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Peter W. Glynn

Identifiers

  • name variant Peter W. Glynn 0.60 · backfill

Papers (20)

  1. Diffusion Approximations for Thompson Sampling in the Small Gap Regime cs.LG · 2021 · author #2
  2. Unbiased Multilevel Monte Carlo: Stochastic Optimization, Steady-state Simulation, Quantiles, and Other Applications math.ST · 2019 · author #2
  3. Affine Jump-Diffusions: Stochastic Stability and Limit Theorems q-fin.MF · 2018 · author #2
  4. A Probabilistic Proof of the Perron-Frobenius Theorem math.PR · 2018 · author #1
  5. Approximating Systems Fed by Poisson Processes with Rapidly Changing Arrival Rates math.PR · 2018 · author #3
  6. A $c/\mu$-Rule for Service Resource Allocation in Group-Server Queues math.OC · 2018 · author #4
  7. The stochastic counterpart of conservation laws with heterogeneous conductivity fields: application to deterministic problems and uncertainty quantification physics.comp-ph · 2018 · author #2
  8. Approximating Performance Measures for Slowly Changing Non-stationary Markov Chains math.PR · 2018 · author #3
  9. On Gaussian Limits and Large Deviations for Queues Fed by High Intensity Randomly Scattered Traffic math.PR · 2017 · author #1
  10. Likelihood Ratio Gradient Estimation for Steady-State Parameters math.PR · 2017 · author #1
  11. A Generalized Fundamental Matrix for Computing Fundamental Quantities of Markov Systems math.OC · 2016 · author #2
  12. Exact Estimation for Markov Chain Equilibrium Expectations stat.CO · 2014 · author #1
  13. Measuring the Initial Transient: Reflected Brownian Motion stat.ME · 2014 · author #2
  14. Shape-constrained Estimation of Value Functions math.PR · 2013 · author #2
  15. Exact Simulation of Non-stationary Reflected Brownian Motion math.PR · 2013 · author #2
  16. Central Limit Theorems and Large Deviations for Additive Functionals of Reflecting Diffusion Processes math.PR · 2013 · author #1
  17. A new approach to unbiased estimation for SDE's q-fin.CP · 2012 · author #2
  18. On the Convergence of Finite Order Approximations of Stationary Time Series math.ST · 2011 · author #3
  19. Uniform Approximations for the M/G/1 Queue with Subexponential Processing Times math.PR · 2010 · author #2
  20. Tail asymptotics for the maximum of perturbed random walk math.PR · 2006 · author #2

Mentions

  • 1207.2452 #2 · backfill · confidence 0.70 Peter W. Glynn
  • 1109.3732 #3 · backfill · confidence 0.70 Peter W. Glynn
  • 1009.5327 #2 · backfill · confidence 0.70 Peter W. Glynn

Frequent Coauthors