270 citations · 1k across the 102 of their papers we have counts for
7 papers · 2 filters
Sampling Point Processes on Stable Unbounded Regions and Exam Simulation of Queues
Jose Blanchet, Jing Dong
Given a marked renewal point process (assuming that the marks are i.i.d.) we say that an unbounded region is stable if it contains finitely many points of the point process with pr…
A Weak Convergence Criterion Constructing Changes of Measure
Jose Blanchet, Johannes Ruf
Based on a weak convergence argument, we provide a necessary and sufficient condition that guarantees that a nonnegative local martingale is indeed a martingale. Typically, conditi…
Two-parameter Sample Path Large Deviations for Infinite Server Queues
J. Blanchet, X. Chen, H. Lam
Let be the number of people present at time with units of remaining service time in an infinite server system with arrival rate equal to . In the presence…
State-independent Importance Sampling for Random Walks with Regularly Varying Increments
Karthyek R. A. Murthy, Sandeep Juneja, Jose Blanchet
We develop importance sampling based efficient simulation techniques for three commonly encountered rare event probabilities associated with random walks having i.i.d. regularly va…
Steady-state simulation of reflected Brownian motion and related stochastic networks
Jose Blanchet, Xinyun Chen
This paper develops the first class of algorithms that enable unbiased estimation of steady-state expectations for multidimensional reflected Brownian motion. In order to explain o…
Rare-Event Simulation for Many-Server Queues
Jose Blanchet, Henry Lam
We develop rare-event simulation methodology for the analysis of loss events in a many-server loss system under quality-driven regime, focusing on the steady-state loss probability…