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Fast simulation of overflow probabilities in a queue with Gaussian input
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Fast simulation of overflow probabilities in a queue with Gaussian input (2006)Fast simulation of overflow probabilities…Importance Sampling, Large Deviations, and Differential Games (2004)Importance Sampling, Large De…Big Queues (2004)Big QueuesON SPECTRAL SIMULATION OF FRACTIONAL BROWNIAN MOTION (2003)ON SPECTRAL SIMULATION OF FRA…Most probable paths and performance formulae for buffers with gaussian input traffic (2002)Most probable paths and perfo…Importance Sampling Techniques for the Multidimensional Ruin Problem for General Markov Additive Sequences of Random Vectors (2002)Importance Sampling Technique…Sample path large deviations for queues with many inputs (2001)Sample path large deviations …Ruin Probabilities (2000)Ruin ProbabilitiesCell loss asymptotics for buffers fed with a large number of independent stationary sources (1999)Cell loss asymptotics for buf…Simulation of Ruin Probabilities for Subexponential Claims (1997)Simulation of Ruin Probabilit…Fast simulation of rare events in queueing and reliability models (1995)Fast simulation of rare event…Simulation of Stationary Gaussian Processes in [0, 1]d (1994)Simulation of Stationary Gaus…A storage model with self-similar input (1994)A storage model with self-sim…Simulating level-crossing probabilities by importance sampling (1992)Simulating level-crossing pro…Large deviations theory and efficient simulation of excessive backlogs in a GI/GI/m queue (1991)Large deviations theory and e…Risk theory in a Markovian environment (1989)Risk theory in a Markovian en…Tests for Hurst Effect (1987)Tests for Hurst EffectFractional Brownian Motions, Fractional Noises and Applications (1968)Robustness of the rescaled range R/S in the measurement of noncyclic long run statistical dependence (1969)Statistical Methods for Data with Long-Range Dependence (1992)Fractal analyses for ‘short’ time series: A re-assessment of classical methods (2006)The existence of value in differential games (1972)Numerical Methods for Stochastic Control Problems in Continuous Time (1990)Dynamic Importance Sampling for Queueing Networks (2005)Efficient rare-event simulation for the maximum of heavy-tailed random walks (2008)Asymptotic robustness of estimators in rare-event simulation (2010)Digital simulation of random processes and its applications (1972)Stochastic Simulation (1987)STATISTICS FOR SPATIAL DATA (1992)Fitting Gaussian Markov Random Fields to Gaussian Fields (2001)Estimators of fractal dimension: Assessing the roughness of time series and spatial data (2010)Geostatistical Inference Under Preferential Sampling (2010)Simulation and the Monte Carlo Method (1981)Applied Probability and Queues (1987)Simulating heavy tailed processes using delayed hazard rate twisting (2002)State-dependent importance sampling for rare-event simulation: An overview and recent advances (2011)Simulation and the Monte Carlo Method (2016)On the theory of queues with many servers (1955)A quick simulation method for excessive backlogs in networks of queues (1989)Importance Sampling for Stochastic Simulations (1989)Quick simulation: a review of importance sampling techniques in communications systems (1997)Chapter 11 Rare-Event Simulation Techniques: An Introduction and Recent Advances (2006)Stability, queue length, and delay of deterministic and stochastic queueing networks (1994)Proceedings of the 2002 Winter Simulation Conference (2002)Importance Sampling for Portfolio Credit Risk (2005)Rare Event Simulation using Monte Carlo Methods (2009)Introduction to Stochastic Processes (2014)Matrix-Geometric Solutions to Stochastic Models (1984)Structured Stochastic Matrices of M/G/1 Type and Their Applications. (1991)Strategies for Dividend Distribution: A Review (2009)Wavelet analysis of long-range-dependent traffic (1998)A multifractal wavelet model with application to network traffic (1999)A wavelet-based joint estimator of the parameters of long-range dependence (1999)Some remarks on first passage of Lévy processes, the American put and pasting principles (2005)On Optimal Dividend Strategies In The Compound Poisson Model (2006)On optimality of the barrier strategy in de Finetti’s dividend problem for spectrally negative Lévy processes (2008)Is Tail-Optimal Scheduling Possible? (2012)Integrability and tail estimates for Gaussian rough differential equations (2013)Simulation Budget Allocation for Selecting the Top-m Designs With Input Uncertainty (2018)
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References

  • 1994A storage model with self-similar input848 cited
  • 1995Fast simulation of rare events in queueing and reliability models546 cited
  • 1987Tests for Hurst Effect544 cited
  • 2000Ruin Probabilities447 cited
  • 1994Simulation of Stationary Gaussian Processes in [0, 1]d394 cited
  • 1989Risk theory in a Markovian environment227 cited
  • 2004Importance Sampling, Large Deviations, and Differential Games147 cited
  • 1991Large deviations theory and efficient simulation of excessive backlogs in a GI/GI/m queue143 cited
  • 2004Big Queues130 cited
  • 1997Simulation of Ruin Probabilities for Subexponential Claims108 cited
  • 1999Cell loss asymptotics for buffers fed with a large number of independent stationary sources95 cited
  • 2003ON SPECTRAL SIMULATION OF FRACTIONAL BROWNIAN MOTION90 cited
  • 1992Simulating level-crossing probabilities by importance sampling73 cited
  • 2002Most probable paths and performance formulae for buffers with gaussian input traffic72 cited
  • 2001Sample path large deviations for queues with many inputs70 cited
  • 2002Importance Sampling Techniques for the Multidimensional Ruin Problem for General Markov Additive Sequences of Random Vectors

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