Unbiased multilevel Monte Carlo: Stochastic optimization, steady-state simulation, quantiles, and other applications JH Blanchet, PW Glynn, Y Pei arXiv preprint arXiv:1904.09929, 2019 | 24 | 2019 |
Perfect sampling of GI/GI/c queues J Blanchet, J Dong, Y Pei Queueing Systems 90, 1-33, 2018 | 22 | 2018 |
Exact sampling for some multi-dimensional queueing models with renewal input J Blanchet, Y Pei, K Sigman Advances in Applied Probability 51 (4), 1179-1208, 2019 | 8* | 2019 |
Unraveling limit order books using just bid/ask prices J Blanchet, X Chen, Y Pei Preprint. Available at http://www. columbia. edu/∼ jb2814/papers/LOB_v1. pdf, 2017 | 3 | 2017 |
Exact Simulation Techniques in Applied Probability and Stochastic Optimization Y Pei Columbia University, 2018 | | 2018 |