School of Operations Research
and Information Engineering
Cornell University

220 Rhodes Hall
Ithaca, NY 14853
(607) 255-9141 - phone
(607) 255-9129 - fax

gennady@orie.cornell.edu

Current Courses

Vita and publications (pdf)

Technical reports

Conferences

Probability at Cornell University

Portrait Gallery

Shotokan Karate at Cornell

Survey on Long Range Dependence

Putting on the Ritz - a little song to enjoy

My interest lies both in probability theory and in its various applications. A very important area is that of stochastic modeling, and I am especially interested in "non-standard" models, in particular those exhibiting heavy tails and/or long-range dependence. These models behave very differently from the "usual" models that are typically based on Gaussian or Markov stochastic processes. Both heavy tails and long-range dependence are observed in financial processes, teletraffic processes and many other processes. Since many classical statistical tools break down in the presence of long-range dependence and/or absence of Gaussianity, it is very important to understand how "non-standard" models behave, how one simulates them, how one estimates their parameters, and how one predicts their behavior in the future. I am looking closely, in particular, at certain financial and queueing models.

My other areas of interest include stochastic processes in finance and risk theory, self-similar (fractal-like) stochastic processes, extrema of stochastic processes, zero-one laws, positive and negative dependence in stochastic processes, stable and other infinitely divisible processes and level crossings of stochastic processes.

Current Research Projects

Heavy Tails, Long Range Dependence and Simulation of Stochastic Models: Theory and Practice (National Security Agency)

Probabilistic and Statistical Modeling of Complex Systems Exhibiting Long Range Dependence and Heavy Tails (Army Research Office)

Last revised: 08/07/2007