Publications

Articles in Journals

• Optimal exact simulation of max-stable and related random fields (with Zhipeng Liu, Jose H. Blanchet, and Thomas Mikosch).
  Submitted for publication, 2017. (Download)
• Efficient fully sequential indifference-zone procedures using properties of multidimensional Brownian motion exiting a sphere (with Seong-Hee Kim).
  Submitted for publication, 2017.
• Spectral analysis of random-to-random Markov chains (with Franco Saliola).
  Advances in Mathematics, 323, p. 427-485, 2018. (Download; published version)
• A dichotomy for sampling barrier-crossing events of random walks with regularly varying tails (with Guido Lagos).
  Journal of Applied Probability, 54, p. 1213-1232, 2017. (Download; published version)
• Optimal resource capacity management for stochastic networks (with Soumyadip Ghosh and Mark Squillante).
  Operations Research, 65, p. 221-241, 2016. (Download published version)
• Exact simulation of Brown-Resnick random fields (with Thomas Mikosch).
  Extremes, 18, p. 301–314, 2015. (Download; published version, Matlab/R code)
  
• Randomized longest-queue-first scheduling for large-scale buffered systems (with Tonghoon Suk).
  Advances in Applied Probability, 47, p. 1015-1038, 2015. (Download; published version)
  
• Stochastic billiards for sampling from the boundary of a convex set (with Santosh Vempala).
  Mathematics of Operations Research, 40, p. 888-901, 2015. (Download; published version)
  
• Validity of heavy-traffic steady-state approximations in many-server queues with abandonment (with Jim Dai and Xuefeng Gao).
  Queueing Systems, 78, p. 1-29, 2014. (Download; published version)
  
• Sensitivity analysis for diffusion processes constrained to an orthant (with Xuefeng Gao).
  The Annals of Applied Probability, 24, p. 1918-1945, 2014. (Download)
• On asymptotic constants in the theory of Gaussian processes (with Benjamin Yakir).
  Bernoulli, 20, p. 1600-1619, 2014. (Download)
• From local to global stability in stochastic processing networks through quadratic Lyapunov functions (with Jinwoo Shin).
  Mathematics of Operations Research, 38, p. 638-664, 2013. (Download; published version)
  
• Cloud computing operations research (with Ilyas Iyoob and Emrah Zarifoglu).
  Service Science, 5, p. 88-101, 2013. (Download; published version)
  
• Positive recurrence of piecewise Ornstein-Uhlenbeck processes and common quadratic Lyapunov functions (with Xuefeng Gao).
  The Annals of Applied Probability, 23, p. 1291-1317, 2013. (Download)
• Extremes of Markov-additive processes with one-sided jumps, with queueing applications (with Michel Mandjes).
  Methodology and Computing in Applied Probability, 13, p. 221-267, 2011. (Download).
• Nonnegativity of solutions to the basic adjoint relationship for some diffusion processes (with Jim Dai).
  Queueing Systems, 68, p. 295-303, 2011. (Download; published version)
• Reflected Brownian motion.
  Wiley Encyclopedia of Operations Research and Management Science, 2010.
  (Email me for a softcopy of the article, or download published version.)
• Interlacings for random walks on weighted graphs and the interchange process.
  SIAM Journal on Discrete Mathematics, 24, p. 191-206, 2010. (Download; published version).
• Series Jackson networks and non-crossing probabilities (with Jon Warren).
  Mathematics of Operations Research, 35, p. 257-266, 2010. (Download; published version).
• On the largest-eigenvalue process for generalized Wishart random matrices (with Jon Warren).
  ALEA, 6, p. 369-376, 2009. (Download).
• Reflected Brownian motion in a wedge: sum-of-exponential stationary densities (with John Moriarty).
  Electronic Communications in Probability, 14, p. 1-16, 2009. (Download).
• Large deviations for random walks under subexponentiality: the big-jump domain (with Denis Denisov and Vsevolod Shneer).
  The Annals of Probability, 36, p. 1946-1991, 2008. (Download; published version).
• Determinantal transition kernels for some interacting particles on the line (with Jon Warren).
  Ann. Inst. H. Poincaré (B), 44, p. 1162-1172, 2008 (Download; published version).
• Quasi-product forms for Lévy-driven fluid networks (with Krzysztof Debicki and Tomasz Rolski).
  Mathematics of Operations Research, 32, 629-647, 2007. (Download; published version).
• Efficient simulation of random walks exceeding a non-linear boundary (with Michel Mandjes).
  Stochastic Models, 22, p. 459-481, 2006. (Download; published version).
• Applications of factorization embeddings for Lévy processes.
  Advances in Applied Probability, 38, p. 768-791, 2006. (Download; published version).
• Fast simulation of overflow probabilities in a queue with Gaussian input (with Michel Mandjes).
  ACM Transactions on Modeling and Computer Simulation, 16, p. 119-151, 2006. (Download; published version).
• Tails for (max,plus) recursions under subexponentiality (with Marc Lelarge).
  Queueing systems, 53, p. 213-230, 2006. (Download; published version).
• Conditional limit theorems for queues with Gaussian input, a weak convergence approach.
  Stochastic Processes and their Applications, 115, p. 849-873, 2005. (Download; published version).
• Extremes of Gaussian processes over an infinite horizon.
  Stochastic Processes and their Applications, 115, p. 207-248, 2005. (Download save-the-forest-version; published version).
• Reduced-load equivalence for queues with Gaussian input.
  Queueing Systems, 49, p. 405-414, 2005. (Download; published version).
• On asymptotically efficient simulation of large deviation probabilities (with Michel Mandjes).
  Advances in Applied Probability, 37, p. 539-552, 2005. (Download; published version).
• On spectral simulation of fractional Brownian motion (with Michel Mandjes).
  Probability in the Engineering and Informational Sciences, 17, p. 417-434, 2003. (Download; published version).

Articles in Conference Proceedings

• Diffusion approximations for large-scale buffered systems (with Tonghoon Suk).
  ACM/SIGMETRICS Performance Evaluation Review, 41, p. 49-51, 2013. (Download published version)
• Selecting the best by comparing simulated systems in a group of three when variances are known and unequal (with Seong-Hee Kim).
  Winter Simulation Conference 2012, paper 44. (Download published version).
  
• Selecting the best by comparing simulated systems in a group of three (with Seong-Hee Kim).
  Winter simulation conference 2011, p. 3992-4003, 2011. (Download published version).
• Capacity optimization in feedforward Brownian networks (with Soumyadip Ghosh and Mark Squillante).
  ACM/SIGMETRICS Performance Evaluation Review, 36, p. 137-139, 2008. (Download published version).

Articles for a General Audience

• Hoe het uitkeringspercentage van de vernieuwde Nederlandse Lotto te schatten?
  How to estimate the payout for the new Dutch Powerball lottery? (with Henk Tijms; in Dutch). Stator, April 2001. (Download).
• Over fractionele bewegingen, Noach en olifanten.
  On fractional motions, Noah and elephants (in Dutch). Stator, November 2004. (Download).
• Wachttijden op internet. Written by Ionica Smeets about my PhD research.