Edit Profile Glynn, Peter W. Compute Distance To: Compute Author ID: glynn.peter-w Published as: Glynn, P.; Glynn, P. W.; Glynn, Peter; Glynn, Peter W. Homepage: https://web.stanford.edu/~glynn/ External Links: MGP · Wikidata · dblp · GND Documents Indexed: 182 Publications since 1982, including 4 Books all top 5 Co-Authors 20 single-authored 18 Whitt, Ward 14 Iglehart, Donald L. 13 Blanchet, Jose H. 7 Asmussen, Søren 7 Heidelberger, Philip 6 L’Ecuyer, Pierre 5 Fox, Bennett L. 5 Henderson, Shane G. 5 Zeevi, Assaf J. 4 Calvin, James M. 4 Haas, Peter J. 4 Thorisson, Hermann 4 Wang, Rob J. 3 Andradóttir, Sigrún 3 Araman, Victor F. 3 Awad, Hernan P. 3 Bambos, Nicholas 3 Glynn, John E. 3 Olvera-Cravioto, Mariana 3 Pihlsgård, Mats 3 Rubinstein, Reuven Y. 3 Sigman, Karl 3 Ward, Amy R. 2 Andersen, Lars Nørvang 2 Chia, Yen Lin 2 Duffie, James Darrell 2 Ensor, Katherine Bennett 2 Giroux, Nataly 2 Infanger, Gerd 2 Juneja, Sandeep 2 Leder, Kevin 2 Mandjes, Michel Robertus Hendrikus 2 Meyn, Sean P. 2 Muñoz, David Fernando 2 Nakayama, Marvin K. 2 Ormoneit, Dirk 2 Rhee, Chang-Han 2 Torres, Marcelo 2 Tuffin, Bruno 2 Wong, Eugene W. 2 Xia, Cathy Honghui 2 Zhang, Xiaowei 2 Zheng, Zeyu 2 Zhou, Zhengyuan 1 Ata, Baris 1 Aurzada, Frank 1 Bradley, James R. 1 Chan, Joshua C. C. 1 Damerdji, Halim 1 Dantzig, George Bernard 1 DiCiccio, Thomas J. 1 Dolgin, Andrey 1 Eaves, B. Curtis 1 Gelenbe, Sami Erol 1 Ghosh, Soumyadip 1 Giesecke, Kay 1 Glasserman, Paul 1 Goldsmith, Andrea J. 1 Goyal, Ambuj 1 Gupta, Syamantak Datta 1 Hashemi, Fatemeh S. 1 Holliday, Tim 1 Hsieh, Ming-hua 1 Kroese, Dirk P. 1 Lam, Henry 1 Lee, Shing-Hoi 1 Levitt, Raymond E. 1 Lim, Eunji 1 Liu, Jingchen 1 Maejima, Makoto 1 Mazumdar, Ravi R. 1 Melamed, Benjamin 1 Michailidis, George C. 1 Mikosch, Thomas 1 Nasrallah, Walid F. 1 Norros, Ilkka 1 Owen, Art B. 1 Pasupathy, Raghu 1 Peng, Xiaoshan 1 Pitman, Jim William 1 Plevritis, Sylvia K. 1 Rai, Sanatan 1 Rolski, Tomasz 1 Rothblum, Uriel George 1 Rubino, Gerardo 1 Rusmevichientong, Paat 1 Salzman, Peter Jay 1 Shanbhag, Uday V. 1 Shanthikumar, Jeyaveerasingam George 1 Simon, Thomas 1 Szechtman, Roberto 1 Vaisman, Radislav 1 Van Roy, Benjamin 1 Wang, Zizhuo 1 Ye, Yinyu 1 Zheng, Suyi all top 5 Serials 18 Queueing Systems 16 ACM Transactions on Modeling and Computer Simulation 14 Operations Research 12 Management Science 11 Journal of Applied Probability 11 The Annals of Applied Probability 9 Operations Research Letters 8 Advances in Applied Probability 8 Mathematics of Operations Research 8 Stochastic Processes and their Applications 8 Probability in the Engineering and Informational Sciences 3 Communications in Statistics. Stochastic Models 2 Statistics & Probability Letters 2 Annals of Operations Research 2 SIAM Journal on Applied Mathematics 2 Stochastic Models 1 IEEE Transactions on Information Theory 1 The Annals of Probability 1 Econometrica 1 IEEE Transactions on Automatic Control 1 Journal of Multivariate Analysis 1 Journal of Statistical Planning and Inference 1 Naval Research Logistics 1 SIAM Journal on Scientific and Statistical Computing 1 Probability and Mathematical Statistics 1 Acta Applicandae Mathematicae 1 Stochastic Hydrology and Hydraulics 1 ORSA Journal on Computing 1 Communications in Statistics. Theory and Methods 1 Journal of Statistical Computation and Simulation 1 Mathematical Programming. Series A. Series B 1 SIAM Journal on Optimization 1 Computational & Mathematical Organization Theory 1 Statistical Methods in Medical Research 1 Computational Management Science 1 Lecture Notes in Mathematics 1 Stochastic Modelling and Applied Probability 1 Stochastic Systems 1 Springer Proceedings in Mathematics & Statistics 1 European Series in Applied and Industrial Mathematics (ESAIM): Proceedings and Surveys all top 5 Fields 134 Probability theory and stochastic processes (60-XX) 60 Numerical analysis (65-XX) 51 Statistics (62-XX) 49 Operations research, mathematical programming (90-XX) 18 Computer science (68-XX) 10 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 10 Systems theory; control (93-XX) 4 General and overarching topics; collections (00-XX) 2 History and biography (01-XX) 2 Ordinary differential equations (34-XX) 1 Number theory (11-XX) 1 Linear and multilinear algebra; matrix theory (15-XX) 1 Dynamical systems and ergodic theory (37-XX) 1 Approximations and expansions (41-XX) 1 Calculus of variations and optimal control; optimization (49-XX) 1 Fluid mechanics (76-XX) 1 Statistical mechanics, structure of matter (82-XX) 1 Geophysics (86-XX) 1 Information and communication theory, circuits (94-XX) 1 Mathematics education (97-XX) Publications by Year all cited Publications top 5 cited