Gennady Samorodnitsky

Gennady Samorodnitsky

Professor
Operations Research and Information Engineering
220 Frank H.T. Rhodes Hall

Biography

Gennady Samorodnitsky received his B.S. in 1978 from the Moscow Steel and Alloys Institute, USSR, his M.S. and his D. Sc. 1986 from Technion, Israel in 1983. He joined the School of Operations Research and Industrial Engineering in 1988. 

Research Interests

His research interests lie both in probability theory and in its various applications. A very important area is that of stochastic modeling, and he is 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. Applications of such unusual models are in finance, insurance, climate modelling and social networks. 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. He is interested in interaction of toplogy, geometry and ergodic theory with probability theory. A major area of interest is studying and modeling extremes in climate and understanding, in particular, whether, in fact, extremes in climate grow faster than the averages. Other areas of interest include self-similar (fractal-like) stochastic processes and extrema of stochastic processes.

Teaching Interests

Professor Samorodnitsky's teaching focuses on courses in probability and stochastic processes. He also teaches some finance courses and some statistics courses.

Selected Publications

  • Resnick, S I., G Samorodnitsky.  2016. "Asymptotic Normality of Degree Counts in a Preferential Attachment Model."  Advances in Applied Probability 48 (A): 283-299.
  • Samorodnitsky, G., J Sun.  2016. "Multivariate Subexponential Distributions and Their Applications."  Extremes 19 (2): 171-196.
  • Samorodnitsky, G., S. Resnick, D. Towsley, R. Davis, A. Willis, P Wan.  2016. "Nonstandard regular variation of in-degree and out-degree in the preferential attachment model."  Journal of Applied Probability 53 (01): 146-161.
  • Phalitnonkiat, P., W. Sun, M D. Grigoriu, P. Hess, G Samorodnitsky.  2016. "Extreme ozone events: Tail behavior of the surface ozone distribution over the U.S.."  Atmospheric Environment 128: 134-146.
  • Shan Lu, S., Gennady Samorodnitsky, W. Gong, B. Jiang, J. Kang, D. Towsley.  2016.  "Poisson process driven stochastic differential equations for bivariate heavy tailed distributions."  Proceedings of the 2016 American Control Conference

Selected Awards and Honors

  • IX Annual All-India Lecturer in Probability and Stochastic Processes (Indian Statistical Institute, Kolkata) 2014
  • First Annual Applied Probability Lecturer by the Applied Probability Trust (Applied Probability Trust) 2009
  • Wolf Foundation Scholarship (Wolf Foundation) 2000
  • S. Yau '72 Teaching Award 2000
  • Fellowship in the Institute of Mathematical Statistics (Institute of Mathematical Statistics) 2000

Education

  • B.S. (Computer Science), Moscow Steel and Alloys Institute, 1978
  • M.S. (Operations Research), Technion-Israel Institute of Technology, 1983
  • D.Sc. (Statistics), Technion-Israel Institute of Technology, 1986

Websites