Peter W. Glynn

Latest

• Affine Jump-Diffusions: Stochastic Stability and Limit Theorems
• Affine Point Processes: Approximation and Efficient Simulation
• A Regenerative Bootstrap Approach to Estimating the Initial Transient
• On the Dynamics of a Finite Buffer Queue Conditioned on the Amount of Loss
• Rare Event Simulation for a Generalized Hawkes Process
• Efficient Suboptimal Rare-event Simulation