313 citations
- University of AmsterdamNL58 papers
- Eindhoven University of TechnologyNL54 papers
- Vrije Universiteit AmsterdamNL14 papers
- Radboud University NijmegenNL13 papers
- Leiden UniversityNL12 papers
- College of Western IdahoUS11 papers
- Centre National de la Recherche ScientifiqueFR10 papers
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- Delft University of TechnologyNL6 papers
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- University of CambridgeGB6 papers
5 papers · 2 filters
Switch chain mixing times through triangle counts
Tom Bannink, Remco van der Hofstad, Clara Stegehuis
Sampling uniform simple graphs with power-law degree distributions with degree exponent is a non-trivial problem. We propose a method to sample uniform simple graphs th…
First-passage time asymptotics over moving boundaries for random walk bridges
Fiona Sloothaak, Vitali Wachtel, Bert Zwart
We study the asymptotic tail probability of the first-passage time over a moving boundary for a random walk conditioned to return to zero, where the increments of the random walk h…
Lyapunov Conditions for Differentiability of Markov Chain Expectations: the Absolutely Continuous Case
Chang-Han Rhee, Peter Glynn
We consider a family of Markov chains whose transition dynamics are affected by model parameters. Understanding the parametric dependence of (complex) performance measures of such…
Efficient Rare-Event Simulation for Multiple Jump Events in Regularly Varying Random Walks and Compound Poisson Processes
Bohan Chen, Jose Blanchet, Chang-Han Rhee +1
We propose a class of strongly efficient rare event simulation estimators for random walks and compound Poisson processes with a regularly varying increment/jump-size distribution…
Heavy Traffic Limit for a Tandem Queue with Identical Service Times
H. Christian Gromoll, Bryce Terwilliger, Bert Zwart
We consider a two-node tandem queueing network in which the upstream queue is M/G/1 and each job reuses its upstream service requirement when moving to the downstream queue. Both s…