60 citations · 145 across the 15 of their papers we have counts for
Showing 2010 · math.PRShow all
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math.PR2010★ 1 cited
Efficient Simulation and Conditional Functional Limit Theorems for Ruinous Heavy-tailed Random Walks
Jose Blanchet, Jingchen Liu
The contribution of this paper is to introduce change of measure based techniques for the rare-event analysis of heavy-tailed stochastic processes. Our changes-of-measure are param…
math.PR2010★ 30 cited
Tail approximations of integrals of Gaussian random fields
Jingchen Liu
This paper develops asymptotic approximations of as for a homogeneous smooth Gaussian random field, , living on a compact -dime…
math.PR2010★ 60 cited
Efficient Monte Carlo for high excursions of Gaussian random fields
Robert J. Adler, Jose H. Blanchet, Jingchen Liu
Our focus is on the design and analysis of efficient Monte Carlo methods for computing tail probabilities for the suprema of Gaussian random fields, along with conditional expectat…