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Glynn, Peter W.

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Author ID: glynn.peter-w Recent zbMATH articles by "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

Publications by Year

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 1126.65001
Asmussen, Søren; Glynn, Peter W.
212
2007
A Liapounov bound for solutions of the Poisson equation. Zbl 0863.60063
Glynn, Peter W.; Meyn, Sean P.
71
1996
A diffusion approximation for a Markovian queue with reneging. Zbl 1054.60100
Ward, Amy R.; Glynn, Peter W.
60
2003
Logarithmic asymptotics for steady-state tail probabilities in a single- server queue. Zbl 0805.60093
Glynn, Peter W.; Whitt, Ward
56
1994
Importance sampling for stochastic simulations. Zbl 0691.65107
Glynn, Peter W.; Iglehart, Donald L.
54
1989
Queues with negative arrivals. Zbl 0744.60110
Gelenbe, Erol; Glynn, Peter; Sigman, Karl
51
1991
Departures from many queues in series. Zbl 0749.60090
Glynn, Peter W.; Whitt, Ward
49
1991
Efficient Monte Carlo simulation of security prices. Zbl 0877.65099
Duffie, Darrell; Glynn, Peter
48
1995
A diffusion approximation for a GI/GI/1 queue with balking or reneging. Zbl 1094.60064
Ward, Amy R.; Glynn, Peter W.
41
2005
The asymptotic efficiency of simulation estimators. Zbl 0760.62009
Glynn, Peter W.; Whitt, Ward
41
1992
Properties of the reflected Ornstein-Uhlenbeck process. Zbl 1026.60106
Ward, Amy R.; Glynn, Peter W.
40
2003
Parallel processors for planning under uncertainty. Zbl 0714.90074
Dantzig, George B.; Glynn, Peter W.
40
1990
Efficient rare-event simulation for the maximum of heavy-tailed random walks. Zbl 1147.60315
Blanchet, Jose; Glynn, Peter
35
2008
Hoeffding’s inequality for uniformly ergodic Markov chains. Zbl 0999.60019
Glynn, Peter W.; Ormoneit, Dirk
34
2002
Discretization error in simulation of one-dimensional reflecting Brownian motion. Zbl 0853.65147
Asmussen, Søren; Glynn, Peter; Pitman, Jim
34
1995
Unbiased estimation with square root convergence for SDE models. Zbl 1347.65016
Rhee, Chang-Han; Glynn, Peter W.
32
2015
Stationarity detection in the initial transient problem. Zbl 0842.68106
Asmussen, Søren; Glynn, Peter W.; Thorisson, Hermann
30
1992
Simulation output analysis using standardized time series. Zbl 0704.65110
Glynn, Peter W.; Iglehart, Donald L.
29
1990
Estimation of continuous-time Markov processes sampled at random time intervals. Zbl 1142.62390
Duffie, Darrell; Glynn, Peter
27
2004
Large deviations behavior of counting processes and their inverses. Zbl 0805.60023
Glynn, Peter W.; Whitt, Ward
24
1994
A central-limit-theorem version of \(L=\lambda W\). Zbl 0676.60088
Glynn, P. W.; Whitt, W.
24
1986
A new view of the heavy-traffic limit theorem for infinite-server queues. Zbl 0716.60105
Glynn, Peter W.; Whitt, Ward
23
1991
Likelihood robust optimization for data-driven problems. Zbl 1397.90225
Wang, Zizhuo; Glynn, Peter W.; Ye, Yinyu
21
2016
Sufficient conditions for functional-limit-theorem versions of \(L=\lambda W\). Zbl 0681.60097
Glynn, P. W.; Whitt, W.
17
1987
On the maximum workload of a queue fed by fractional Brownian motion. Zbl 1073.60089
Zeevi, Assaf J.; Glynn, Peter W.
16
2000
Some topics in regenerative steady-state simulation. Zbl 0799.60084
Glynn, Peter W.
16
1994
Limit theorems for cumulative processes. Zbl 0779.60021
Glynn, Peter W.; Whitt, Ward
16
1993
The asymptotic validity of sequential stopping rules for stochastic simulations. Zbl 0792.68200
Glynn, Peter W.; Whitt, Ward
16
1992
Indirect estimation via \(L=\lambda W\). Zbl 0719.62098
Glynn, Peter W.; Whitt, Ward
16
1989
Simulation methods of queues: An overview. Zbl 0665.60101
Glynn, Peter W.; Iglehart, Donald L.
