4 citations · 8 across the 4 of their papers we have counts for
4 papers
Space-filling design for nonlinear models
Chang-Han Rhee, Enlu Zhou, Peng Qiu
Performing a computer experiment can be viewed as observing a mapping between the model parameters and the corresponding model outputs predicted by the computer model. In view of t…
Lyapunov Conditions for Differentiability of Markov Chain Expectations: the Absolutely Continuous Case
Chang-Han Rhee, Peter Glynn
We consider a family of Markov chains whose transition dynamics are affected by model parameters. Understanding the parametric dependence of (complex) performance measures of such…
Efficient Rare-Event Simulation for Multiple Jump Events in Regularly Varying Random Walks and Compound Poisson Processes
Bohan Chen, Jose Blanchet, Chang-Han Rhee +1
We propose a class of strongly efficient rare event simulation estimators for random walks and compound Poisson processes with a regularly varying increment/jump-size distribution…
A new approach to unbiased estimation for SDE's
Chang-han Rhee, Peter W. Glynn
In this paper, we introduce a new approach to constructing unbiased estimators when computing expectations of path functionals associated with stochastic differential equations (SD…