Presentations and Invited Talks. (If you donít find slides, I might be able to find them or point you to the paper, just please send me an email.)
Exact Simulation of Objects Depending on Inifnite Future Information with Applications to Optimal Exact Simulation of Max-Stable Processes, EVA, 2015. Portugal, SIAM 2015 conference.
Multiscale Analysis of Limit Order Books, University of Chicago, Conference on High Frequency Trading at the Stevanovich Center, 2015.
Tolerance Enforced Simulation for Stochastic Differential Equations via Rough Path Analysis, Newton Institute, 2013; Conference in Monte Carlo, Warwick, 2014.
Exact Sampling of Multidimensional Reflected Brownian Motion, Tata Institute of Fundamental Research, India, 2014; Brown University 2015 and MCQMC 2014 (expended version).
A Markov Chain Substitution Scheme for Approximation of Choice Models, IBM Watson Theory, 2013.
Efficient Splitting-Based Rare Event Simulation Algorithms for Heavy-Tailed Sums, Winter Simulation Conference, 2013.
Modeling and Analysis of Systemic Risk Insurance Networks, New Direction in Management Science and Engineering, Stanford University, 2012; Conference in Monte Carlo, Ecole Polytechnique Paris, 2012.
Perfect Sampling for Infinite Server and Loss Systems, Winter Simulation Conference, 2012.
Steady-state Simulation for Reflected Brownian Motion and Related Networks, 10th International Stochastic Networks Conference, MIT, 2012; Princeton ORFE Colloquium (modified version), 2012.
On Lyapunov Bounds and Subsolutions of Efficient Importance Sampling Estimators, Seminar at Michigan, 2010.
Rare Event Simulation for Many Server Queues, Seminar at Cornell, 2010.
Efficient Rare Event Simulation for High Excursions of Gaussian Random Fields, Stanford Probability Seminar, 2010.
Optimal Sampling of Overflow Paths in Jackson Networks, Applied Probability Society Conference, 2009; Stochastic Networks Semester Activity at the Newton Institute, 2010.
Stochastic Networks Satellite Workshop in Edinburgh, 2010.
Efficient Rare Event Simulation of Continuous Time Markovian Perpetuities, Winter Simulation Conference, 2009.
Efficient Simulation for Light-Tailed Sums: An Old Folk Song Sung to a Faster New Tune, Monte Carlo and Quasi Monte Carlo Conference, 2008.
Total Variation Approximations and Conditional Limit Theorems for Multivariate Regularly Varying Random Walks on Ruin, Winter Simulation Conference, 2007.
Fast Simulation of Random Walks Avoiding Hard Obstacles. MCQMC (2008), Conference in Honor of Reuven Rubinstein (2008).
Rare-event Simulation of Multidimensional Heavy-tailed Random Walks, WSC. December (2007), Brown University, RESIM (2008).
Rare-event Analysis and Simulation of Heavy-tailed Systems, Appl. Prob. Day, Columbia University, June (2007).
Designing and Testing
Efficient Sequential Importance Sampling Estimator, DIMACS, June (2007).
Efficient Rare-event Simulation for Heavy-tailed Multiserver Queues, International Workshop on Rare Event Simulation. Univ. of Nice, France. May (2007).
Efficient Rare-event Simulation for Heavy-tailed Sums, WSC 06. December (2006).
Steinís Method for some
Stochastic Equations. INFORMS,
Rare-event Simulation for Compound Sums. RESIM 06, Bamberg, Germany. October (2006).
Large Deviations and State-dependent Importance sampling, Valuetools 06, Pisa, Italy. October (2006).
Cramer-Lundberg Asymptotics: A Heavy-traffic Perspective. Actuarial Research Conference, August (2006)
Exact Sampling, Drift and Minorization Conditions, IMS Meeting, Brazil. July (2006)
Counting, Rare-events and
Efficient Importance Sampling. International Workshop on Applied Probability,
Perfect Sampling for Engineering and Financial Applications, JSM,† Minneapolis. August (2005).
Computational Algorithms in Stochastic Modeling, 8th New Researchers
in Probability and Statistics.
Efficient Simulation of the
Maximum of Random Walk with Heavy-tailed Increments. INFORMS APS Meeting,
Asymptotics for Large Multiserver
Queues. 13th INFORMS APS Meeting,
Approximations for the Distribution of Infinite Horizon Discounted Rewards. 30th Stoch. Proc. and Their Applications Conference, UCSB, June (2005).
Approximations and Computational Algorithms in Insurance and Queueing. Electrical Engineering Seminar at DEAS Harvard. April, (2005); NESS, April (2005); Clarkson University, March (2005).
Approximations for Geometric Sums and Perturbed Renewal Equations, Operations Research Semina, Stanford. January, 2005.
Asymptotics for Large Multiserver Queues in Heavy-traffic, invited session for the 2005 (August) Applied Probability Society meeting, Ottawa.
Approximations and Limit Theorems for Insurance Risk and Queueing Theory, presented in 2004 at several Operations Research and Statistics Departments: Berkeley (OR), Columbia Business School, Harvard (Stat), NYU Stern, Texas A&M (OR), Universite de Montreal (OR), and Waterloo (Stat).
Asymptotics for Queues in Heavy-traffic, invited session 2004
INFORMS National Meeting,
Approximations for Infinite Variance Queues, invited session for 2004 INFORMS
Efficient Simulation of Ruin
Probabilities under Stochastic Return on Investments, accepted for the 2004
Applied Probability Society meeting,
Approximations for the
Distribution of Infinite Horizon Discounted Rewards, accepted for the 2004
Applied Probability Society meeting,
Rare Event Simulation and Perfect Sampling of Infinite Horizon Discounted Rewards, invited session for 2003 INFORMS National Meeting, Atlanta
Approximations for Queues in Heavy Traffic, invited session for 2003 INFORMS