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

Journal Papers

Sample-path large deviations for heavy-tailed Levy processes and random walks

with J. Blanchet and B. Zwart
Submitted for Publication.

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 for Publication.

Importance sampling of heavy-tailed iterated random functions

with B. Chen and B. Zwart
Submitted for Publication.

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).

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

with P. Glynn

Working Papers

Response-surface filling design for complex models

with E. Zhou and P. Qiu.

Sample-path large deviations for heavy-tailed Levy processes: the Weibull case

with M. Bazhba, J. Blanchet, and B. Zwart

Ordinal optimization for heavy-tailed systems

with B. Chen

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

with P. Glynn

Conference Papers

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).