# History of Applied Probability Days

The first Applied Probability Day took place in April 1992 at Columbia University as a one-day international event. It traditionally takes place on a Friday, 9:00AM - 6:00PM, leaving the weekend free for visitors to enjoy the many attractions of New York City.

Each Applied Probability Day has six renown invited speakers covering a broad array of topics in applied probability. Previous speakers and the titles of their talks are listed below.

## 1992

- Joel E. Cohen (Rockefeller University):
*Random Graphs in Biology* - Rick T. Durrett (Cornell University):
*Particle System Models of Ecosystem Dynamics* - Frank P. Kelly (Cambridge University):
*Network Routing* - Charles M. Newman (New York University):
*Maximum Path Lengths for Random Task Graphs* - Lawrence A. Shepp (AT&T Bell Labs):
*Some Problems in Applied Probability* - William D. Sudderth (University Minnesota):
*Approximation Theorems and Algorithms in Gambling Theory and Stochastic Games*

## 1993

- David Aldous (University California, Berkeley):
*Some Open Problems on Reversible Finite Markov Chains* - Mark H. A. Davis (Imperial College):
*A Deterministic Approach to Stochastic Optimal Control* - Persi Diaconis (Harvard University):
*Haar Measure for Probabilists* - Murad Taqqu (Boston University):
*Self-Similar Processes with Infinite Variance* - S.R.S. Varadhan (New York University):
*Hydrodynamic Scaling: The Transition From Particles to Fluid* - Ward Whitt (AT&T Bell Labs):
*The Nonstationary Erlang Loss Model*

## 1994

- Ed Coffman (AT&T Bell Labs):
*Stochastic Matching: Guises and Applications* - Cristina Costantini (University Rome, Italy):
*The Skorohod Reflection Problem* - Robin Pemantle (University Wisconsin, Madison):
*What is the Probability that a Markov Chain Hits a Set?* - Steve Shreve (Carnegie Melon University):
*Heavy Traffic Convergence of a Controlled Multi-Class Queueing System* - J. Michael Steele (University of Pennsylvania):
*Problems and Progress in Probability and Algorithms* - Simon Tavare (University Southern California):
*When did Eve Live?–Ancestral Inference in Population Genetics*

## 1996

- Erhan Cinlar (Princeton University):
*Stochastic models of turbulent transport* - Claudia Klüppelberg (Johannes Gutenberg University, Mainz, Germany):
*Subexponential distributions revisited* - Robert Adler (University North Carolina, Chapel Hill):
*Building with superprocesses* - Debasis Mitra (AT&T Bell Labs):
*Some recent approaches and results on broadband network design* - Michel Talagrand (Ohio State University and C.N.R.S., France):
*An inequality for the Sherrington Kirkpatrik spin glass model* - Michael Waterman (University Southern California):
*Oceans and islands in DNA physical maps*

## 1997

- W. J. Ewens (University Pennsylvania):
*Statistical Problems in Human Genetics* - Jeff Steif (University Göteborg, Sweden):
*Phase Transitions for Markov Random Fields: Some Results and Open Questions* - Marcel F. Neuts (University of Arizona, Tucson):
*The Case for Computer Experimentation in Stochastic Modelling* - J. Michael Harrison (Stanford University):
*Brownian Models of Stochastic Processing Networks* - Jean Walrand (University California, Berkeley):
*Models and Problems in High-performance Communication Networks* - Donald L. Turcotte (Cornell University):
*Self-Organized Criticality and the Statistics of Natural Hazards*

## 1998

- Jonathan Goodman (New York University):
*New Monte Carlo methods for value at risk and stochastic differential equations* - Philip Heidelberger (IBM, Watson Research Center):
*Multilevel splitting for estimating rare event probabilities* - Sidney Resnick (Cornell University):
*Why the sample correlation function will break your heart* - Paul Dupuis (Brown University):
*Simple necessary and sufficient conditions for the stability of constrained processes* - Marc Yor (Paris VI, France):
*Some combinations of Asian, Parisian and Barrier options* - Freddy Delbaen (ETH Zurich, Switzerland):
*Passport options: Russian and Asian relations*

## 1999

- Søren Asmussen (University of Lund, Sweden):
*Exponential Martingales in Applied Probability* - Rene A. Carmona (Princeton University):
*Transport by Stochastic Flows: Rigorous Results, Simulations and Conjectures* - Benoit Mandelbrot (Yale University):
*Multifractal Properties of Financial Prices* - Don Dawson (Fields Institute, Toronto, Canada):
*Measure-valued Models of Catalytic and Mutually Catalytic Branching* - Thomas Liggett (UCLA):
*Contact Processes on Lattices and Trees* - Ruth Williams (UC San Diego):
*Reflecting Diffusions and Queueing Networks*