15
1988
Consistency of multidimensional convex regression. Zbl 1342.62064
Lim, Eunji; Glynn, Peter W.
14
2012
Fluid heuristics, Lyapunov bounds and efficient importance sampling for a heavy-tailed \(G/G/1\) queue. Zbl 1145.90350
Blanchet, J.; Glynn, P.; Liu, J. C.
14
2007
A nonparametric approach to multiproduct pricing. Zbl 1167.90494
Rusmevichientong, 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 0822.90066
L’Ecuyer, Pierre; Giroux, Nataly; Glynn, Peter W.
14
1994
A complementarity framework for forward contracting under uncertainty. Zbl 1235.91074
Shanbhag, Uday V.; Infanger, Gerd; Glynn, Peter W.
13
2011
Exact estimation for Markov chain equilibrium expectations. Zbl 1312.65003
Glynn, Peter W.; Rhee, Chang-Han
12
2014
Simulating the maximum of a random walk. Zbl 0974.60030
Ensor, Katherine Bennett; Glynn, Peter W.
12
2000
Ordinary CLT and WLLN versions of \(L=\lambda W\). Zbl 0685.90043
Glynn, Peter W.; Whitt, Ward
12
1988
An LIL version of \(L=\lambda W\). Zbl 0665.90033
Glynn, Peter W.; Whitt, Ward
12
1988
A new proof of convergence of MCMC via the ergodic theorem. Zbl 1232.65015
Asmussen, Søren; Glynn, Peter W.
11
2011
Bounding stationary expectations of Markov processes. Zbl 1170.68389
Glynn, Peter W.; Zeevi, Assaf
11
2008
Complete corrected diffusion approximations for the maximum of a random walk. Zbl 1132.60038
Blanchet, Jose; Glynn, Peter
11
2006
Necessary conditions in limit theorems for cumulative processes. Zbl 1059.60025
Glynn, Peter W.; Whitt, Ward
11
2002
Some new perspectives on the method of control variates. Zbl 1002.65016
Glynn, Peter W.; Szechtman, Roberto
11
2002
Likelihood ratio gradient estimation for stochastic recursions. Zbl 0835.62071
Glynn, Peter W.; L’Ecuyer, Pierre
11
1995
Poisson’s equation for the recurrent \(M/G/1\) queue. Zbl 0820.60073
Glynn, Peter W.
11
1994
On the transition from heavy traffic to heavy tails for the \(M/G/1\) queue: the regularly varying case. Zbl 1216.41033
Olvera-Cravioto, Mariana; Blanchet, Jose; Glynn, Peter
10
2011
Uniform renewal theory with applications to expansions of random geometric sums. Zbl 1132.60060
Blanchet, J.; Glynn, P.
10
2007
On Lyapunov inequalities and subsolutions for efficient importance sampling. Zbl 06859988
Blanchet, Jose; Glynn, Peter; Leder, Kevin
9
2012
Tail asymptotics for the maximum of perturbed random walk. Zbl 1118.60073
Araman, Victor F.; Glynn, Peter W.
9
2006
Managing capacity and inventory jointly in manufacturing systems. Zbl 1232.90026
Bradley, James R.; Glynn, Peter W.
9
2002
Large deviations for the infinite server queue in heavy traffic. Zbl 0823.60021
Glynn, Peter W.
9
1995
Stochastic optimization by simulation: Convergence proofs for the \(GI/G/1\) queue in steady-state. Zbl 0823.90046
L’Ecuyer, Pierre; Glynn, Peter W.
9
1994
Analysis of parallel replicated simulations under a completion time constraint. Zbl 0842.65099
Glynn, Peter W.; Heidelberger, Philip
9
1991
Estimating the asymptotic variance with batch means. Zbl 0744.62113
Glynn, Peter W.; Whitt, Ward
9
1991
Efficient simulation of light-tailed sums: An old-folk song sung to a faster new tune…. Zbl 1191.65002
Blanchet, Jose H.; Leder, Kevin; Glynn, Peter W.
8
2009
Trading securities using trailing stops. Zbl 0859.90025
Glynn, Peter W.; Iglehart, Donald L.
8
1995
Extensions of the queueing relations \(L=\lambda W\) and \(H=\lambda G\). Zbl 0677.90032
Glynn, Peter W.; Whitt, Ward
8
1989
Affine point processes: approximation and efficient simulation. Zbl 1331.60084
Zhang, Xiaowei; Blanchet, Jose; Giesecke, Kay; Glynn, Peter W.
