023) 45(2) A898-A932.

12. Song, C., Kawai, R., Adaptive stratified sampling for structural reliability analysis, Structural Safety (2023) 101, 102292.

13. Qiu, Q., Kawai, R., Iterative weak approximation and hard bounds for switching diffusion, Journal of Theoretical Probability (2023) 36(2) 1003-1036.

14. He, Y., Kawai, R., Moment and polynomial bounds for ruin-related quantities in risk theory, European Journal of Operational Research (2022) 302(3) 1255-1271.

15. Qiu, Q., Kawai, R., A decoupling principle for Markov-modulated chains, Statistics & Probability Letters (2022) 182, 109301.

16. He, Y., Kawai, R., Super- and subdiffusive positions in fractional Klein-Kramers equations, Physica A: Statistical Mechanics and its Applications (2022) 588, 126570.

17. He, Y., Kawai, R., Time-squeezing and time-expanding transforms in harmonic force fields, Chaos: An Interdisciplinary Journal of Nonlinear Science (2021) 31(9) 093107.

18. Yuan, S., Kawai, R., Numerical aspects of shot noise representation of infinitely divisible laws and related processes, Probability Surveys (2021) 18, 201-271.

19. Kawai, R., A general approach to sample path generation of infinitely divisible processes via shot noise representation, Statistics & Probability Letters (2021) 174, 109091.

20. Jiao, C., Kawai, R., Computable primal and dual bounds for stochastic control, SIAM Journal on Control and Optimization (2020) 58(6) 3709-3733.

21. Yuan, S., Kawai, R., Asymptotic degeneracy and subdiffusivity, Journal of Physics A: Mathematical and Theoretical (2020) 53(9) 095002.

22. Kawai, R., Adaptive importance sampling and control variates, Journal of Mathematical Analysis and Applications (2020) 483(1) 123608.

23. Carnaffan, S., Kawai, R., Analytic model for transient anomalous diffusion with highly persistent correlations, Physical Review E (2019) 99(6) 062120.

24. Carnaffan, S., Kawai, R., Optimal statistical inference for subdiffusion processes, Journal of Physics A: Mathematical and Theoretical (2019) 52(13) 135001.

25. Kawai, R., Optimizing adaptive importance sampling by stochastic approximation, SIAM Journal on Scientific Computing (2018) 40(4) A2774-A2800.

26. Bhim, L., Kawai, R., Smooth upper bounds for the price function of American style options, International Journal of Theoretical and Applied Finance (2018) 21(1) 1850009.

27. Bhim, L., Kawai, R., Polynomial upper and lower bounds for financial derivative price functions under regime-switching, Journal of Computational Finance (2018) 22(2) 35-71.

28. Carnaffan, S., Kawai, R., Solving multidimensional fractional Fokker-Planck equations via unbiased density formulas for anomalous diffusion processes, SIAM Journal on Scientific Computing (2017) 39(5) B886-B915.

29. Kawai, R., Acceleration on adaptive importance sampling with sample average approximation, SIAM Journal on Scientific Computing (2017) 39(4) A1586-A1615.

30. Carnaffan, S., Kawai, R., Cusping, transport and variance of solutions to generalized Fokker-Planck equations, Journal of Physics A: Mathematical and Theoretical (2017) 50(24) 245001.

31. Kawai, R., Adaptive importance sampling Monte Carlo simulation for general multivariate probability laws, Journal of Computational and Applied Mathematics (2017) 319, 440-459.

32. Kawai, R., Sample path generation of Lévy-driven continuous-time autoregressive moving average processes, Methodology and Computing in Applied Probability (2017) 19(1) 175-211.

33. Kawai, R., Higher order fractional stable motion: hyperdiffusion with heavy tails, Journal of Statistical Physics (2016) 165(1) 126-152.

34. Kawai, R., Anomalous spreading and misidentification of spatial random walk models, Applied Mathematical Modelling (2016) 40(9-10) 5283-5291.

35. Kawai, R., Explicit hard bounding functions for boundary value problems for elliptic partial differential equations, Computers & Mathematics with Applications (2015) 70(12) 2822-2837.

36. Kawai, R., Measuring impact of random jumps without sample path generation, SIAM Journal on Scientific Computing (2015) 37(6) A2558-A2582.