Publications Citations contained in zbMATH 150 Publications have been cited 1,774 times in 1,307 Documents Cited by ▼ Year ▼ Stochastic simulation: Algorithms and analysis. Zbl 1126.65001Asmussen, Søren; Glynn, Peter W. 212 2007 A Liapounov bound for solutions of the Poisson equation. Zbl 0863.60063Glynn, Peter W.; Meyn, Sean P. 71 1996 A diffusion approximation for a Markovian queue with reneging. Zbl 1054.60100Ward, Amy R.; Glynn, Peter W. 60 2003 Logarithmic asymptotics for steady-state tail probabilities in a single- server queue. Zbl 0805.60093Glynn, Peter W.; Whitt, Ward 56 1994 Importance sampling for stochastic simulations. Zbl 0691.65107Glynn, Peter W.; Iglehart, Donald L. 54 1989 Queues with negative arrivals. Zbl 0744.60110Gelenbe, Erol; Glynn, Peter; Sigman, Karl 51 1991 Departures from many queues in series. Zbl 0749.60090Glynn, Peter W.; Whitt, Ward 49 1991 Efficient Monte Carlo simulation of security prices. Zbl 0877.65099Duffie, Darrell; Glynn, Peter 48 1995 A diffusion approximation for a GI/GI/1 queue with balking or reneging. Zbl 1094.60064Ward, Amy R.; Glynn, Peter W. 41 2005 The asymptotic efficiency of simulation estimators. Zbl 0760.62009Glynn, Peter W.; Whitt, Ward 41 1992 Properties of the reflected Ornstein-Uhlenbeck process. Zbl 1026.60106Ward, Amy R.; Glynn, Peter W. 40 2003 Parallel processors for planning under uncertainty. Zbl 0714.90074Dantzig, George B.; Glynn, Peter W. 40 1990 Efficient rare-event simulation for the maximum of heavy-tailed random walks. Zbl 1147.60315Blanchet, Jose; Glynn, Peter 35 2008 Hoeffding’s inequality for uniformly ergodic Markov chains. Zbl 0999.60019Glynn, Peter W.; Ormoneit, Dirk 34 2002 Discretization error in simulation of one-dimensional reflecting Brownian motion. Zbl 0853.65147Asmussen, Søren; Glynn, Peter; Pitman, Jim 34 1995 Unbiased estimation with square root convergence for SDE models. Zbl 1347.65016Rhee, Chang-Han; Glynn, Peter W. 32 2015 Stationarity detection in the initial transient problem. Zbl 0842.68106Asmussen, Søren; Glynn, Peter W.; Thorisson, Hermann 30 1992 Simulation output analysis using standardized time series. Zbl 0704.65110Glynn, Peter W.; Iglehart, Donald L. 29 1990 Estimation of continuous-time Markov processes sampled at random time intervals. Zbl 1142.62390Duffie, Darrell; Glynn, Peter 27 2004 Large deviations behavior of counting processes and their inverses. Zbl 0805.60023Glynn, Peter W.; Whitt, Ward 24 1994 A central-limit-theorem version of \(L=\lambda W\). Zbl 0676.60088Glynn, P. W.; Whitt, W. 24 1986 A new view of the heavy-traffic limit theorem for infinite-server queues. Zbl 0716.60105Glynn, Peter W.; Whitt, Ward 23 1991 Likelihood robust optimization for data-driven problems. Zbl 1397.90225Wang, Zizhuo; Glynn, Peter W.; Ye, Yinyu 21 2016 Sufficient conditions for functional-limit-theorem versions of \(L=\lambda W\). Zbl 0681.60097Glynn, P. W.; Whitt, W. 17 1987 On the maximum workload of a queue fed by fractional Brownian motion. Zbl 1073.60089Zeevi, Assaf J.; Glynn, Peter W. 16 2000 Some topics in regenerative steady-state simulation. Zbl 0799.60084Glynn, Peter W. 16 1994 Limit theorems for cumulative processes. Zbl 0779.60021Glynn, Peter W.; Whitt, Ward 16 1993 The asymptotic validity of sequential stopping rules for stochastic simulations. Zbl 0792.68200Glynn, Peter W.; Whitt, Ward 16 1992 Indirect estimation via \(L=\lambda W\). Zbl 0719.62098Glynn, Peter W.; Whitt, Ward 16 1989 Simulation methods of queues: An overview. Zbl 0665.60101Glynn, Peter W.; Iglehart, Donald L. 15 1988 Consistency of multidimensional convex regression. Zbl 1342.62064Lim, Eunji; Glynn, Peter W. 14 2012 Fluid heuristics, Lyapunov bounds and efficient importance sampling for a heavy-tailed \(G/G/1\) queue. Zbl 1145.90350Blanchet, J.; Glynn, P.; Liu, J. C. 14 2007 A nonparametric approach to multiproduct pricing. Zbl 1167.90494Rusmevichientong, Paat; Van Roy, Benjamin; Glynn, Peter W. 14 2006 Stochastic optimization by simulation: Numerical experiments with the \(M/M/1\) queue in steady-state. Zbl 0822.90066L’Ecuyer, Pierre; Giroux, Nataly; Glynn, Peter W. 14 1994 A complementarity framework for forward contracting under uncertainty. Zbl 1235.91074Shanbhag, Uday V.; Infanger, Gerd; Glynn, Peter W. 13 2011 Exact estimation for Markov chain equilibrium expectations. Zbl 1312.65003Glynn, Peter W.; Rhee, Chang-Han 12 2014 Simulating the maximum of a random walk. Zbl 0974.60030Ensor, Katherine Bennett; Glynn, Peter W. 12 2000 Ordinary CLT and WLLN versions of \(L=\lambda W\). Zbl 0685.90043Glynn, Peter W.; Whitt, Ward 12 1988 An LIL version of \(L=\lambda W\). Zbl 0665.90033Glynn, Peter W.; Whitt, Ward 12 1988 A new