7
2015
Simulation-based computation of the workload correlation function in a Lévy-driven queue. Zbl 1213.60147
Glynn, Peter W.; Mandjes, Michel
7
2011
Asymptotic robustness of estimators in rare-event simulation. Zbl 1386.65066
L’Ecuyer, Pierre; Blanchet, Jose H.; Tuffin, Bruno; Glynn, Peter W.
7
2010
Recurrence properties of autoregressive processes with super - heavy - tailed innovations. Zbl 1115.62092
Zeevi, Assaf; Glynn, Peter W.
7
2004
On functional central limit theorems for semi-Markov and related processes. Zbl 1114.60320
Glynn, Peter W.; Haas, Peter J.
7
2004
Heavy-traffic extreme-value limits for queues. Zbl 0854.60094
Glynn, Peter W.; Whitt, Ward
7
1995
Diffusion approximations. Zbl 0703.60072
Glynn, Peter W.
7
1990
Discrete-time conversion for simulating finite-horizon Markov processes. Zbl 0825.60043
Fox, Bennett L.; Glynn, Peter W.
7
1990
Upper bounds on Poisson tail probabilities. Zbl 0616.60020
Glynn, Peter W.
7
1987
Discrete-time conversion for simulating semi-Markov processes. Zbl 0612.60081
Fox, Bennett L.; Glynn, Peter W.
7
1986
On sampling rates in simulation-based recursions. Zbl 1380.93168
Pasupathy, Raghu; Glynn, Peter; Ghosh, Soumyadip; Hashemi, Fatemeh S.
6
2018
Capacity of finite state channels based on Lyapunov exponents of random matrices. Zbl 1309.94062
Holliday, Tim; Goldsmith, Andrea J.; Glynn, Peter W.
6
2006
Computing densities for Markov chains via simulation. Zbl 1082.62071
Henderson, Shane G.; Glynn, Peter W.
6
2001
Regenerative structure of Markov chains simulated via common random numbers. Zbl 0576.60082
Glynn, Peter W.
6
1985
Some asymptotic formulas for Markov chains with applications to simulation. Zbl 0585.60072
Glynn, Peter W.
6
1984
Simulation-based confidence bounds for two-stage stochastic programs. Zbl 1286.90101
Glynn, Peter W.; Infanger, Gerd
5
2013
Fractional Brownian motion with \(H < \frac{1}{2}\) as a limit of scheduled traffic. Zbl 1255.60062
Araman, Victor F.; Glynn, Peter W.
5
2012
Kernel-based reinforcement learning in average-cost problems. Zbl 1364.90349
Ormoneit, Dirk; Glynn, Peter
5
2002
Two-sided taboo limits for Markov processes and associated perfect simulation. Zbl 1047.60066
Glynn, Peter W.; Thorisson, Hermann
5
2001
A batch means methodology for estimation of a nonlinear function of a steady-state mean. Zbl 0908.62088
Muñoz, David F.; Glynn, Peter W.
5
1997
Simulation output analysis for general state space Markov chains. Zbl 0642.65097
Glynn, Peter W.; Iglehart, Donald L.
5
1982
On the marginal standard error rule and the testing of initial transient deletion methods. Zbl 1371.65012
Wang, Rob J.; Glynn, Peter W.
4
2016
Analysis of a stochastic approximation algorithm for computing quasi-stationary distributions. Zbl 1352.60106
Blanchet, J.; Glynn, P.; Zheng, S.
4
2016
Large deviations for the empirical mean of an M/M/\(1\) queue. Zbl 1282.60090
Blanchet, Jose; Glynn, Peter; Meyn, Sean
4
2013
A comparison of cross-entropy and variance minimization strategies. Zbl 1241.65021
Chan, Joshua C. C.; Glynn, Peter W.; Kroese, Dirk P.
4
2011
Conditional limit theorems for regulated fractional Brownian motion. Zbl 1204.60084
Awad, Hernan; Glynn, Peter
4
2009
Estimating tail decay for stationary sequences via extreme values. Zbl 1044.62053
Zeevi, Assaf; Glynn, Peter W.
4
2004
Computing the distribution function of a conditional expectation via Monte Carlo: discrete conditioning spaces. Zbl 1390.65005
Lee, Shing-Hoi; Glynn, Peter W.
