Graduate Student
Divsion of Applied Mathematics
Brown University Box F
Providence, RI 02912
Office: 182 George St. Room 004
Office phone:863-1992
E-mail:
Curriculum Vitae
Research Interests
My research has focused on optimizing the efficiency of Monte Carlo algorithms when simulating events of low probability (i.e. rare events). Specific applications of this
research include wireless communications networks and ruin probabilities for insurance.
General topics of interest include operations research, statistics, stochastic processes, mathematical finance, Monte Carlo
methods, control theory, large deviations, and heavy tailed processes.
Publications
Large deviations and importance sampling for a tandem network with
slow-down. (with P. Dupuis and H. Wang) (Accepted
to QUESTA, 2007) PDF
On the Large Deviations Properties of the Weighted-Serve-the-Longest
Queue Policy. (with P. Dupuis and H. Wang) (Accepted
to Progress in Probability, 2007) PDF
Importance sampling for sums of random variables with regularly varying tails.(with P. Dupuis and H. Wang) ACM Transactions on Modeling and Computer
Simulation Volume 17, No. 14, 2007.
Publications in Preparation
Importance Sampling for the Weighted Serve the Longest Queueing Policy (with P. Dupuis and
H. Wang) PDF