Affine Jump-Diffusions: Stochastic Stability and Limit Theorems
Affine jump-diffusions constitute a large class of continuous-time stochastic models that are particularly popular in finance and economics due to their analytical tractability. …
Peter W. Glynn
Thomas W. Ford Professor in the Department of Management Science and Engineering, Stanford University.
Affine Point Processes: Approximation and Efficient Simulation
We establish a central limit theorem and a large deviations principle for affine point processes, which are stochastic models of correlated event timing widely used in finance and …
A Regenerative Bootstrap Approach to Estimating the Initial Transient
We propose a new algorithm for identifying the duration of the initial transient for a regenerative stochastic process. The algorithm involves re-sampling of the simulated cycles, …
On the Dynamics of a Finite Buffer Queue Conditioned on the Amount of Loss
This paper is concerned with computing large deviations asymptotics for the loss process in a stylized queueing model that is fed by a Brownian input process. In addition, the …
Rare Event Simulation for a Generalized Hawkes Process
In this paper we study rare event simulation for the tail probability of an affine point process that generalizes the Hawkes process. By constructing a suitable exponential …
Efficient Suboptimal Rare-event Simulation
Much of the rare-event simulation literature is concerned with the development of asymptotically optimal algorithms. Because of the difficulties associated with applying these …