51 citations · 263 across the 62 of their papers we have counts for
6 papers · 2 filters
Importance sampling of heavy-tailed iterated random functions
Bohan Chen, Chang-Han Rhee, Bert Zwart
We consider a stochastic recurrence equation of the form , where , and $\{(A_n,B_n)\}_{n\in\m…
Sample Path Large Deviations for Lévy Processes and Random Walks with Regularly Varying Increments
Chang-Han Rhee, Jose Blanchet, Bert Zwart
Let be a Lévy process with regularly varying Lévy measure . We obtain sample-path large deviations for scaled processes and obtain a similar…
A Dirichlet Process Characterization of RBM in a Wedge
Peter Lakner, Josh Reed, Bert Zwart
Reflected Brownian motion (RBM) in a wedge is a 2-dimensional stochastic process Z whose state space in R^2 is given in polar coordinates by S={(r,theta): r >= 0, 0 <= theta <= xi}…
Fluid Limit of a PS-queue with Multistage Service
Maria Remerova, Bert Zwart
The PS-model treated in this paper is motivated by freelance job websites where multiple freelancers compete for a single job. In the context of such websites, multistage service o…
Transient error approximation in a Lévy queue
Britt Mathijsen, Bert Zwart
Motivated by a capacity allocation problem within a finite planning period, we conduct a transient analysis of a single-server queue with Lévy input. From a cost minimization persp…
Robustness of Power-law Behavior in Cascading Failure Models
F. Sloothaak, S. C. Borst, A. P. Zwart
Inspired by reliability issues in electric transmission networks, we use a probabilistic approach to study the occurrence of large failures in a stylized cascading failure model. I…