124 citations · 296 across the 15 of their papers we have counts for
15 papers
On the Euler discretization error of Brownian motion about random times
A. B. Dieker, Guido Lagos
In this paper we derive weak limits for the discretization errors of sampling barrier-hitting and extreme events of Brownian motion by using the Euler discretization simulation met…
A Dichotomy for Sampling Barrier-Crossing Events of Random Walks with Regularly Varying Tails
Ton Dieker, Guido Lagos
We study how to sample paths of a random walk up to the first time it crosses a fixed barrier, in the setting where the step sizes are iid with negative mean and have a regularly v…
Spectral analysis of random-to-random Markov chains
A. B. Dieker, Franco Saliola
We compute the eigenvalues and eigenspaces of random-to-random Markov chains. We use a family of maps which reveal a remarkable recursive structure of the eigenspaces, yielding an…
Stochastic billiards for sampling from the boundary of a convex set
A. B. Dieker, Santosh Vempala
Stochastic billiards can be used for approximate sampling from the boundary of a bounded convex set through the Markov Chain Monte Carlo (MCMC) paradigm. This paper studies how man…
Exact simulation of Brown-Resnick random fields at a finite number of locations
A. B. Dieker, T. Mikosch
We propose an exact simulation method for Brown-Resnick random fields, building on new representations for these stationary max-stable fields. The main idea is to apply suitable ch…
Validity of heavy-traffic steady-state approximations in many-server queues with abandonment
J. G. Dai, A. B. Dieker, Xuefeng Gao
We consider GI/Ph/n+M parallel-server systems with a renewal arrival process, a phase-type service time distribution, n homogenous servers, and an exponential patience time distrib…