270 citations · 1k across the 102 of their papers we have counts for
3 papers · 2 filters
Sample-path large deviations for unbounded additive functionals of the reflected random walk
Mihail Bazhba, Jose Blanchet, Chang-Han Rhee +1
We prove a sample path large deviation principle (LDP) with sub-linear speed for unbounded functionals of certain Markov chains induced by the Lindley recursion. The LDP holds in t…
Asymptotically Optimal Control of a Centralized Dynamic Matching Market with General Utilities
Jose H. Blanchet, Martin I. Reiman, Viragh Shah +2
We consider a matching market where buyers and sellers arrive according to independent Poisson processes at the same rate and independently abandon the market if not matched after…
Efficient Steady-state Simulation of High-dimensional Stochastic Networks
Jose Blanchet, Xinyun Chen, Peter Glynn +1
We propose and study an asymptotically optimal Monte Carlo estimator for steady-state expectations of a d-dimensional reflected Brownian motion. Our estimator is asymptotically opt…