Some open problems in exact simulation of stochastic differential equations von Blanchet, Jose H.

Volltext

Robustifying Conditional Portfolio Decisions via Optimal Transport von Nguyen, Viet Anh, Zhang, Fan, Wang, Shanshan, Blanchet, José, Delage, Erick, Ye, Yinyu

Volltext

Quantifying Distributional Model Risk via Optimal Transport von Blanchet, Jose, Murthy, Karthyek

Volltext

STEADY-STATE SIMULATION OF REFLECTED BROWNIAN MOTION AND RELATED STOCHASTIC NETWORKS von Blanchet, Jose, Chen, Xinyun

Volltext

Asymptotically Optimal Control of a Centralized Dynamic Matching Market with General Utilities von Blanchet, Jose H., Reiman, Martin I., Shah, Virag, Wein, Lawrence M., Wu, Linjia

Volltext

Queueing Theory-Based Perspective of the Kinetics of “Channeled” Enzyme Cascade Reactions von Tsitkov, Stanislav, Pesenti, Theo, Palacci, Henri, Blanchet, Jose, Hess, Henry

Volltext

Exact simulation of multidimensional reflected Brownian motion von Blanchet, Jose, Murthy, Karthyek

Volltext

Efficient simulation of tail probabilities of sums of correlated lognormals von Asmussen, Søren, Blanchet, José, Juneja, Sandeep, Rojas-Nandayapa, Leonardo

Volltext

Robust Wasserstein profile inference and applications to machine learning von Blanchet, Jose, Kang, Yang, Murthy, Karthyek

Volltext

EFFICIENT MONTE CARLO FOR HIGH EXCURSIONS OF GAUSSIAN RANDOM FIELDS von Adler, Robert J., Blanchet, Jose H., Liu, Jingchen

Volltext

Sample Out-of-Sample Inference Based on Wasserstein Distance von Blanchet, Jose, Kang, Yang

Volltext

A Markov Chain Approximation to Choice Modeling von Blanchet, Jose, Gallego, Guillermo, Goyal, Vineet

Volltext

Distributionally Robust Mean-Variance Portfolio Selection with Wasserstein Distances von Blanchet, Jose, Chen, Lin, Zhou, Xun Yu

Volltext

On exact sampling of stochastic perpetuities von Blanchet, Jose H., Sigman, Karl

Volltext

Efficient Importance Sampling for Binary Contingency Tables von Blanchet, Jose H.

Volltext

Approximations for the distribution of perpetuities with small discount rates von Blanchet, Jose, Glynn, Peter

Volltext

Exact simulation for multivariate Itô diffusions von Blanchet, Jose, Zhang, Fan

Volltext

Confidence regions in Wasserstein distributionally robust estimation von Blanchet, Jose, Murthy, Karthyek, Si, Nian

Volltext

Asymptotic robustness of estimators in rare-event simulation von L'Ecuyer, Pierre, Blanchet, Jose H., Tuffin, Bruno, Glynn, Peter W.

Volltext

Optimal Transport-Based Distributionally Robust Optimization: Structural Properties and Iterative Schemes von Blanchet, Jose, Murthy, Karthyek, Zhang, Fan

Volltext