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math.PR2026
A Harris recurrent continuous-time Markov process without wide-sense regenerative structure
Yanlin Qu, Peter Glynn
While Harris recurrent Markov chains (in discrete time) automatically exhibit wide-sense regenerative structure, we construct a Harris recurrent Markov process (in continuous time)…
math.PR2023
Computable Bounds on Convergence of Markov Chains in Wasserstein Distance via Contractive Drift
Yanlin Qu, Jose Blanchet, Peter Glynn
We introduce a unified framework to estimate the convergence of Markov chains to equilibrium in Wasserstein distance. The framework can provide convergence bounds with rates rangin…
math.PR2010★ 18 cited
On the transition from heavy traffic to heavy tails for the M/G/1 queue: The regularly varying case
Mariana Olvera-Cravioto, Jose Blanchet, Peter Glynn
Two of the most popular approximations for the distribution of the steady-state waiting time, , of the M/G/1 queue are the so-called heavy-traffic approximation and hea…