proof of convergence of MCMC via the ergodic theorem. Zbl 1232.65015Asmussen, Søren; Glynn, Peter W. 11 2011 Bounding stationary expectations of Markov processes. Zbl 1170.68389Glynn, Peter W.; Zeevi, Assaf 11 2008 Complete corrected diffusion approximations for the maximum of a random walk. Zbl 1132.60038Blanchet, Jose; Glynn, Peter 11 2006 Necessary conditions in limit theorems for cumulative processes. Zbl 1059.60025Glynn, Peter W.; Whitt, Ward 11 2002 Some new perspectives on the method of control variates. Zbl 1002.65016Glynn, Peter W.; Szechtman, Roberto 11 2002 Likelihood ratio gradient estimation for stochastic recursions. Zbl 0835.62071Glynn, Peter W.; L’Ecuyer, Pierre 11 1995 Poisson’s equation for the recurrent \(M/G/1\) queue. Zbl 0820.60073Glynn, Peter W. 11 1994 On the transition from heavy traffic to heavy tails for the \(M/G/1\) queue: the regularly varying case. Zbl 1216.41033Olvera-Cravioto, Mariana; Blanchet, Jose; Glynn, Peter 10 2011 Uniform renewal theory with applications to expansions of random geometric sums. Zbl 1132.60060Blanchet, J.; Glynn, P. 10 2007 On Lyapunov inequalities and subsolutions for efficient importance sampling. Zbl 06859988Blanchet, Jose; Glynn, Peter; Leder, Kevin 9 2012 Tail asymptotics for the maximum of perturbed random walk. Zbl 1118.60073Araman, Victor F.; Glynn, Peter W. 9 2006 Managing capacity and inventory jointly in manufacturing systems. Zbl 1232.90026Bradley, James R.; Glynn, Peter W. 9 2002 Large deviations for the infinite server queue in heavy traffic. Zbl 0823.60021Glynn, Peter W. 9 1995 Stochastic optimization by simulation: Convergence proofs for the \(GI/G/1\) queue in steady-state. Zbl 0823.90046L’Ecuyer, Pierre; Glynn, Peter W. 9 1994 Analysis of parallel replicated simulations under a completion time constraint. Zbl 0842.65099Glynn, Peter W.; Heidelberger, Philip 9 1991 Estimating the asymptotic variance with batch means. Zbl 0744.62113Glynn, Peter W.; Whitt, Ward 9 1991 Efficient simulation of light-tailed sums: An old-folk song sung to a faster new tune…. Zbl 1191.65002Blanchet, Jose H.; Leder, Kevin; Glynn, Peter W. 8 2009 Trading securities using trailing stops. Zbl 0859.90025Glynn, Peter W.; Iglehart, Donald L. 8 1995 Extensions of the queueing relations \(L=\lambda W\) and \(H=\lambda G\). Zbl 0677.90032Glynn, Peter W.; Whitt, Ward 8 1989 Affine point processes: approximation and efficient simulation. Zbl 1331.60084Zhang, Xiaowei; Blanchet, Jose; Giesecke, Kay; Glynn, Peter W. 7 2015 Simulation-based computation of the workload correlation function in a Lévy-driven queue. Zbl 1213.60147Glynn, Peter W.; Mandjes, Michel 7 2011 Asymptotic robustness of estimators in rare-event simulation. Zbl 1386.65066L’Ecuyer, Pierre; Blanchet, Jose H.; Tuffin, Bruno; Glynn, Peter W. 7 2010 Recurrence properties of autoregressive processes with super - heavy - tailed innovations. Zbl 1115.62092Zeevi, Assaf; Glynn, Peter W. 7 2004 On functional central limit theorems for semi-Markov and related processes. Zbl 1114.60320Glynn, Peter W.; Haas, Peter J. 7 2004 Heavy-traffic extreme-value limits for queues. Zbl 0854.60094Glynn, Peter W.; Whitt, Ward 7 1995 Diffusion approximations. Zbl 0703.60072Glynn, Peter W. 7 1990 Discrete-time conversion for simulating finite-horizon Markov processes. Zbl 0825.60043Fox, Bennett L.; Glynn, Peter W. 7 1990 Upper bounds on Poisson tail probabilities. Zbl 0616.60020Glynn, Peter W. 7 1987 Discrete-time conversion for simulating semi-Markov processes. Zbl 0612.60081Fox, Bennett L.; Glynn, Peter W. 7 1986 On sampling rates in simulation-based recursions. Zbl 1380.93168Pasupathy, Raghu; Glynn, Peter; Ghosh, Soumyadip; Hashemi, Fatemeh S. 6 2018 Capacity of finite state channels based on Lyapunov exponents of random matrices. Zbl 1309.94062Holliday, Tim; Goldsmith, Andrea J.; Glynn, Peter W. 6 2006 Computing densities for Markov chains via simulation. Zbl 1082.62071Henderson, Shane G.; Glynn, Peter W. 6 2001 Regenerative structure of Markov chains simulated via common random numbers. Zbl 0576.60082Glynn, Peter W. 6 1985 Some asymptotic formulas for Markov chains with applications to simulation. Zbl 0585.60072Glynn, Peter W. 6 1984 Simulation-based confidence bounds for two-stage stochastic programs. Zbl 1286.90101Glynn, Peter W.; Infanger, Gerd 5 2013 Fractional Brownian motion with \(H < \frac{1}{2}\) as a limit of scheduled traffic. Zbl 1255.60062Araman, Victor F.; Glynn, Peter W. 5 2012 Kernel-based reinforcement learning in average-cost problems. Zbl 1364.90349Ormoneit, Dirk; Glynn, Peter 5 2002 Two-sided taboo limits for Markov processes and associated perfect simulation. Zbl 1047.60066Glynn, Peter W.; Thorisson, Hermann 