arXiv subjects

Reiichiro Kawai

Publications and source records attributed to Reiichiro Kawai.

10 recordsLinked to original sources

arXiv2026

Stopping Rules for Monte Carlo Methods: A Review

Sequential analysis encompasses simulation theories and methods where the sample size is determined dynamically based on accumulating data. Since the conceptual inception, numerous sequential stopping rules have been introduced, and many more are currently being refined and developed. This article aims to deliver an up-to-date review of recent developments in sequential stopping rules, with a deliberate emphasis on Monte Carlo methods for estimating an unknown expectation, including binomial proportions, primarily under standard iid sampling and also under certain lightly generalized settings. These methodologies have long served and likely will continue to serve, as fundamental bases for both theoretical and practical developments in stopping rules for general statistical inference, advanced Monte Carlo techniques, and their modern applications. Building upon over a hundred references and empirical studies, we explore the essential aspects of these methods, such as core assumptions, numerical algorithms, convergence properties, and practical trade-offs to guide further developments, particularly at the intersection of sequential stopping rules and related areas of research.

stat.ME↗

arXiv2025

Stopping Rules for Monte Carlo Methods of Martingale Difference Type

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-iid sequence of martingale difference type. Starting with an impractical scheme based on the standard martingale central limit theorem, we progressively address its limitations from implementation perspectives in the non-asymptotic regime. Along the way, we compare the proposed schemes with their counterparts in the asymptotic regime. The developed framework has potential applications in various domains. Numerical results are provided to demonstrate the effectiveness of the developed stopping rules in terms of reliability and complexity.

math.ST↗

arXiv2024

A forward scheme with machine learning for forward-backward SDEs with jumps by decoupling jumps

Forward-backward stochastic differential equations (FBSDEs) have been generalized by introducing jumps for better capturing random phenomena, while the resulting FBSDEs are far more intricate than the standard one from every perspective. In this work, we establish a forward scheme for potentially high-dimensional FBSDEs with jumps, taking a similar approach to [Bender and Denk, 117 (2007), Stoch. Process. Their Appl., pp.1793-1812], with the aid of machine learning techniques for implementation. The developed forward scheme is built upon a recursive representation that decouples random jumps at every step and converges exponentially fast to the original FBSDE with jumps, often requiring only a few iterations to achieve sufficient accuracy, along with the error bound vanishing for lower jump intensities. The established framework also holds novelty in its neural network-based implementation of a wide class of forward schemes for FBSDEs, notably whether with or without jumps. We provide an extensive collection of numerical results, showcasing the effectiveness of the proposed recursion and its corresponding forward scheme in approximating high-dimensional FBSDEs with jumps (up to 100-dimension) without directly handling the random jumps.

math.NA↗

arXiv2024

Convergence Error Analysis of Reflected Gradient Langevin Dynamics for Globally Optimizing Non-Convex Constrained Problems

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 unconstrained convex framework while recently even in convex constrained non-convex problems. In the present work, we extend those frameworks to non-convex problems on a non-convex feasible region with a global optimization algorithm built upon reflected gradient Langevin dynamics and derive its convergence rates. By effectively making use of its reflection at the boundary in combination with the probabilistic representation for the Poisson equation with the Neumann boundary condition, we present promising convergence rates, particularly faster than the existing one for convex constrained non-convex problems.

math.OC↗

arXiv2023

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

We establish a recursive representation that fully decouples jumps from a large class of multivariate inhomogeneous stochastic differential equations with jumps of general time-state dependent unbounded intensity, not of Lévy-driven type that essentially benefits a lot from independent and stationary increments. The recursive representation, along with a few related ones, are derived by making use of a jump time of the underlying dynamics as an information relay point in passing the past on to a previous iteration step to fill in the missing information on the unobserved trajectory ahead. We prove that the proposed recursive representations are convergent exponentially fast in the limit, and can be represented in a similar form to Picard iterates under the probability measure with its jump component suppressed. On the basis of each iterate, we construct upper and lower bounding functions that are also convergent towards the true solution as the iterations proceed. We provide numerical results to justify our theoretical findings.

math.PR↗

arXiv2023

Numerical methods for backward stochastic differential equations: A survey

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 derivatives, stochastic optimal control problems, optimal stopping problems and gene expression. Most BSDEs cannot be solved analytically and thus numerical methods must be applied to approximate their solutions. There have been a variety of numerical methods proposed over the past few decades as well as many more currently being developed. For the most part, they exist in a complex and scattered manner with each requiring a variety of assumptions and conditions. The aim of the present work is thus to systematically survey various numerical methods for BSDEs, and in particular, compare and categorize them, for further developments and improvements. To achieve this goal, we focus primarily on the core features of each method based on an extensive collection of 333 references: the main assumptions, the numerical algorithm itself, key convergence properties and advantages and disadvantages, to provide an up-to-date coverage of numerical methods for BSDEs, with insightful summaries of each and a useful comparison and categorization.

math.NA↗

arXiv2022

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

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 interests in actuarial science, whereas the conventional research has been focused on finding analytical or semi-analytical solutions, either of which is rarely available, except for limited classes of penalty functions on rather simple risk models. In contrast to its great generality, the Gerber-Shiu function does not seem sufficiently prevalent in practice, largely due to a variety of difficulties in numerical approximation and statistical inference. To enhance research activities on such implementation aspects, we provide a comprehensive review of existing formulations and underlying surplus processes, as well as an extensive survey of analytical, semi-analytical and asymptotic methods for the Gerber-Shiu function, which altogether shed fresh light on its numerical methods and statistical inference for further developments. On the basis of an ambitious collection of 235 references, the present survey can serve as an insightful guidebook to model and method selection from practical perspectives as well.

q-fin.RM↗

arXiv2022

Iterative weak approximation and hard bounds for switching diffusion

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 the maximum number of switching so as to untangle and compensate a challenging system of weakly coupled partial differential equations to a collection of independent partial differential equations, for which a variety of accurate and efficient numerical methods are available. Upper and lower bounding functions for the solutions are constructed using the iterative approximate solutions. We provide a rigorous convergence analysis for the iterative approximate solutions, as well as for the upper and lower bounding functions. Numerical results are provided to examine our theoretical findings and the effectiveness of the proposed framework.

math.NA↗

arXiv2021

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

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 increasing demand for numerical methods of sampling and sample path generation. In this survey, we review shot noise representation with a view towards sampling infinitely divisible laws and generating sample paths of related processes. In contrast to many conventional methods, the shot noise approach remains practical even in the multidimensional setting. We provide a brief introduction to shot noise representations of infinitely divisible laws and related processes, and discuss the truncation of such series representations towards the simulation of infinitely divisible random vectors, Lévy processes, infinitely divisible processes and fields and Lévy-driven stochastic differential equations. Essential notions and results towards practical implementation are outlined, and summaries of simulation recipes are provided throughout along with numerical illustrations. Some future research directions are highlighted.

math.PR↗

arXiv2021

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

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. The approximation is derived from the decomposition of the infinitely divisible process to three independent components based on jump sizes and timings: the large jumps over a compact time interval, small jumps over the entire time interval and large jumps over an unbounded time interval. The first component is taken as the approximation and is much simpler than simulation of general Gaussian processes, while the latter two components are analyzed as the error. We derive technical conditions for the two error terms to vanish in the limit and for the scaled component on small jumps to converge to a Gaussian process so as to enhance the accuracy of the weak approximation. We provide an extensive collection of examples to highlight the wide practicality of the proposed approach.

math.PR↗