← All authors Peter W. Glynn Stanford University (from arXiv:1809.02303, 2018) · ORCID · OpenAlex
109 papers in scope · 108 published · 1 on the econ.EM arXiv · 3,590 citations · h-index 32 (over the papers listed here)
Related authors The 20 authors closest to this one in our weighted citation graph, most related first.
Christis Katsouris Pentti Saikkonen Mika Meitz Alex Maynard Nina Kuriyama Chuan Goh Michael Ellington Fan Lin Jozef Baruník Savi Virolainen Bas J. M. Werker Yannick Hoga Bo Zhou Jayeeta Bhattacharya Bernd Funovits Jean-Yves Pitarakis Iliyan Georgiev Marcelo C. Medeiros Giuseppe Cavaliere Tobias Fissler 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 (1 of 109)
Computable bounds on the solution to Poisson’s equation for general harris chains
published 2026 · Stochastic Processes and their Applications
with Na Lin, Yuanyuan Liu
Approximation of Markov chain expectations and the key role of stationary distribution convergence
published 2026 · Journal of Applied Probability
Asymptotic Product-Form Steady State for Generalized Jackson Networks in Multiscale Heavy Traffic
published 2026 · Operations Research
with J. G. Dai, Yaosheng Xu
Moments of polynomial functionals of spectrally positive Lévy processes
published 2025 · Stochastic Processes and their Applications · first circulated 2023
with Royi Jacobovic, Michel Mandjes
Minimax Optimal Estimation of Stability Under Distribution Shift
published 2025 · Operations Research · first circulated 2022
The Fragility of Optimized Bandit Algorithms
published 2024 · Operations Research · 4 citations · first circulated 2021
with Lin Tao Fan, Lin Fan
Technical Note–Stability of a Queue Fed by Scheduled Traffic at Critical Loading
published 2024 · Operations Research · 1 citations · first circulated 2022
with Victor F. Araman
Overlapping Batch Confidence Intervals on Statistical Functionals Constructed from Time Series: Application to Quantiles, Optimization, and Estimation
published 2024 · ACM Transactions on Modeling and Computer Simulation · 6 citations · first circulated 2023
with Ziwei Su, Raghu Pasupathy, Yingchieh Yeh
Unsupervised Classification under Uncertainty: The Distance-Based Algorithm
published 2023 · Mathematics · 2 citations
with Alaa Ghanaiem, Eugene Kagan, Parteek Kumar, Tal Raviv, Irad Ben-Gal
Refined behaviour of a conditioned random walk in the large deviations regime
published 2023 · Bernoulli
with Søren Asmussen
Power distribution in developing countries — Planning for effectiveness and equity
published 2023 · Omega · 4 citations · first circulated 2022
with Adi Sarid, Michal Tzur
Risk‐sensitive Markov decision processes with long‐run CVaR criterion
published 2023 · Production and Operations Management · 11 citations · first circulated 2022
with Xia Li, Luyao Zhang
On a New Characterization of Harris Recurrence for Markov Chains and Processes
published 2023 · Mathematics · 1 citations
with Yanlin Qu
A heavy-traffic perspective on departure process variability
published 2023 · Stochastic Processes and their Applications · 1 citations
with Rob J. Wang
Unbiased Optimal Stopping via the MUSE
published 2022 · Stochastic Processes and their Applications · 1 citations · first circulated 2021
Simulation-Based Prediction
published 2022 · Operations Research · 3 citations
Modified Frank Wolfe in Probability Space
published 2021 · Neural Information Processing Systems · 2 citations
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Technical Note—Approximating Systems Fed by Poisson Processes with Rapidly Changing Arrival Rates
published 2021 · Operations Research · 2 citations · first circulated 2018
On incorporating forecasts into linear state space model Markov decision processes
published 2021 · Philosophical Transactions of the Royal Society A Mathematical Physical and Engineering Sciences · 5 citations
The development and deployment of a model for hospital-level COVID-19 associated patient demand intervals from consistent estimators (DICE)
published 2021 · Health Care Management Science · 4 citations · first circulated 2020
with Linying Yang, Teng Zhang, David Scheinker
Finite-Sample Regret Bound for Distributionally Robust Offline Tabular Reinforcement Learning
published 2021 · International Conference on Artificial Intelligence and Statistics · 12 citations
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Computing Sensitivities for Distortion Risk Measures
published 2021 · INFORMS journal on computing · 12 citations