37. Kawai, R., Solution bounds for elliptic partial differential equations via Feynman-Kac representation, Stochastic Analysis and Applications (2015) 33(5) 844-862.

38. Kawai, R., On the likelihood function of small time variance gamma Lévy processes, Statistics (2015) 49(1) 63-83.

39. Imai, J., Kawai, R., Numerical inverse Lévy measure method for infinite shot noise series representation, Journal of Computational and Applied Mathematics (2013) 253, 264-283.

40. Kawai, R., Local asymptotic normality property for Ornstein-Uhlenbeck processes with jumps under discrete sampling, Journal of Theoretical Probability (2013) 26(4) 932-967.

41. Kashima, K., Kawai, R., On weak approximation of stochastic differential equations through hard bounds by mathematical programming, SIAM Journal on Scientific Computing (2013) 35(1) A1-A21.

42. Kawai, R., On singularity of Fisher information matrix for stochastic processes under high frequency sampling, Numerical Mathematics and Advanced Applications 2011, A. Cangiani et al. (eds.) Springer-Verlag (2013) 841-849.

43. Kawai, R., Fisher information for fractional Brownian motion under high-frequency sampling, Communications in Statistics - Theory and Methods (2013) 42(9) 1628-1636.

44. Kawai, R., Takeuchi, A., Computation of Greeks for asset price dynamics driven by stable and tempered stable processes, Quantitative Finance (2013) 13(8) 1303-1316.

45. Kawai, R., Masuda, H., Local asymptotic normality for normal inverse Gaussian Lévy processes with high-frequency sampling, ESAIM: Probability and Statistics (2013) 17, 13-32.

46. Kawai, R., Continuous-time modeling of random searches: Statistical properties and inference, Journal of Physics A: Mathematical and Theoretical (2012) 45(23) 235004.

47. Kawai, R., Nonnegative compartment dynamics system modelling with stochastic differential equations, Applied Mathematical Modelling (2012) 36(12) 6291-6300.

48. Kawai, R., Sampling rate of spatial stochastic processes with independent components in modeling random search paths, Physical Review E (2012) 85(2) 021907.

49. Kawai, R., Petrovskii, S., Multiscale properties of random walk models of animal movement: Lessons from statistical inference, Proceedings of the Royal Society A (2012) 468(2141) 1428-1451.

50. Kawai, R., Likelihood ratio gradient estimation for Meixner distribution and Lévy processes, Computational Statistics (2012) 27(4) 739-755.

51. Kawai, R., Imai, J., On Monte Carlo and Quasi-Monte Carlo methods for series representation of infinitely divisible laws, Monte Carlo and Quasi-Monte Carlo Methods 2010, H. Wozniakowski, L. Plaskota (eds.) Springer-Verlag (2012) 471-486.

52. Kawai, R., Masuda, H., Infinite variation tempered stable Ornstein-Uhlenbeck processes with discrete observations, Communications in Statistics - Simulation and Computation (2012) 41(1) 125-139.

53. Kawai, R., Masuda, H., Exact discrete sampling of finite variation tempered stable Ornstein-Uhlenbeck processes, Monte Carlo Methods and Applications (2011) 17(3) 279-300.

54. Imai, J., Kawai, R., On finite truncation of infinite shot noise series representation of tempered stable laws, Physica A: Statistical Mechanics and its Applications (2011) 390(23-24) 4411-4425.

55. Kashima, K., Kawai, R., An optimization approach to weak approximation of stochastic differential equations with jumps, Applied Numerical Mathematics (2011) 61(5) 641-650.

56. Kawai, R., Masuda, H., On the local asymptotic behavior of the likelihood function for Meixner Lévy processes under high-frequency sampling, Statistics & Probability Letters (2011) 81(4) 460-469.

57. Kawai, R., Masuda, H., On simulation of tempered stable random variates, Journal of Computational and Applied Mathematics (2011) 235(8) 2873-2887.

58. Kashima, K., Kawai, R., A weak approximation of stochastic differential equations with jumps through tempered polynomial optimization, Stochastic Models (2011) 27(1) 26-49.

59. Kawai, R., Takeuchi, A., Greeks formulas for an asset price model with gamma processes, Mathematical Finance (2011) 21(4) 723-742.

