C. Rhee

activity

20122026

most citedSpace-filling design for nonlinear models

4 citations · 9 across the 13 of their papers we have counts for

collaborators

Showing 2016Show all

2 papers · 1 filter

math.PR2016

Importance sampling of heavy-tailed iterated random functions

Bohan Chen, Chang-Han Rhee, Bert Zwart

We consider a stochastic recurrence equation of the form $Z_{n + 1} = A_{n + 1} Z_{n} + B_{n + 1}$ , where $E [lo g A_{1}] < 0$ , $E [lo g^{+} B_{1}] < \infty$ and $\{(A_n,B_n)\}_{n\in\m…

math.PR2016

Sample Path Large Deviations for Lévy Processes and Random Walks with Regularly Varying Increments

Chang-Han Rhee, Jose Blanchet, Bert Zwart

Let $X$ be a Lévy process with regularly varying Lévy measure $ν$ . We obtain sample-path large deviations for scaled processes $X ˉ_{n} (t) ≜ X (n t) / n$ and obtain a similar…