4 papers
Optimization under rare events: scaling laws for linear chance-constrained programs
Jose Blanchet, Joost Jorritsma, Bert Zwart
We consider a class of chance-constrained programs in which profit needs to be maximized while enforcing that a given adverse event remains rare. Using techniques from large deviat…
Bounding adapted Wasserstein metrics
Jose Blanchet, Martin Larsson, Jonghwa Park +1
The Wasserstein distance is an important instance of an optimal transport cost. Its numerous mathematical properties as well as applications to various fields such…
Sample Path Large Deviations for Multivariate Heavy-Tailed Hawkes Processes and Related Lévy Processes
Jose Blanchet, Roger J. A. Laeven, Xingyu Wang +1
In this paper, we develop sample path large deviations for multivariate Hawkes processes with heavy-tailed mutual excitation rates. Our results address a broad class of rare events…
Tail Asymptotics of Cluster Sizes in Multivariate Heavy-Tailed Hawkes Processes
Jose Blanchet, Roger J. A. Laeven, Xingyu Wang +1
We examine a distributional fixed-point equation related to a multi-type branching process that is key in the cluster sizes analysis of multivariate heavy-tailed Hawkes processes.…