5 2001 A batch means methodology for estimation of a nonlinear function of a steady-state mean. Zbl 0908.62088Muñoz, David F.; Glynn, Peter W. 5 1997 Simulation output analysis for general state space Markov chains. Zbl 0642.65097Glynn, Peter W.; Iglehart, Donald L. 5 1982 On the marginal standard error rule and the testing of initial transient deletion methods. Zbl 1371.65012Wang, Rob J.; Glynn, Peter W. 4 2016 Analysis of a stochastic approximation algorithm for computing quasi-stationary distributions. Zbl 1352.60106Blanchet, J.; Glynn, P.; Zheng, S. 4 2016 Large deviations for the empirical mean of an M/M/\(1\) queue. Zbl 1282.60090Blanchet, Jose; Glynn, Peter; Meyn, Sean 4 2013 A comparison of cross-entropy and variance minimization strategies. Zbl 1241.65021Chan, Joshua C. C.; Glynn, Peter W.; Kroese, Dirk P. 4 2011 Conditional limit theorems for regulated fractional Brownian motion. Zbl 1204.60084Awad, Hernan; Glynn, Peter 4 2009 Estimating tail decay for stationary sequences via extreme values. Zbl 1044.62053Zeevi, Assaf; Glynn, Peter W. 4 2004 Computing the distribution function of a conditional expectation via Monte Carlo: discrete conditioning spaces. Zbl 1390.65005Lee, Shing-Hoi; Glynn, Peter W. 4 2003 Approximating martingales for variance reduction in Markov process simulation. Zbl 1082.60516Henderson, Shane G.; Glynn, Peter W. 4 2002 On the asymptotic optimality of the SPT rule for the flow shop average completion time problem. Zbl 1106.90333Xia, Cathy H.; Shanthikumar, J. George; Glynn, Peter W. 4 2000 Notes: Conditions for the applicability of the regenerative method. Zbl 0796.62072Glynn, Peter W.; Iglehart, Donald L. 4 1993 Uniform Cesaro limit theorems for synchronous processes with applications to queues. Zbl 0743.60023Glynn, Peter; Sigman, Karl 4 1992 Estimation of steady-state central moments by the regenerative method of simulation. Zbl 0631.62095Glynn, Peter W.; Iglehart, Donald L. 4 1986 On the Markov property of the GI/G/infinity Gaussian limit. Zbl 0482.60092Glynn, Peter W. 4 1982 A CLT for infinitely stratified estimators, with applications to debiased MLMC. Zbl 1384.60039Zheng, Zeyu; Glynn, Peter W. 3 2017 On the dynamics of semimartingales with two reflecting barriers. Zbl 1282.60047Pihlsgård, Mats; Glynn, Peter W. 3 2013 On the dynamics of a finite buffer queue conditioned on the amount of loss. Zbl 1210.60104Zhang, Xiaowei; Glynn, Peter W. 3 2011 On convergence to stationarity of fractional Brownian storage. Zbl 1187.60029Mandjes, Michel; Norros, Ilkka; Glynn, Peter 3 2009 On the theoretical comparison of low-bias steady-state estimators. Zbl 1281.62187Awad, Hernan P.; Glynn, Peter W. 3 2007 Simulation-based parameter estimation for complex models: a breast cancer natural history modelling illustration. Zbl 1121.62585Chia, Yen Lin; Salzman, Peter; Plevritis, Sylvia K.; Glynn, Peter W. 3 2004 Estimating tail probabilities in queues via extremal statistics. Zbl 0980.60067Glynn, P. W.; Zeevi, A. J. 3 2000 A diffusion approximation for a network of reservoirs with power law release rule. Zbl 0873.76069Glynn, J. E.; Glynn, P. W. 3 1996 On sampling rates in simulation-based recursions. Zbl 1380.93168Pasupathy, Raghu; Glynn, Peter; Ghosh, Soumyadip; Hashemi, Fatemeh S. 6 2018 Rates of convergence and CLTs for subcanonical debiased MLMC. Zbl 1405.60034Zheng, Zeyu; Blanchet, Jose; Glynn, Peter W. 2 2018 On the rate of convergence to equilibrium for reflected Brownian motion. Zbl 1408.60019Glynn, Peter W.; Wang, Rob J. 2 2018 Monte Carlo and quasi-Monte Carlo methods, MCQMC 2016. Proceedings of the 12th international conference on ‘Monte Carlo and quasi-Monte Carlo methods in scientific computing’, Stanford, CA, August 14–19, 2016. Zbl 1400.65006Owen, Art B. (ed.); Glynn, Peter W. (ed.) 1 2018 A CLT for infinitely stratified estimators, with applications to debiased MLMC. Zbl 1384.60039Zheng, Zeyu; Glynn, Peter W. 3 2017 An equilibrium analysis of a discrete-time Markovian queue with endogenous abandonments. Zbl 1370.60159Ata, Baris; Glynn, Peter W.; Peng, Xiaoshan 2 2017 Recurrence classification for a family of non-linear storage models. Zbl 1393.60076Glynn, Peter W.; Glynn, John E.; Rai, Sanatan 1 2017 Likelihood robust optimization for data-driven problems. Zbl 1397.90225Wang, Zizhuo; Glynn, Peter W.; Ye, Yinyu 21 2016 On the marginal standard error rule and the testing of initial transient deletion methods. Zbl 1371.65012Wang, Rob J.; Glynn, Peter W. 4 2016 Analysis of a stochastic approximation algorithm for computing quasi-stationary distributions. Zbl 1352.60106Blanchet, J.; Glynn, P.; Zheng, S. 4 2016 Dynamics on linear influence network games under