← All authors José Blanchet Stanford University (from arXiv:2604.12263, 2026) · ORCID · OpenAlex
55 papers in scope · 48 published · 9 on the econ.EM arXiv · 1,170 citations · h-index 16 (over the papers listed here)
Related authors The 20 authors closest to this one in our weighted citation graph, most related first.
Chen Qiu Yongyi Guo Mengxin Yu Jianyu Xu Yu-Xiang Wang Jörg Stoye Jan Scherer Andres Fernandez Jiaqi Huang Philipp Ketz José Luis Montiel Olea Virag Shah Jeff Dominitz Jianyu Xu Yiwei Sun Patrik Guggenberger Adam McCloskey Shenshen Yang Jean-Jacques Forneron Yu-Xiang Wang Proximity is measured over citations between two papers we both hold, weighted by how heavily one leans on the other, and is symmetric — it does not distinguish citing from being cited. Authors without a profile here are skipped, and a genuinely close colleague can be missing simply because their work is not in our arXiv corpus. Method: docs/06-citations-pipeline.md .
Papers (8 of 55)
working paper 2026 · arXiv
Empirical martingale projections via the adapted Wasserstein distance
published 2026 · The Annals of Applied Probability · 1 citations · first circulated 2024
with Johannes Wiesel, Erica Zhang, Zhenyuan Zhang
working paper 2025 · arXiv
working paper 2025 · arXiv
Distributionally Robust Optimization and Robust Statistics
published 2025 · Statistical Science · 10 citations · first circulated 2024
with Jiajin Li, Sirui Lin, Xuhui Zhang
Distributionally robust Gaussian process regression and Bayesian inverse problems
published 2025 · The Annals of Applied Probability · first circulated 2022
with Xuhui Zhang, Youssef Marzouk, Viet Anh Nguyen, Sven Wang
Robustifying Conditional Portfolio Decisions via Optimal Transport
published 2024 · Operations Research · 8 citations · first circulated 2021
Convolution Bounds on Quantile Aggregation
published 2024 · Operations Research · 14 citations · first circulated 2020
working paper 2024 · arXiv
Distributionally Robust Batch Contextual Bandits
published 2023 · Management Science · 16 citations · first circulated 2020
Delay-Adaptive Learning in Generalized Linear Contextual Bandits
published 2023 · Mathematics of Operations Research · 2 citations · first circulated 2020
Unbiased Optimal Stopping via the MUSE
published 2022 · Stochastic Processes and their Applications · 1 citations · first circulated 2021
working paper 2022 · arXiv · 1 citations
working paper 2022 · arXiv · 1 citations
Some open problems in exact simulation of stochastic differential equations
published 2022 · Queueing Systems
published 2022 · Operations Research · 20 citations · first circulated 2020
Modified Frank Wolfe in Probability Space
published 2021 · Neural Information Processing Systems · 2 citations
no link
Confidence regions in Wasserstein distributionally robust estimation
published 2021 · Biometrika · 29 citations · first circulated 2019
Sample Out-of-Sample Inference Based on Wasserstein Distance
published 2021 · Operations Research · 33 citations
with Yang Kang
Finite-Sample Regret Bound for Distributionally Robust Offline Tabular Reinforcement Learning
published 2021 · International Conference on Artificial Intelligence and Statistics · 12 citations
no link
Exact simulation for multivariate Itô diffusions
published 2020 · Advances in Applied Probability · 33 citations
with Fan Zhang
On distributionally robust extreme value analysis
published 2020 · Extremes · 28 citations
with Fei He, Karthyek Murthy
Distributionally Robust Parametric Maximum Likelihood Estimation
published 2020 · Neural Information Processing Systems · 3 citations
with Viet Anh Nguyen, Xuhui Zhang, Angelos Georghiou
Optimal uncertainty size in distributionally robust inverse covariance estimation
published 2019 · Operations Research Letters · 4 citations
On logarithmically optimal exact simulation of max-stable and related random fields on a compact set
published 2019 · Bernoulli · 10 citations · first circulated 2016
Learning in Generalized Linear Contextual Bandits with Stochastic Delays
published 2019 · Neural Information Processing Systems · 35 citations
no link
Robust Wasserstein profile inference and applications to machine learning
published 2019 · Journal of Applied Probability · 270 citations
with Yang Kang, Karthyek Murthy
Rare-Event Simulation for Distribution Networks
published 2019 · Operations Research · 1 citations
with Juan Li, Marvin K. Nakayama
