Chang-Han Rhee

Under Construction 

Postdoctoral Researcher
Stochastics Group, CWI

Supervisor: Bert Zwart

CV

Contact

Room M342
Science Park 123, Amsterdam, 1098 XG, The Netherlands
Email: rhee@cwi.nl
Phone: +31(0)20 592 4150
http://chrhee.github.io/

Research

Education

Honors

Service

     Program Committe:

     Referee:

Papers

Sample-path large deviations for Levy processes and random walks with Weibull increments

with M. Bazhba, J. Blanchet, and B. Zwart
Submitted for publication.

Sample-path large deviations for regularly varying Levy processes and random walks

with J. Blanchet and B. Zwart
Submitted to Annals of Probability.  (under revision for second round review)

Efficient rare-event simulation for multiple jump events in regularly varying random walks and compound Poisson processes

with B. Chen, J. Blanchet, and B. Zwart
Submitted to Mathematics of Operations Research.  (under revision for second round review)

Importance sampling of heavy-tailed iterated random functions

with B. Chen and B. Zwart
Submitted to Advances in Applied Probability.  (under revision for second round review)

Lyapunov conditions for differentiability of Markov chain expectations: the absolutely continuous case

with P. Glynn
To be submitted to Mathematics of Operations Research.

Unbiased estimation with square root convergence for SDE models

with P. Glynn
Operations Research, 63(5): 1026–1043. (2015).
2016 INFORMS Simulation Society Outstanding Simulation Publication Award.

Exact estimation for equilibrium of Markov chains

with P. Glynn
Journal of Applied Probability (Special Jubilee Issue), 51A:377-389, (2014).

An iterative algorithm for sampling from manifolds

with E. Zhou and P. Qiu
2014 Winter Simulation Conference, (2014).

A new approach to unbiased estimation for SDE's

with P. Glynn
2012 Winter Simulation Conference, (2012).
Best Student Paper Award (MS/OR focused).

Working Papers

Space filling design for non-linear models   (coming soon)

with E. Zhou and P. Qiu.

Rare event simulation for cascading failures in power grids

with T. Nesti, N. Vasmel, and B. Zwart

Sample-path large deviations for heavy-tailed Markov additive processes

with B. Chen and B. Zwart

On heavy-tailed simulation estimators

with B. Chen.

Quasi-variational problems in heavy-tailed large deviations theory

with B. Zwart and J. Blanchet

Lyapunov conditions for differentiability of Markov chain expectations: the contracting case

with P. Glynn