stochastic environments. Zbl 06667366Zhou, Zhengyuan; Bambos, Nicholas; Glynn, Peter 1 2016 Unbiased estimation with square root convergence for SDE models. Zbl 1347.65016Rhee, Chang-Han; Glynn, Peter W. 32 2015 Affine point processes: approximation and efficient simulation. Zbl 1331.60084Zhang, Xiaowei; Blanchet, Jose; Giesecke, Kay; Glynn, Peter W. 7 2015 Lévy processes with two-sided reflection. Zbl 1338.60126Andersen, Lars Nørvang; Asmussen, Søren; Glynn, Peter W.; Pihlsgård, Mats 2 2015 Central limit theorems and large deviations for additive functionals of reflecting diffusion processes. Zbl 1368.60083Glynn, Peter W.; Wang, Rob J. 1 2015 Exact estimation for Markov chain equilibrium expectations. Zbl 1312.65003Glynn, Peter W.; Rhee, Chang-Han 12 2014 Simulation-based confidence bounds for two-stage stochastic programs. Zbl 1286.90101Glynn, Peter W.; Infanger, Gerd 5 2013 Large deviations for the empirical mean of an M/M/\(1\) queue. Zbl 1282.60090Blanchet, Jose; Glynn, Peter; Meyn, Sean 4 2013 On the dynamics of semimartingales with two reflecting barriers. Zbl 1282.60047Pihlsgård, Mats; Glynn, Peter W. 3 2013 Asymptotic simulation efficiency based on large deviations. Zbl 1386.65049Glynn, Peter W.; Juneja, Sandeep 1 2013 Consistency of multidimensional convex regression. Zbl 1342.62064Lim, Eunji; Glynn, Peter W. 14 2012 On Lyapunov inequalities and subsolutions for efficient importance sampling. Zbl 06859988Blanchet, Jose; Glynn, Peter; Leder, Kevin 9 2012 Fractional Brownian motion with \(H < \frac{1}{2}\) as a limit of scheduled traffic. Zbl 1255.60062Araman, Victor F.; Glynn, Peter W. 5 2012 A complementarity framework for forward contracting under uncertainty. Zbl 1235.91074Shanbhag, Uday V.; Infanger, Gerd; Glynn, Peter W. 13 2011 A new proof of convergence of MCMC via the ergodic theorem. Zbl 1232.65015Asmussen, Søren; Glynn, Peter W. 11 2011 On the transition from heavy traffic to heavy tails for the \(M/G/1\) queue: the regularly varying case. Zbl 1216.41033Olvera-Cravioto, Mariana; Blanchet, Jose; Glynn, Peter 10 2011 Simulation-based computation of the workload correlation function in a Lévy-driven queue. Zbl 1213.60147Glynn, Peter W.; Mandjes, Michel 7 2011 A comparison of cross-entropy and variance minimization strategies. Zbl 1241.65021Chan, Joshua C. C.; Glynn, Peter W.; Kroese, Dirk P. 4 2011 On the dynamics of a finite buffer queue conditioned on the amount of loss. Zbl 1210.60104Zhang, Xiaowei; Glynn, Peter W. 3 2011 Uniform approximations for the \(M/G/1\) queue with subexponential processing times. Zbl 1242.60095Olvera-Cravioto, Mariana; Glynn, Peter W. 2 2011 On exponential limit laws for hitting times of rare sets for Harris chains and processes. Zbl 1233.60013Glynn, Peter W. 1 2011 Asymptotic robustness of estimators in rare-event simulation. Zbl 1386.65066L’Ecuyer, Pierre; Blanchet, Jose H.; Tuffin, Bruno; Glynn, Peter W. 7 2010 Efficient simulation of light-tailed sums: An old-folk song sung to a faster new tune…. Zbl 1191.65002Blanchet, Jose H.; Leder, Kevin; Glynn, Peter W. 8 2009 Conditional limit theorems for regulated fractional Brownian motion. Zbl 1204.60084Awad, Hernan; Glynn, Peter 4 2009 On convergence to stationarity of fractional Brownian storage. Zbl 1187.60029Mandjes, Michel; Norros, Ilkka; Glynn, Peter 3 2009 Rare event simulation for a slotted time M/G/s model. Zbl 1209.90105Blanchet, J.; Glynn, P.; Lam, H. 2 2009 How to deal with the curse of dimensionality of likelihood ratios in Monte Carlo simulation. Zbl 1181.60076Rubinstein, Reuven Y.; Glynn, Peter W. 2 2009 Robustness properties and confidence interval reliability issues. Zbl 1165.62026Glynn, Peter W.; Rubino, Gerardo; Tuffin, Bruno 1 2009 Efficient rare-event simulation for the maximum of heavy-tailed random walks. Zbl 1147.60315Blanchet, Jose; Glynn, Peter 35 2008 Bounding stationary expectations of Markov processes. Zbl 1170.68389Glynn, Peter W.; Zeevi, Assaf 11 2008 Stochastic simulation: Algorithms and analysis. Zbl 1126.65001Asmussen, Søren; Glynn, Peter W. 212 2007 Fluid heuristics, Lyapunov bounds and efficient importance sampling for a heavy-tailed \(G/G/1\) queue. Zbl 1145.90350Blanchet, J.; Glynn, P.; Liu, J. C. 14 2007 Uniform renewal theory with applications to expansions of random geometric sums. Zbl 1132.60060Blanchet, J.; Glynn, P. 10 2007 On the theoretical comparison of low-bias steady-state estimators. Zbl 1281.62187Awad, Hernan P.; Glynn, Peter W. 3 2007 A nonparametric approach to multiproduct pricing. Zbl 1167.90494Rusmevichientong, Paat; Van Roy, Benjamin; Glynn, Peter W. 14 2006 Complete corrected diffusion approximations for the maximum of a random walk. Zbl 