4
2003
Approximating martingales for variance reduction in Markov process simulation. Zbl 1082.60516
Henderson, Shane G.; Glynn, Peter W.
4
2002
On the asymptotic optimality of the SPT rule for the flow shop average completion time problem. Zbl 1106.90333
Xia, Cathy H.; Shanthikumar, J. George; Glynn, Peter W.
4
2000
Notes: Conditions for the applicability of the regenerative method. Zbl 0796.62072
Glynn, Peter W.; Iglehart, Donald L.
4
1993
Uniform Cesaro limit theorems for synchronous processes with applications to queues. Zbl 0743.60023
Glynn, Peter; Sigman, Karl
4
1992
Estimation of steady-state central moments by the regenerative method of simulation. Zbl 0631.62095
Glynn, Peter W.; Iglehart, Donald L.
4
1986
On the Markov property of the GI/G/infinity Gaussian limit. Zbl 0482.60092
Glynn, Peter W.
4
1982
A CLT for infinitely stratified estimators, with applications to debiased MLMC. Zbl 1384.60039
Zheng, Zeyu; Glynn, Peter W.
3
2017
On the dynamics of semimartingales with two reflecting barriers. Zbl 1282.60047
Pihlsgård, Mats; Glynn, Peter W.
3
2013
On the dynamics of a finite buffer queue conditioned on the amount of loss. Zbl 1210.60104
Zhang, Xiaowei; Glynn, Peter W.
3
2011
On convergence to stationarity of fractional Brownian storage. Zbl 1187.60029
Mandjes, Michel; Norros, Ilkka; Glynn, Peter
3
2009
On the theoretical comparison of low-bias steady-state estimators. Zbl 1281.62187
Awad, Hernan P.; Glynn, Peter W.
3
2007
Simulation-based parameter estimation for complex models: a breast cancer natural history modelling illustration. Zbl 1121.62585
Chia, Yen Lin; Salzman, Peter; Plevritis, Sylvia K.; Glynn, Peter W.
3
2004
Estimating tail probabilities in queues via extremal statistics. Zbl 0980.60067
Glynn, P. W.; Zeevi, A. J.
3
2000
A diffusion approximation for a network of reservoirs with power law release rule. Zbl 0873.76069
Glynn, J. E.; Glynn, P. W.
3
1996
On sampling rates in simulation-based recursions. Zbl 1380.93168
Pasupathy, Raghu; Glynn, Peter; Ghosh, Soumyadip; Hashemi, Fatemeh S.
6
2018
Rates of convergence and CLTs for subcanonical debiased MLMC. Zbl 1405.60034
Zheng, Zeyu; Blanchet, Jose; Glynn, Peter W.
2
2018
On the rate of convergence to equilibrium for reflected Brownian motion. Zbl 1408.60019
Glynn, 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 1400.65006
Owen, Art B. (ed.); Glynn, Peter W. (ed.)
1
2018
A CLT for infinitely stratified estimators, with applications to debiased MLMC. Zbl 1384.60039
Zheng, Zeyu; Glynn, Peter W.
3
2017
An equilibrium analysis of a discrete-time Markovian queue with endogenous abandonments. Zbl 1370.60159
Ata, Baris; Glynn, Peter W.; Peng, Xiaoshan
2
2017
Recurrence classification for a family of non-linear storage models. Zbl 1393.60076
Glynn, Peter W.; Glynn, John E.; Rai, Sanatan
1
2017
Likelihood robust optimization for data-driven problems. Zbl 1397.90225
Wang, Zizhuo; Glynn, Peter W.; Ye, Yinyu
21
2016
On the marginal standard error rule and the testing of initial transient deletion methods. Zbl 1371.65012
Wang, Rob J.; Glynn, Peter W.
4
2016
Analysis of a stochastic approximation algorithm for computing quasi-stationary distributions. Zbl 1352.60106
Blanchet, J.; Glynn, P.; Zheng, S.
4
2016
Dynamics on linear influence network games under stochastic environments. Zbl 06667366
Zhou, Zhengyuan; Bambos, Nicholas; Glynn, Peter
1
2016
Unbiased estimation with square root convergence for SDE models. Zbl 1347.65016
Rhee, Chang-Han; Glynn, Peter W.
