270 citations · 1k across the 102 of their papers we have counts for
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math.PR2010
Analysis of a Splitting Estimator for Rare Event Probabilities in Jackson Networks
Jose Blanchet, Kevin Leder, Yixi Shi
We consider a standard splitting algorithm for the rare-event simulation of overflow probabilities in any subset of stations in a Jackson network at level n, starting at a fixed in…
math.PR2010★ 1 cited
Efficient Simulation and Conditional Functional Limit Theorems for Ruinous Heavy-tailed Random Walks
Jose Blanchet, Jingchen Liu
The contribution of this paper is to introduce change of measure based techniques for the rare-event analysis of heavy-tailed stochastic processes. Our changes-of-measure are param…
math.PR2010★ 60 cited
Efficient Monte Carlo for high excursions of Gaussian random fields
Robert J. Adler, Jose H. Blanchet, Jingchen Liu
Our focus is on the design and analysis of efficient Monte Carlo methods for computing tail probabilities for the suprema of Gaussian random fields, along with conditional expectat…