1132.60038Blanchet, Jose; Glynn, Peter 11 2006 Tail asymptotics for the maximum of perturbed random walk. Zbl 1118.60073Araman, Victor F.; Glynn, Peter W. 9 2006 Capacity of finite state channels based on Lyapunov exponents of random matrices. Zbl 1309.94062Holliday, Tim; Goldsmith, Andrea J.; Glynn, Peter W. 6 2006 Laws of large numbers and functional central limit theorems for generalized semi-Markov processes. Zbl 1094.60020Glynn, Peter W.; Haas, Peter J. 2 2006 The semi-regenerative method of simulation output analysis. Zbl 06886433Calvin, James M.; Glynn, Peter W.; Nakayama, Marvin K. 1 2006 A diffusion approximation for a GI/GI/1 queue with balking or reneging. Zbl 1094.60064Ward, Amy R.; Glynn, Peter W. 41 2005 Diffusion approximations for the maximum of a perturbed random walk. Zbl 1086.60020Araman, Victor F.; Glynn, Peter W. 1 2005 Estimation of continuous-time Markov processes sampled at random time intervals. Zbl 1142.62390Duffie, Darrell; Glynn, Peter 27 2004 Recurrence properties of autoregressive processes with super - heavy - tailed innovations. Zbl 1115.62092Zeevi, Assaf; Glynn, Peter W. 7 2004 On functional central limit theorems for semi-Markov and related processes. Zbl 1114.60320Glynn, Peter W.; Haas, Peter J. 7 2004 Estimating tail decay for stationary sequences via extreme values. Zbl 1044.62053Zeevi, Assaf; Glynn, Peter W. 4 2004 Simulation-based parameter estimation for complex models: a breast cancer natural history modelling illustration. Zbl 1121.62585Chia, Yen Lin; Salzman, Peter; Plevritis, Sylvia K.; Glynn, Peter W. 3 2004 Limit theory for taboo-regenerative processes. Zbl 1061.90031Glynn, Peter W.; Thorisson, Hermann 2 2004 A diffusion approximation for a Markovian queue with reneging. Zbl 1054.60100Ward, Amy R.; Glynn, Peter W. 60 2003 Properties of the reflected Ornstein-Uhlenbeck process. Zbl 1026.60106Ward, Amy R.; Glynn, Peter W. 40 2003 Computing the distribution function of a conditional expectation via Monte Carlo: discrete conditioning spaces. Zbl 1390.65005Lee, Shing-Hoi; Glynn, Peter W. 4 2003 Nonexistence of a class of variate generation schemes. Zbl 1034.65002Henderson, Shane G.; Glynn, Peter W. 2 2003 Hoeffding’s inequality for uniformly ergodic Markov chains. Zbl 0999.60019Glynn, Peter W.; Ormoneit, Dirk 34 2002 Necessary conditions in limit theorems for cumulative processes. Zbl 1059.60025Glynn, Peter W.; Whitt, Ward 11 2002 Some new perspectives on the method of control variates. Zbl 1002.65016Glynn, Peter W.; Szechtman, Roberto 11 2002 Managing capacity and inventory jointly in manufacturing systems. Zbl 1232.90026Bradley, James R.; Glynn, Peter W. 9 2002 Kernel-based reinforcement learning in average-cost problems. Zbl 1364.90349Ormoneit, Dirk; Glynn, Peter 5 2002 Approximating martingales for variance reduction in Markov process simulation. Zbl 1082.60516Henderson, Shane G.; Glynn, Peter W. 4 2002 Structural characterization of taboo-stationarity for general processes in two-sided time. Zbl 1075.60517Glynn, Peter W.; Thorisson, Hermann 2 2002 Optimal control of parallel queues with batch service. Zbl 1019.90016Xia, Cathy H.; Michailidis, George; Bambos, Nicholas; Glynn, Peter W. 1 2002 Computing densities for Markov chains via simulation. Zbl 1082.62071Henderson, Shane G.; Glynn, Peter W. 6 2001 Two-sided taboo limits for Markov processes and associated perfect simulation. Zbl 1047.60066Glynn, Peter W.; Thorisson, Hermann 5 2001 Regenerative steady-state simulation of discrete-event systems. Zbl 06886311Henderson, Shane G.; Glynn, Peter W. 2 2001 Multivariate standardized time series for steady-state simulation output analysis. Zbl 1163.62344Muñoz, David F.; Glynn, Peter W. 1 2001 On the maximum workload of a queue fed by fractional Brownian motion. Zbl 1073.60089Zeevi, Assaf J.; Glynn, Peter W. 16 2000 Simulating the maximum of a random walk. Zbl 0974.60030Ensor, Katherine Bennett; Glynn, Peter W. 12 2000 On the asymptotic optimality of the SPT rule for the flow shop average completion time problem. Zbl 1106.90333Xia, Cathy H.; Shanthikumar, J. George; Glynn, Peter W. 4 2000 Estimating tail probabilities in queues via extremal statistics. Zbl 0980.60067Glynn, P. W.; Zeevi, A. J. 3 2000 Diversity and popularity in organizations and communities. Zbl 0917.90220Nasrallah, Walid; Glynn, Peter; Levitt, Raymond 1 1999 Strong approximations in queueing theory. Zbl 0937.60021Glynn, Peter W. 2 1998 Limit theory for performance modeling of future event set algorithms. Zbl 0988.90515Damerdji, Halim; Glynn, Peter W. 1 1998 Independent sampling of a stochastic process. Zbl 0932.60040Glynn, Peter; Sigman, Karl 1 1998 A batch means methodology for estimation of a nonlinear