Robust Power Management via Learning and Game Design
published 2020 · Operations Research · 26 citations
On the spectral radius and stiffness of Markov jump process rate matrices
published 2020 · Stochastic Models
with Alex Infanger
Technical Note—Central Limit Theorems for Estimated Functions at Estimated Points
published 2020 · Operations Research · 2 citations
Relining the garbage can of organizational decision-making: modeling the arrival of problems and solutions as queues
published 2019 · Industrial and Corporate Change · 16 citations
with Henrich R. Greve, Hayagreeva Rao
Dynamic Credit-Collections Optimization
published 2019 · Management Science · 31 citations · first circulated 2018
with Naveed Chehrazi, Thomas A. Weber
Experimental Investigation of a Capacity-Based Demand Response Mechanism for District-Scale Applications
published 2019 · Proceedings of the ... Annual Hawaii International Conference on System Sciences/Proceedings of the Annual Hawaii International Conference on System Sciences · 4 citations
Using regenerative simulation to calibrate exponential approximations to risk measures of hitting times to rarely visited sets
published 2018 · Winter Simulation Conference · 4 citations
with Marvin K. Nakayama, Bruno Tuffin
Deterministic and Stochastic Wireless Network Games: Equilibrium, Dynamics, and Price of Anarchy
published 2018 · Operations Research · 16 citations
working paper 2018 · arXiv · 1 citations
Monte Carlo and Quasi-Monte Carlo Methods
published 2018 · Springer proceedings in mathematics & statistics · 93 citations
Rates of Convergence and CLTs for Subcanonical Debiased MLMC
published 2018 · Springer proceedings in mathematics & statistics · 5 citations
Fitting continuous piecewise linear poisson intensities via maximum likelihood and least squares
published 2017 · Winter Simulation Conference · 16 citations
On the asymptotic analysis of quantile sensitivity estimation by Monte Carlo simulation
published 2017 · Winter Simulation Conference · 13 citations
A CLT for infinitely stratified estimators, with applications to debiased MLMC
published 2017 · ESAIM Proceedings and Surveys · 8 citations
Delayed Mirror Descent in Continuous Games
published 2017 · Neural Information Processing Systems
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Unbiased monte carlo computation of smooth functions of expectations via Taylor expansions
published 2015 · Winter Simulation Conference · 6 citations
Likelihood robust optimization for data-driven problems
published 2015 · Computational Management Science · 178 citations · first circulated 2013
Unbiased Estimation with Square Root Convergence for SDE Models
published 2015 · Operations Research · 213 citations
with Chang-Han Rhee
Affine Point Processes: Approximation and Efficient Simulation
published 2015 · Mathematics of Operations Research · 28 citations
Exact estimation for Markov chain equilibrium expectations
published 2014 · Journal of Applied Probability · 105 citations
with Chang-Han Rhee
Measuring the initial transient: Reflected Brownian motion
published 2014 · Proceedings of the Winter Simulation Conference 2014 · 4 citations
with Rob J. Wang
Stochastic Optimization
published 2014 · Wiley StatsRef: Statistics Reference Online · 6 citations
On the Dynamics of Semimartingales with Two Reflecting Barriers
published 2013 · Journal of Applied Probability · 6 citations
with Mats Pihlsgård
On the convergence of the spectrum of finite order approximations of stationary time series
published 2013 · Journal of Multivariate Analysis · 4 citations · first circulated 2011
with Syamantak Datta Gupta, Ravi R. Mazumdar, Symantak Datta Gupta
A new approach to unbiased estimation for SDE's
published 2012 · Winter Simulation Conference · 50 citations
with Chang-Han Rhee
Fractional Brownian Motion with H < 1/2 as a Limit of Scheduled Traffic
published 2012 · Journal of Applied Probability · 21 citations
with Victor F. Araman
Consistency of Multidimensional Convex Regression
published 2012 · Operations Research · 105 citations
Ordinal optimization: a nonparametric framework
published 2011 · Winter Simulation Conference · 16 citations
with Sandeep Juneja
Brownian bridge hypothesis testing for the initial transient problem
published 2011 · Winter Simulation Conference
A Complementarity Framework for Forward Contracting Under Uncertainty
published 2011 · Operations Research · 63 citations
with Uday V. Shanbhag, Gerd Infanger