32
2015
Affine point processes: approximation and efficient simulation. Zbl 1331.60084
Zhang, Xiaowei; Blanchet, Jose; Giesecke, Kay; Glynn, Peter W.
7
2015
Lévy processes with two-sided reflection. Zbl 1338.60126
Andersen, 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 1368.60083
Glynn, Peter W.; Wang, Rob J.
1
2015
Exact estimation for Markov chain equilibrium expectations. Zbl 1312.65003
Glynn, Peter W.; Rhee, Chang-Han
12
2014
Simulation-based confidence bounds for two-stage stochastic programs. Zbl 1286.90101
Glynn, Peter W.; Infanger, Gerd
5
2013
Large deviations for the empirical mean of an M/M/\(1\) queue. Zbl 1282.60090
Blanchet, Jose; Glynn, Peter; Meyn, Sean
4
2013
On the dynamics of semimartingales with two reflecting barriers. Zbl 1282.60047
Pihlsgård, Mats; Glynn, Peter W.
3
2013
Asymptotic simulation efficiency based on large deviations. Zbl 1386.65049
Glynn, Peter W.; Juneja, Sandeep
1
2013
Consistency of multidimensional convex regression. Zbl 1342.62064
Lim, Eunji; Glynn, Peter W.
14
2012
On Lyapunov inequalities and subsolutions for efficient importance sampling. Zbl 06859988
Blanchet, Jose; Glynn, Peter; Leder, Kevin
9
2012
Fractional Brownian motion with \(H < \frac{1}{2}\) as a limit of scheduled traffic. Zbl 1255.60062
Araman, Victor F.; Glynn, Peter W.
5
2012
A complementarity framework for forward contracting under uncertainty. Zbl 1235.91074
Shanbhag, Uday V.; Infanger, Gerd; Glynn, Peter W.
13
2011
A new proof of convergence of MCMC via the ergodic theorem. Zbl 1232.65015
Asmussen, 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 1216.41033
Olvera-Cravioto, Mariana; Blanchet, Jose; Glynn, Peter
10
2011
Simulation-based computation of the workload correlation function in a Lévy-driven queue. Zbl 1213.60147
Glynn, Peter W.; Mandjes, Michel
7
2011
A comparison of cross-entropy and variance minimization strategies. Zbl 1241.65021
Chan, 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 1210.60104
Zhang, Xiaowei; Glynn, Peter W.
3
2011
Uniform approximations for the \(M/G/1\) queue with subexponential processing times. Zbl 1242.60095
Olvera-Cravioto, Mariana; Glynn, Peter W.
2
2011
On exponential limit laws for hitting times of rare sets for Harris chains and processes. Zbl 1233.60013
Glynn, Peter W.
1
2011
Asymptotic robustness of estimators in rare-event simulation. Zbl 1386.65066
L’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 1191.65002
Blanchet, Jose H.; Leder, Kevin; Glynn, Peter W.
8
2009
Conditional limit theorems for regulated fractional Brownian motion. Zbl 1204.60084
Awad, Hernan; Glynn, Peter
4
2009
On convergence to stationarity of fractional Brownian storage. Zbl 1187.60029
Mandjes, Michel; Norros, Ilkka; Glynn, Peter
3
2009
Rare event simulation for a slotted time M/G/s model. Zbl 1209.90105
Blanchet, J.; Glynn, P.; Lam, H.
2
2009
How to deal with the curse of dimensionality of likelihood ratios in Monte Carlo simulation. Zbl 1181.60076
Rubinstein, Reuven Y.; Glynn, Peter W.
2
2009
Robustness properties and confidence interval reliability issues. Zbl 1165.62026
Glynn, Peter W.; Rubino, Gerardo; Tuffin, Bruno
1
2009
Efficient rare-event simulation for the maximum of heavy-tailed random walks. Zbl 1147.60315
Blanchet, Jose; Glynn, Peter
35
2008
Bounding stationary expectations of Markov processes. Zbl 1170.68389
Glynn, Peter W.; Zeevi, Assaf
11
2008
Stochastic simulation: Algorithms and analysis. Zbl 1126.65001
Asmussen, Søren; Glynn, Peter W.
212
2007
Fluid heuristics, Lyapunov bounds and efficient importance sampling for a heavy-tailed \(G/G/1\) queue. Zbl 1145.90350
Blanchet, J.; Glynn, P.; Liu, J. C.
14
2007
Uniform renewal theory with applications to expansions of random geometric sums. Zbl 1132.60060
Blanchet, J.; Glynn, P.