function of a steady-state mean. Zbl 0908.62088Muñoz, David F.; Glynn, Peter W. 5 1997 Stochastic optimization via grid search. Zbl 0894.60022Ensor, Katherine Bennett; Glynn, Peter W. 2 1997 Average case behavior of random search for the maximum. Zbl 0891.60080Calvin, James M.; Glynn, Peter W. 1 1997 A Liapounov bound for solutions of the Poisson equation. Zbl 0863.60063Glynn, Peter W.; Meyn, Sean P. 71 1996 A diffusion approximation for a network of reservoirs with power law release rule. Zbl 0873.76069Glynn, J. E.; Glynn, P. W. 3 1996 Nonparametric estimation of tail probabilities for the single-server queue. Zbl 0856.62036Glynn, Peter W.; Torres, Marcelo 2 1996 Efficient simulation via coupling. Zbl 1094.65504Glynn, Peter W.; Wong, Eugene W. 1 1996 Efficient Monte Carlo simulation of security prices. Zbl 0877.65099Duffie, Darrell; Glynn, Peter 48 1995 Discretization error in simulation of one-dimensional reflecting Brownian motion. Zbl 0853.65147Asmussen, Søren; Glynn, Peter; Pitman, Jim 34 1995 Likelihood ratio gradient estimation for stochastic recursions. Zbl 0835.62071Glynn, Peter W.; L’Ecuyer, Pierre 11 1995 Large deviations for the infinite server queue in heavy traffic. Zbl 0823.60021Glynn, Peter W. 9 1995 Trading securities using trailing stops. Zbl 0859.90025Glynn, Peter W.; Iglehart, Donald L. 8 1995 Heavy-traffic extreme-value limits for queues. Zbl 0854.60094Glynn, Peter W.; Whitt, Ward 7 1995 Accelerated regeneration for Markov chain simulations. Zbl 1336.60146Andradóttir, Sigrún; Calvin, James M.; Glynn, Peter W. 1 1995 A martingale approach to regenerative simulation. Zbl 1335.60164Glynn, Peter W.; Iglehart, Donald L. 1 1995 Logarithmic asymptotics for steady-state tail probabilities in a single- server queue. Zbl 0805.60093Glynn, Peter W.; Whitt, Ward 56 1994 Large deviations behavior of counting processes and their inverses. Zbl 0805.60023Glynn, Peter W.; Whitt, Ward 24 1994 Some topics in regenerative steady-state simulation. Zbl 0799.60084Glynn, Peter W. 16 1994 ...and 50 more Documents all cited Publications top 5 cited Publications all top 5 Cited by 1,913 Authors 56 Glynn, Peter W. 37 Mandjes, Michel Robertus Hendrikus 34 Blanchet, Jose H. 31 Whitt, Ward 20 Zwart, Bert P. 17 Asmussen, Søren 15 Meyn, Sean P. 13 Roberts, Gareth O. 11 Jasra, Ajay 10 Sigman, Karl 10 van Leeuwaarden, Johan S. H. 9 Bo, Lijun 9 Giles, Michael B. 9 Lam, Henry 9 Liu, Jingchen 8 Dębicki, Krzysztof 8 Goldsman, David M. 8 Nakayama, Marvin K. 8 Spiliopoulos, Konstantinos V. 8 Tempone, Raúl F. 8 Wang, Yongjin 7 Glasserman, Paul 7 Guo, Yongjiang 7 Heidergott, Bernd F. 7 Janssen, Augustus Josephus Elizabeth Maria 7 Lee, Chihoon 7 Miyazawa, Masakiyo 7 Shanbhag, Uday V. 6 Dupuis, Paul G. 6 Gobet, Emmanuel 6 Hernández-Lerma, Onésimo 6 Hobert, James P. 6 Infanger, Gerd 6 Jones, Galin L. 6 L’Ecuyer, Pierre 6 Minkevičius, Saulius 6 Nelson, Barry L. 6 Thorisson, Hermann 6 Tuffin, Bruno 6 Zhu, Lingjiong 5 Beskos, Alexandros 5 Boxma, Onno Johan 5 Budhiraja, Amarjit S. 5 Chen, Anyue 5 Del Moral, Pierre 5 Dieker, A. B. 5 Doucet, Arnaud 5 Duffy, Ken R. 5 Flegal, James M. 5 Fu, Michael C. 5 Gelenbe, Sami Erol 5 Haas, Peter J. 5 Hashorva, Enkelejd 5 Henderson, Shane G. 5 Jasso-Fuentes, Héctor 5 Juneja, Sandeep 5 Khare, Kshitij 5 Lelièvre, Tony 5 Li, Junping 5 Liu, Xin 5 Mandelbaum, Avi 5 Morton, David P. 5 Moulines, Eric 5 Nobile, Amelia G. 5 O’Connell, Neil 5 Prabhakar, Balaji 5 Ridder, Ad 5 Rubinstein, Reuven Y. 5 Seppäläinen, Timo 5 Weerasinghe, Ananda P. N. 5 Yang, Xuewei 4 Ata, Baris 4 Barth, Andrea 4 Bertrand, J. Will M. 4 Blom, Joke G. 4 Bréhier, Charles-Edouard 4 Calvin, James M. 4 Chen, Shih-Pin 4 Fox, Bennett L. 4 Gao, Xuefeng 4 Gatto, Riccardo 4 Huang, Junfei 4 Ivanovs, Jevgeņijs 4 Kebaier, Ahmed 4 Latuszynski, Krzysztof 4 Limnios, Nikolaos 4 Liu, Yuanyuan 4 Liu, Yunan 4 Mathijsen, Britt W. J. 4 Muñoz, David Fernando 4 Olvera-Cravioto, Mariana 4 Palmowski, Zbigniew 4 Pang, Guodong 4 Papaspiliopoulos, Omiros 4 Pavliotis, Grigorios A. 4 Pender, Jamol 4 Reed, Josh E. 4 Rhee, Chang-Han 4 Rojas-Nandayapa, Leonardo 4 Roy, Vivekananda ...and 1,813 more Authors all top 5 Cited in 222 Serials 106 Queueing Systems 62 The Annals of Applied Probability 55 European Journal of Operational Research 53 Journal of Applied Probability 51 Annals of Operations Research 49 Stochastic Processes and their Applications 40 Advances in Applied Probability 40 Operations Research Letters 28 Statistics & Probability Letters 28 Probability in the Engineering and Informational Sciences 21 Mathematical Programming. Series A. Series B 20 Bernoulli 19 Operations Research 18 Methodology and Computing in Applied Probability 17 Discrete