A comparison of cross-entropy and variance minimization strategies
published 2011 · Journal of Applied Probability · 31 citations
On exponential limit laws for hitting times of rare sets for Harris chains and processes
published 2011 · Journal of Applied Probability · 5 citations
Søren Asmussen
published 2011 · Journal of Applied Probability
A new proof of convergence of MCMC via the ergodic theorem
published 2011 · Statistics & Probability Letters · 36 citations
with Søren Asmussen
Simulation-Based Computation of the Workload Correlation Function in a Lévy-Driven Queue
published 2011 · Journal of Applied Probability · 17 citations · first circulated 2009
with Michel Mandjes
How to Deal with the Curse of Dimensionality of Likelihood Ratios in Monte Carlo Simulation
published 2009 · Stochastic Models · 41 citations
with Reuven Y. Rubinstein
Capacity of Finite State Channels Based on Lyapunov Exponents of Random Matrices
published 2006 · IEEE Transactions on Information Theory · 72 citations
with T. Holliday, Andrea Goldsmith
Laws of Large Numbers and Functional Central Limit Theorems for Generalized Semi-Markov Processes
published 2006 · Stochastic Models · 54 citations
with Peter J. Haas
A natural history model of stage progression applied to breast cancer
published 2006 · Statistics in Medicine · 76 citations
with Sylvia K. Plevritis, Peter Salzman, Bronislava M. Sigal
A Nonparametric Approach to Multiproduct Pricing
published 2006 · Operations Research · 144 citations
with Paat Rusmevichientong, Benjamin Van Roy
Simulation-based parameter estimation for complex models: a breast cancer natural history modelling illustration
published 2004 · Statistical Methods in Medical Research · 21 citations
with Yen Lin Chia, Peter Salzman, Sylvia K. Plevritis
Estimation of Continuous-Time Markov Processes Sampled at Random Time Intervals
published 2004 · Econometrica · 93 citations
with Darrell Duffie
Recurrence properties of autoregressive processes with super-heavy-tailed innovations
published 2004 · Journal of Applied Probability · 22 citations
with Assaf Zeevi
Estimating tail decay for stationary sequences via extreme values
published 2004 · Advances in Applied Probability · 9 citations
with Assaf Zeevi
On the validity of long-run estimation methods for discrete-event systems
published 2002 · ACM SIGMETRICS Performance Evaluation Review · 1 citations
with Peter J. Haas
Structural characterization of taboo-stationarity for general processes in two-sided time
published 2002 · Stochastic Processes and their Applications · 5 citations
with Hermann Þórisson
Additional Perspectives on Simulation for Optimization
published 2002 · INFORMS journal on computing · 12 citations
Necessary conditions in limit theorems for cumulative processes
published 2002 · Stochastic Processes and their Applications · 24 citations
with Ward Whitt
Hoeffding's inequality for uniformly ergodic Markov chains
published 2002 · Statistics & Probability Letters · 132 citations
with Dirk Ormoneit
Numerical Techniques for Maximum Likelihood Estimation of Continuous-Time Diffusion Processes: Comment
published 2002 · Journal of Business and Economic Statistics · 8 citations · first circulated 2001
no link
Comment [5] (multiple letters)
published 2002 · Journal of Business and Economic Statistics
no link
Multivariate Standardized Time Series for Steady-State Simulation Output Analysis
published 2001 · Operations Research · 14 citations
with David F. Muñoz
Two-sided taboo limits for Markov processes and associated perfect simulation
published 2001 · Stochastic Processes and their Applications · 11 citations
with Hermann Þórisson
On the Asymptotic Optimality of the SPT Rule for the Flow Shop Average Completion Time Problem
published 2000 · Operations Research · 35 citations
with Cathy H. Xia, George Shanthikumar
On the behaviour of a long cascade of linear reservoirs
published 2000 · Journal of Applied Probability
with John E. Glynn
Simulating the maximum of a random walk
published 2000 · Journal of Statistical Planning and Inference · 38 citations
with Katherine B. Ensor
Derandomizing Variance Estimators
published 1999 · Operations Research · 3 citations
with Shane G. Henderson
Internet service performance failure detection
published 1998 · ACM SIGMETRICS Performance Evaluation Review · 43 citations
with Amy R. Ward, Kathy J. Richardson
Independent sampling of a stochastic process
published 1998 · Stochastic Processes and their Applications · 10 citations · first circulated 1991