10
2007
On the theoretical comparison of low-bias steady-state estimators. Zbl 1281.62187
Awad, Hernan P.; Glynn, Peter W.
3
2007
A nonparametric approach to multiproduct pricing. Zbl 1167.90494
Rusmevichientong, Paat; Van Roy, Benjamin; Glynn, Peter W.
14
2006
Complete corrected diffusion approximations for the maximum of a random walk. Zbl 1132.60038
Blanchet, Jose; Glynn, Peter
11
2006
Tail asymptotics for the maximum of perturbed random walk. Zbl 1118.60073
Araman, Victor F.; Glynn, Peter W.
9
2006
Capacity of finite state channels based on Lyapunov exponents of random matrices. Zbl 1309.94062
Holliday, Tim; Goldsmith, Andrea J.; Glynn, Peter W.
6
2006
Laws of large numbers and functional central limit theorems for generalized semi-Markov processes. Zbl 1094.60020
Glynn, Peter W.; Haas, Peter J.
2
2006
The semi-regenerative method of simulation output analysis. Zbl 06886433
Calvin, James M.; Glynn, Peter W.; Nakayama, Marvin K.
1
2006
A diffusion approximation for a GI/GI/1 queue with balking or reneging. Zbl 1094.60064
Ward, Amy R.; Glynn, Peter W.
41
2005
Diffusion approximations for the maximum of a perturbed random walk. Zbl 1086.60020
Araman, Victor F.; Glynn, Peter W.
1
2005
Estimation of continuous-time Markov processes sampled at random time intervals. Zbl 1142.62390
Duffie, Darrell; Glynn, Peter
27
2004
Recurrence properties of autoregressive processes with super - heavy - tailed innovations. Zbl 1115.62092
Zeevi, Assaf; Glynn, Peter W.
7
2004
On functional central limit theorems for semi-Markov and related processes. Zbl 1114.60320
Glynn, Peter W.; Haas, Peter J.
7
2004
Estimating tail decay for stationary sequences via extreme values. Zbl 1044.62053
Zeevi, Assaf; Glynn, Peter W.
4
2004
Simulation-based parameter estimation for complex models: a breast cancer natural history modelling illustration. Zbl 1121.62585
Chia, Yen Lin; Salzman, Peter; Plevritis, Sylvia K.; Glynn, Peter W.
3
2004
Limit theory for taboo-regenerative processes. Zbl 1061.90031
Glynn, Peter W.; Thorisson, Hermann
2
2004
A diffusion approximation for a Markovian queue with reneging. Zbl 1054.60100
Ward, Amy R.; Glynn, Peter W.
60
2003
Properties of the reflected Ornstein-Uhlenbeck process. Zbl 1026.60106
Ward, Amy R.; Glynn, Peter W.
40
2003
Computing the distribution function of a conditional expectation via Monte Carlo: discrete conditioning spaces. Zbl 1390.65005
Lee, Shing-Hoi; Glynn, Peter W.
4
2003
Nonexistence of a class of variate generation schemes. Zbl 1034.65002
Henderson, Shane G.; Glynn, Peter W.
2
2003
Hoeffding’s inequality for uniformly ergodic Markov chains. Zbl 0999.60019
Glynn, Peter W.; Ormoneit, Dirk
34
2002
Necessary conditions in limit theorems for cumulative processes. Zbl 1059.60025
Glynn, Peter W.; Whitt, Ward
11
2002
Some new perspectives on the method of control variates. Zbl 1002.65016
Glynn, Peter W.; Szechtman, Roberto
11
2002
Managing capacity and inventory jointly in manufacturing systems. Zbl 1232.90026
Bradley, James R.; Glynn, Peter W.
9
2002
Kernel-based reinforcement learning in average-cost problems. Zbl 1364.90349
Ormoneit, Dirk; Glynn, Peter
5
2002
Approximating martingales for variance reduction in Markov process simulation. Zbl 1082.60516
Henderson, Shane G.; Glynn, Peter W.
4
2002
Structural characterization of taboo-stationarity for general processes in two-sided time. Zbl 1075.60517
Glynn, Peter W.; Thorisson, Hermann
2
2002
Optimal control of parallel queues with batch service. Zbl 1019.90016
Xia, Cathy H.; Michailidis, George; Bambos, Nicholas; Glynn, Peter W.