Event Dynamic Systems 16 Journal of Statistical Physics 15 Statistics and Computing 14 Electronic Journal of Statistics 14 SIAM/ASA Journal on Uncertainty Quantification 13 The Annals of Statistics 13 Mathematics of Operations Research 13 ACM Transactions on Modeling and Computer Simulation 13 Stochastic Systems 12 Insurance Mathematics & Economics 12 INFORMS Journal on Computing 12 Stochastic Models 11 The Annals of Probability 11 Journal of Econometrics 11 Journal of Statistical Planning and Inference 10 Journal of Computational Physics 10 Automatica 10 Quantitative Finance 9 Stochastic Analysis and Applications 9 Computers & Operations Research 9 SIAM Journal on Scientific Computing 8 Journal of Computational and Applied Mathematics 8 Probability Theory and Related Fields 8 Applied Mathematical Modelling 8 Computational Statistics and Data Analysis 8 Monte Carlo Methods and Applications 8 Finance and Stochastics 7 Journal of Mathematical Analysis and Applications 7 Communications in Statistics. Theory and Methods 7 Journal of Statistical Computation and Simulation 7 SIAM Journal on Optimization 6 Scandinavian Journal of Statistics 6 Journal of Complexity 6 Journal of Theoretical Probability 6 Mathematical and Computer Modelling 6 Automation and Remote Control 5 Journal of the American Statistical Association 5 Naval Research Logistics 5 SIAM Journal on Numerical Analysis 5 Theoretical Computer Science 5 Statistical Science 5 Communications in Statistics. Simulation and Computation 5 SIAM Review 5 Cybernetics and Systems Analysis 5 Mathematical Methods of Operations Research 5 Multiscale Modeling & Simulation 5 Science China. Mathematics 4 Computers & Mathematics with Applications 4 Applied Mathematics and Optimization 4 Journal of Optimization Theory and Applications 4 Mathematics and Computers in Simulation 4 Probability and Mathematical Statistics 4 Acta Applicandae Mathematicae 4 Optimization 4 Algorithmica 4 Annales de l’Institut Henri Poincaré. Probabilités et Statistiques 4 Computational Optimization and Applications 4 European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics 4 Statistical Inference for Stochastic Processes 4 RAIRO. Operations Research 4 Scandinavian Actuarial Journal 4 Sādhanā 4 Frontiers of Mathematics in China 4 SIAM Journal on Financial Mathematics 3 Journal of Mathematical Physics 3 Bulletin of Mathematical Biology 3 Theory of Probability and its Applications 3 Applied Mathematics and Computation 3 Journal of Economic Theory 3 Journal of Multivariate Analysis 3 Theoretical Population Biology 3 Acta Mathematicae Applicatae Sinica. English Series 3 Statistics 3 Sequential Analysis 3 Asia-Pacific Journal of Operational Research 3 Random Structures & Algorithms 3 SIAM Journal on Applied Mathematics 3 Top 3 Electronic Journal of Probability 3 Electronic Communications in Probability 3 Mathematical Finance 3 International Journal of Theoretical and Applied Finance 3 Extremes 3 Econometric Theory 3 Journal of Machine Learning Research (JMLR) 3 ASTIN Bulletin ...and 122 more Serials all top 5 Cited in 37 Fields 819 Probability theory and stochastic processes (60-XX) 430 Operations research, mathematical programming (90-XX) 352 Numerical analysis (65-XX) 323 Statistics (62-XX) 165 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 115 Computer science (68-XX) 73 Systems theory; control (93-XX) 45 Statistical mechanics, structure of matter (82-XX) 29 Biology and other natural sciences (92-XX) 28 Partial differential equations (35-XX) 21 Calculus of variations and optimal control; optimization (49-XX) 15 Ordinary differential equations (34-XX) 13 Dynamical systems and ergodic theory (37-XX) 12 Combinatorics (05-XX) 12 Information and communication theory, circuits (94-XX) 11 Approximations and expansions (41-XX) 8 Number theory (11-XX) 8 Linear and multilinear algebra; matrix theory (15-XX) 7 Fluid mechanics (76-XX) 6 Operator theory (47-XX) 4 Functions of a complex variable (30-XX) 4 Special functions (33-XX) 4 Harmonic analysis on Euclidean spaces (42-XX) 4 Integral transforms, operational calculus (44-XX) 4 Global analysis, analysis on manifolds (58-XX) 2 General and overarching topics; collections (00-XX) 2 Measure and integration (28-XX) 2 Difference and functional equations (39-XX) 2 Mechanics of deformable solids (74-XX) 2 Quantum theory (81-XX) 2 Mathematics education (97-XX) 1 Order, lattices, ordered algebraic structures (06-XX) 1 Field theory and polynomials (12-XX) 1 Integral equations (45-XX) 1 Functional analysis (46-XX) 1 Mechanics of particles and systems (70-XX) 1 Classical thermodynamics, heat transfer (80-XX) Citations by Year Wikidata Timeline