with Karl Sigman
Average case behavior of random search for the maximum
published 1997 · Journal of Applied Probability · 6 citations
with James M. Calvin
A Batch Means Methodology for Estimation of a Nonlinear Function of a Steady-State Mean
published 1997 · Management Science · 38 citations
with David F. Muñoz
Discretization Error in Simulation of One-Dimensional Reflecting Brownian Motion
published 1995 · The Annals of Applied Probability · 131 citations · first circulated 1994
with Søren Asmussen, Jim Pitman
Trading Securities Using Trailing Stops
published 1995 · Management Science · 30 citations
with Donald L. Iglehart
Note: On the Value of Function Evaluation Location Information in Monte Carlo Simulation
published 1995 · Management Science · 1 citations · first circulated 1992
with Thomas J. DiCiccio
A Martingale Approach to Regenerative Simulation
published 1995 · Probability in the Engineering and Informational Sciences · 1 citations
with Donald L. Iglehart
Likelihood Ratio Sensitivity Analysis for Markovian Models of Highly Dependable Systems
published 1994 · Operations Research · 43 citations · first circulated 1990
with Marvin K. Nakayama, Ambuj Goyal
Logarithmic asymptotics for steady-state tail probabilities in a single-server queue
published 1994 · Journal of Applied Probability · 300 citations · first circulated 1993
with Ward Whitt
Importance sampling for markov chains: asymptotics for the variance
published 1994 · Communications in Statistics Stochastic Models · 29 citations
Limit theorems for cumulative processes
published 1993 · Stochastic Processes and their Applications · 47 citations · first circulated 1991
with Ward Whitt
Estimating Customer and Time Averages
published 1993 · Operations Research · 20 citations
with Benjamin Melamed, Ward Whitt
Jackknifing under a Budget Constraint
published 1992 · INFORMS journal on computing · 11 citations · first circulated 1989
with Philip Heidelberger
The Asymptotic Efficiency of Simulation Estimators
published 1992 · Operations Research · 226 citations
with Ward Whitt
Uniform Cesaro limit theorems for synchronous processes with applications to queues
published 1992 · Stochastic Processes and their Applications · 23 citations
with Karl Sigman
Estimating the asymptotic variance with batch means
published 1991 · Operations Research Letters · 105 citations · first circulated 1990
with Ward Whitt
Queues with negative arrivals
published 1991 · Journal of Applied Probability · 168 citations · first circulated 1989
with Erol Gelenbe, Karl Sigman
Bias Properties of Budget Constrained Simulations
published 1990 · Operations Research · 45 citations
with Philip Heidelberger
Simulating Discounted Costs
published 1989 · Management Science · 35 citations
with Bennett L. Fox
The optimal linear combination of control variates in the presence of asymptotically negligible bias
published 1989 · Naval Research Logistics (NRL) · 8 citations
with Donald L. Iglehart
Extensions of the Queueing Relations L = λ W and H = λ G
published 1989 · Operations Research · 38 citations
with Ward Whitt
Indirect Estimation Via L = λ W
published 1989 · Operations Research · 78 citations
with Ward Whitt
A new class of strongly consistent variance estimators for steady-state simulations
published 1988 · Stochastic Processes and their Applications · 12 citations · first circulated 1986
with Donald L. Iglehart
A joint central limit theorem for the sample mean and regenerative variance estimator
published 1987 · Annals of Operations Research · 34 citations
with Donald L. Iglehart
Central-limit-theorem version of L = λW
published 1987 · Stochastic Processes and their Applications
with Ward Whitt
A central-limit-theorem version ofL=?w
published 1986 · Queueing Systems · 54 citations
with Ward Whitt
On the range of a regenerative sequence
published 1985 · Stochastic Processes and their Applications · 6 citations
Some asymptotic formulas for markov chains with applications to simulation †
published 1984 · Journal of Statistical Computation and Simulation · 30 citations · first circulated 1983
On confidence intervals for cyclic regenerative processes
published 1983 · Operations Research Letters · 3 citations
Assembled from arXiv and OpenAlex. Duplicate records for the same paper are merged, and the published version is shown where we could identify one. Corrections welcome.
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