Exact sampling of the infinite horizon maximum of a random walk over a nonlinear boundary
published 2019 · Journal of Applied Probability · 1 citations · first circulated 2016
with Jing Dong, Zhipeng Liu
working paper 2019 · arXiv · 7 citations
Robust Actuarial Risk Analysis
published 2019 · North American Actuarial Journal · 15 citations
with Henry Lam, Qihe Tang, Zhongyi Yuan
Online EXP3 Learning in Adversarial Bandits with Delayed Feedback
published 2019 · Neural Information Processing Systems · 19 citations
no link
A model robust real options valuation methodology incorporating climate risk
published 2018 · Resources Policy · 11 citations
with Christopher James Dolan, Garud Iyengar, Upmanu Lall
Exact simulation of multidimensional reflected Brownian motion
published 2018 · Journal of Applied Probability · 2 citations
with Karthyek Murthy
Rates of Convergence and CLTs for Subcanonical Debiased MLMC
published 2018 · Springer proceedings in mathematics & statistics · 5 citations
Bandit Learning with Positive Externalities
published 2018 · Neural Information Processing Systems · 8 citations
Malliavin-Based Multilevel Monte Carlo Estimators for Densities of Max-Stable Processes
published 2018 · Springer proceedings in mathematics & statistics · first circulated 2017
with Zhipeng Liu
$\varepsilon$-Strong simulation for multidimensional stochastic differential equations via rough path analysis
published 2017 · The Annals of Applied Probability · 17 citations · first circulated 2014
with Xinyun Chen, Jing Dong
A Markov Chain Approximation to Choice Modeling
published 2016 · Operations Research · 314 citations · first circulated 2013
A weak convergence criterion for constructing changes of measure
published 2015 · Stochastic Models · 24 citations · first circulated 2012
with Johannes Ruf
Unbiased monte carlo computation of smooth functions of expectations via Taylor expansions
published 2015 · Winter Simulation Conference · 6 citations
Affine Point Processes: Approximation and Efficient Simulation
published 2015 · Mathematics of Operations Research · 28 citations
Total variation approximations and conditional limit theorems for multivariate regularly varying random walks conditioned on ruin
published 2014 · Bernoulli · 3 citations
with Jingchen Liu
A heavy traffic approach to modeling large life insurance portfolios
published 2013 · Insurance Mathematics and Economics · 4 citations
with Henry Lam
UNIFORM CONVERGENCE TO A LAW CONTAINING GAUSSIAN AND CAUCHY DISTRIBUTIONS
published 2012 · Probability in the Engineering and Informational Sciences
with Carlos G. Pacheco
Efficient rare-event simulation for perpetuities
published 2012 · Stochastic Processes and their Applications · 10 citations
with Henry Lam, Bert Zwart
Efficient simulation and conditional functional limit theorems for ruinous heavy-tailed random walks
published 2012 · Stochastic Processes and their Applications · 15 citations · first circulated 2010
with Jingchen Liu
Rare-event simulation for multi-server queues in the Halfin-Whitt regime
published 2012 · ACM SIGMETRICS Performance Evaluation Review
with Jing Dong
Corrections to the Central Limit Theorem for Heavy-tailed Probability Densities
published 2011 · Journal of Theoretical Probability · 12 citations
with Henry Lam, Damian Burch, Martin Z. Bazant
On exact sampling of stochastic perpetuities
published 2011 · Journal of Applied Probability · 38 citations
with Karl Sigman
Efficient simulation of tail probabilities of sums of dependent random variables
published 2011 · Journal of Applied Probability · 11 citations
with Leonardo Rojas-Nandayapa
Efficient Simulation for the Maximum of Infinite Horizon Discrete-Time Gaussian Processes
published 2011 · Journal of Applied Probability · 11 citations
with Chenxin Li
Monte Carlo for large credit portfolios with potentially high correlations
published 2010 · Proceedings of the 2010 Winter Simulation Conference · 5 citations
with Jingchen Liu, Xuan Yang
Efficient importance sampling in ruin problems for multidimensional regularly varying random walks
published 2010 · Journal of Applied Probability · 16 citations
with Jingchen Liu
Efficient simulation of tail probabilities of sums of correlated lognormals
published 2009 · Annals of Operations Research · 54 citations
with Søren Asmussen, Sandeep Juneja, Leonardo Rojas-Nandayapa
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