1 citations · 1 across the 5 of their papers we have counts for
5 papers
Sample Path Large Deviations for Multivariate Heavy-Tailed Hawkes Processes and Related Lévy Processes
Jose Blanchet, Roger J. A. Laeven, Xingyu Wang +1
In this paper, we develop sample path large deviations for multivariate Hawkes processes with heavy-tailed mutual excitation rates. Our results address a broad class of rare events…
Tail Asymptotics of Cluster Sizes in Multivariate Heavy-Tailed Hawkes Processes
Jose Blanchet, Roger J. A. Laeven, Xingyu Wang +1
We examine a distributional fixed-point equation related to a multi-type branching process that is key in the cluster sizes analysis of multivariate heavy-tailed Hawkes processes.…
Bounding adapted Wasserstein metrics
Jose Blanchet, Martin Larsson, Jonghwa Park +1
The Wasserstein distance is an important instance of an optimal transport cost. Its numerous mathematical properties as well as applications to various fields such…
Optimization under rare events: scaling laws for linear chance-constrained programs
Jose Blanchet, Joost Jorritsma, Bert Zwart
We consider a class of chance-constrained programs in which profit needs to be maximized while enforcing that a given adverse event remains rare. Using techniques from large deviat…
Orthogonal Bootstrap: Efficient Simulation of Input Uncertainty
Kaizhao Liu, Jose Blanchet, Lexing Ying +1
Bootstrap is a popular methodology for simulating input uncertainty. However, it can be computationally expensive when the number of samples is large. We propose a new approach cal…