Some Presentations and Invited Talks. (If you don’t
find slides, I might be able to find them or point you to the paper, just
please send me an email.)
Tutorial: Optimal Transport Methods in Operations Research and Statistics, APS INFORMS, 2017, Northwestern University.
Exact Simulation of Multidimensional Diffusions, Newton Institute, 2017, Cambridge.
Optimal Transport in Risk Analysis, EVA 2017, TU Delft.
Robust Risk Analysis, IWAP 2016, Toronto.
Monte Carlo Methods for Spatial Extremes, MCQMC 2016, Stanford University.
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.
State-dependent
Importance Sampling for Random Walks with Regularly Varying Increments,
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).
Stein’s 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,
UConn. (2005),
Perfect Sampling for
Engineering and Financial Applications, JSM, Minneapolis. August (2005).
Approximations and
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,
Corrected Diffusion
Approximations for Infinite Variance Queues, invited session for 2004 INFORMS
National Meeting,
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
Corrected Diffusion
Approximations for Queues in Heavy Traffic, invited session for 2003 INFORMS
National Meeting,