60. Kawai, R., On sequential calibration for an asset price model with piecewise Lévy processes, IAENG International Journal of Applied Mathematics (2010) 40(4) 239-246.

61. Kashima, K., Kawai, R., An optimization approach to weak approximation of Lévy-driven stochastic differential equations, Perspective in Mathematical System Theory, Control, and Signal Processing, J.C. Willems et al. (eds.) Springer-Verlag (2010) 263-272.

62. Imai, J., Kawai, R., Quasi-Monte Carlo method for infinitely divisible random vectors via series representations, SIAM Journal on Scientific Computing (2010) 32(4) 1879-1897.

63. Kawai, R., Takeuchi, A., Sensitivity analysis for averaged asset price dynamics with gamma processes, Statistics & Probability Letters (2010) 80(1) 42-49.

64. Kawai, R., Kohatsu-Higa, A., Computation of Greeks and multidimensional density estimation for asset price models with time-changed Brownian motion, Applied Mathematical Finance (2010) 17(4) 301-321.

65. Kawai, R., Asymptotically optimal allocation of stratified sampling with adaptive variance reduction by strata, ACM Transactions on Modeling and Computer Simulation (2010) 20(2) Article 9.

66. Kashima, K., Kawai, R., An optimization approach to weak approximation of Lévy-driven stochastic differential equations with application to option pricing, 48th IEEE Conf.; Decision and Control 2009, 3673-3678.

67. Kashima, K., Kawai, R., Polynomial programming approach to weak approximation of Lévy-driven stochastic differential equations with application to option pricing, ICROS-SICE Int’l Joint Conf. 2009, 3902-3907.

68. Kawai, R., A multivariate Lévy process model with linear correlation, Quantitative Finance (2009) 9(5) 597-606.

69. Kawai, R., Sensitivity analysis and density estimation on the Hobson-Rogers stochastic volatility model, International Journal of Theoretical and Applied Finance (2009) 12(3) 283-295.

70. Kawai, R., Optimal importance sampling parameter search for Lévy processes via stochastic approximation, SIAM Journal on Numerical Analysis (2008) 47(1) 293-307.

71. Kawai, R., Adaptive Monte Carlo variance reduction for Lévy processes with two-time-scale stochastic approximation, Methodology and Computing in Applied Probability (2008) 10(2) 199-223.

72. Kawai, R., Adaptive Monte Carlo variance reduction with two-time-scale stochastic approximation, Monte Carlo Methods and Applications (2007) 13(3) 197-217.

73. Houdré, C., Kawai, R., On layered stable processes, Bernoulli (2007) 13(1) 252-278.

74. Kawai, R., An importance sampling method based on the density transformation of Lévy processes, Monte Carlo Methods and Applications (2006) 12(2) 171-186.

75. Houdré, C., Kawai, R., On fractional tempered stable motion, Stochastic Processes and their Applications (2006) 116(8) 1161-1184.

Recent Committee Memberships

1. The Assessment Committee, Approved Program for Mathematics, Data Science and AI Smart Higher Education (MDASH), designated by the Government of Japan, Ministry of Education, Culture, Sports, Science and Technology, May 2023 - Present.

2. Chair, the Special Committee on the Revision of the National Model Curriculum (Literacy and Intermediate Levels), Japan Inter-University Consortium for Mathematics and Data Science Education, November 2023 - February 2024.

3. Chair, the Planning and Promotion Working Group, Japan Inter-University Consortium for Mathematics and Data Science Education, April 2022 - Present.

4. Chair, the Needs Assessment Subcommittee, Japan Inter-University Consortium for Mathematics and Data Science Education, April 2022 - Present.

5. The Special Committee for the National Model Curriculum (Intermediate Level), Japan Mathematics and Data Science Education Consortium, October 2020 - March 2022.

6. Deputy Chair, Japan Statistical Society Certificate CBT Expert Level, Japan Statistical Society Certificate, July 2020 - Present.

7. Deputy Chair, Japan Statistical Society Certificate CBT Intermediate Level, Japan Statistical Society Certificate, July 2020 - Present.

8. Organizing Committee, One World Virtual Seminar Series - Stochastic Numerics and Inverse Problems, July 2020 - August 2023.

9. Chair, the Curriculum Subcommittee, Japan Inter-University Consortium for Mathematics and Data Science Education, April 2020 - Present.

Last updated: 3 April 2024