51 citations · 263 across the 62 of their papers we have counts for
10 papers · 1 filter
Sample-path large deviations for a class of heavy-tailed Markov additive processes
Bohan Chen, Chang-Han Rhee, Bert Zwart
For a class of additive processes driven by the affine recursion , we develop a sample-path large deviations principle in the topology on .…
Emergence of scale-free blackout sizes in power grids
Tommaso Nesti, Fiona Sloothaak, Bert Zwart
We model power grids as graphs with heavy-tailed sinks, which represent demand from cities, and study cascading failures on such graphs. Our analysis links the scale-free nature of…
A Fluid Model of an Electric Vehicle Charging Network
Angelos Aveklouris, Maria Vlasiou, Bert Zwart
We develop and analyze a measure-valued fluid model keeping track of parking and charging requirements of electric vehicles in a local distribution grid. We show how this model ari…
Computing first passage times for Markov-modulated fluid models using numerical PDE problem solvers
Debarati Bhaumik, Marko A. A. Boon, Daan Crommelin +2
A popular method to compute first-passage probabilities in continuous-time Markov chains is by numerically inverting their Laplace transforms. Past decades, the scientific computin…
Sample-path large deviations for unbounded additive functionals of the reflected random walk
Mihail Bazhba, Jose Blanchet, Chang-Han Rhee +1
We prove a sample path large deviation principle (LDP) with sub-linear speed for unbounded functionals of certain Markov chains induced by the Lindley recursion. The LDP holds in t…
Large Fluctuations in Locational Marginal Prices
Tommaso Nesti, John Moriarty, Alessandro Zocca +1
This paper investigates large fluctuations of Locational Marginal Prices (LMPs) in wholesale energy markets caused by volatile renewable generation profiles. Specifically, we study…