1
2002
Computing densities for Markov chains via simulation. Zbl 1082.62071
Henderson, Shane G.; Glynn, Peter W.
6
2001
Two-sided taboo limits for Markov processes and associated perfect simulation. Zbl 1047.60066
Glynn, Peter W.; Thorisson, Hermann
5
2001
Regenerative steady-state simulation of discrete-event systems. Zbl 06886311
Henderson, Shane G.; Glynn, Peter W.
2
2001
Multivariate standardized time series for steady-state simulation output analysis. Zbl 1163.62344
Muñoz, David F.; Glynn, Peter W.
1
2001
On the maximum workload of a queue fed by fractional Brownian motion. Zbl 1073.60089
Zeevi, Assaf J.; Glynn, Peter W.
16
2000
Simulating the maximum of a random walk. Zbl 0974.60030
Ensor, Katherine Bennett; Glynn, Peter W.
12
2000
On the asymptotic optimality of the SPT rule for the flow shop average completion time problem. Zbl 1106.90333
Xia, Cathy H.; Shanthikumar, J. George; Glynn, Peter W.
4
2000
Estimating tail probabilities in queues via extremal statistics. Zbl 0980.60067
Glynn, P. W.; Zeevi, A. J.
3
2000
Diversity and popularity in organizations and communities. Zbl 0917.90220
Nasrallah, Walid; Glynn, Peter; Levitt, Raymond
1
1999
Strong approximations in queueing theory. Zbl 0937.60021
Glynn, Peter W.
2
1998
Limit theory for performance modeling of future event set algorithms. Zbl 0988.90515
Damerdji, Halim; Glynn, Peter W.
1
1998
Independent sampling of a stochastic process. Zbl 0932.60040
Glynn, Peter; Sigman, Karl
1
1998
A batch means methodology for estimation of a nonlinear function of a steady-state mean. Zbl 0908.62088
Muñoz, David F.; Glynn, Peter W.
5
1997
Stochastic optimization via grid search. Zbl 0894.60022
Ensor, Katherine Bennett; Glynn, Peter W.
2
1997
Average case behavior of random search for the maximum. Zbl 0891.60080
Calvin, James M.; Glynn, Peter W.
1
1997
A Liapounov bound for solutions of the Poisson equation. Zbl 0863.60063
Glynn, Peter W.; Meyn, Sean P.
71
1996
A diffusion approximation for a network of reservoirs with power law release rule. Zbl 0873.76069
Glynn, J. E.; Glynn, P. W.
3
1996
Nonparametric estimation of tail probabilities for the single-server queue. Zbl 0856.62036
Glynn, Peter W.; Torres, Marcelo
2
1996
Efficient simulation via coupling. Zbl 1094.65504
Glynn, Peter W.; Wong, Eugene W.
1
1996
Efficient Monte Carlo simulation of security prices. Zbl 0877.65099
Duffie, Darrell; Glynn, Peter
48
1995
Discretization error in simulation of one-dimensional reflecting Brownian motion. Zbl 0853.65147
Asmussen, Søren; Glynn, Peter; Pitman, Jim
34
1995
Likelihood ratio gradient estimation for stochastic recursions. Zbl 0835.62071
Glynn, Peter W.; L’Ecuyer, Pierre
11
1995
Large deviations for the infinite server queue in heavy traffic. Zbl 0823.60021
Glynn, Peter W.
9
1995
Trading securities using trailing stops. Zbl 0859.90025
Glynn, Peter W.; Iglehart, Donald L.
8
1995
Heavy-traffic extreme-value limits for queues. Zbl 0854.60094
Glynn, Peter W.; Whitt, Ward
7
1995
Accelerated regeneration for Markov chain simulations. Zbl 1336.60146
Andradóttir, Sigrún; Calvin, James M.; Glynn, Peter W.
1
1995
A martingale approach to regenerative simulation. Zbl 1335.60164
Glynn, Peter W.; Iglehart, Donald L.
1
1995
Logarithmic asymptotics for steady-state tail probabilities in a single- server queue. Zbl 0805.60093
Glynn, Peter W.; Whitt, Ward
56
1994
Large deviations behavior of counting processes and their inverses. Zbl 0805.60023
Glynn, Peter W.; Whitt, Ward
24
1994
Some topics in regenerative steady-state simulation. Zbl 0799.60084
Glynn, Peter W.
16
1994
...and 50 more Documents
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
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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
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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)

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