## 2000

- Dimitris Bertsimas (Massachusetts Institute of Technology):
*Moment Problems and Their Applications* - David Heath (Carnegie Mellon University):
*Risk Management Using Coherent Risk Measures* - Tom Kurtz (University of Madison, Wisconsin):
*Exchangeability and derivation and approximation of filtering equations* - Philip Protter (Purdue University):
*Non-redundant Claims: Robustness, Regularity, and Formulas* - David Siegmund (Stanford University):
*Approximate P-values for Local Sequence Alignments* - Richard Weber (Cambridge University):
*A Large Deviations Analysis of the Multiplexing of Periodic Traffic Sources* - Søren Asmussen (University of Lund, Sweden):
*Exponential Martingales in Applied Probability*

## 2001

- Richard Tweedie (University Minnesota):
*Drift Conditions for Stability of Markov Chains (revisited)* - Marty Reiman (Lucent Technologies):
*A Comparison of Two Heavy Traffic Regimes for Multiserver Queues* - Daniel Ocone (Rutgers University):
*Recent Problems in Stochastic Control* - Richard Gill (University Utrecht and Eurandom, Netherlands):
*Teleportation Into Quantum Statistics* - Ragnar Norberg (LSE, London, UK):
*Pricing and Hedging in Life and Pension Insurance* - Per Mykland (University Chicago):
*Trading Options with Statistical Prediction Intervals*

## 2002

- Michael Rabin (Harvard University & Columbia University):
*Provably Information Secure Encription* - Francois Baccelli (INRIA & ENS, Paris, France):
*A Probabilistic Model of Congestion Control in the Internet* - Thaleia Zariphopolou (University Texas):
*Indifference Prices and Optimal Investments* - Victor Solo (University New South Wales, Sydney, Australia):
*Neural Receptive Field Plasticity via Point Process Adaptive Filtering* - Edward Waymire (Oregon State University):
*A Probabilistic View of Navier-Stokes and Related Equations* - Peter Glynn (Stanford University):
*Brownian Traffic Modeling*

## 2003

- Cheng-Der Fuh (Academia Sinica, Taiwan):
*SPRT and CUSUM in Hidden Markov Models* - Harold Kushner (Brown University):
*Proportional Fair Sharing Algorithms for Mobile Communications* - Philippe Robert (INRIA, Rocqencourt, France):
*Stochastic models of data transmission in communication networks* - George Moustakides (IRISA - INRIA, Rennes, France):
*Optimum CUSUM tests for detecting changes in continuous time processes* - John P. Lehoczky (Carnegie Mellon University):
*Heavy Traffic Limit Theorems for Real-Time Computer Systems* - Alexander Stolyar (Bell Labs Research):
*Scheduling of Flexible Interdependent Time-varying Servers*

## 2004

- Assaf Naor (Microsoft Research):
*Shannon’s Problem on the Monotonicity of Entropy* - Yuval Peres (University California, Berkeley):
*A Stable Marriage of a Poisson Process and Lebesgue Measure* - Amir Dembo (Stanford University):
*Fractal geometry of simple random covering: late and favorite points* - Timo Seppalainen (University of Wisconsin):
*Inhomogeneities and the Hydrodynamic Limit of the Asymmetric Exclusion Process* - Gennady Samorodnitsky (Cornell University):
*Measuring the Length of Memory in Infinite Variance Stable Processes* - Chris Heyde (Columbia University and Australia National University):
*The Zoo of Non-classical Limit Theorems - Species Yet to be Classified*

## 2006

- Louis Chen (National University of Singapore):
*Poisson Process Approximation: from Palm theory to Stein’s method* - Michael Pinedo (New York University):
*Stochastic Batch Scheduling and the “Smallest Variance First Rule* - Samuel Kou (Harvard University):
*Stochastic Modeling in Nanoscale Biophysics* - Esther Frostig (University of Haifa):
*On Ruin Probability for a Risk Process with Phase-type Claims and Inter-arrival Times Perturbed by a Levy Process with No Negative Jumps* - Offer Kella (The Hebrew University of Jerusalem):
*A Levy Process Reflected at a Poisson Age* - Nick Duffield (AT&T Labs Research):
*Sampling and Estimation from Heavy Tailed Distributions in the Internet*

## 2007

- Kevin Glazebrook (Lancaster University, UK):
*General Notions of Indexability and Dynamic Allocation of Individuals to Teams Providing Service* - Jose Blanchet (Harvard University):
*Rare-event Analysis and Simulation of Heavy-tailed Systems* - Jim Fill (Johns Hopkins University):
*A (Minor) Miracle: Diagonalization of a Bose-Einstein Markov Chain* - Marco Avellaneda (New York University):
*Power-Law Price Impact Models and Stock Pinning on Option Expiration Dates* - Steve Lalley (University Chicago):
*Spatial Epidemics: Critical Behavior* - Les Servi (Lincoln Labs, MIT):
*Methods of Maritime Tracking: An Overview from an Applied Probability/Operations Research Perspective*

## 2008

In honor and memory of Chris C. Heyde.

- David Pollard (Yale University):
*Random chromatic numbers, some statistical folklore, and some puzzling inequalities* - Søren Asmussen (Aarhus University, Denmark):
*Failure probabilities for checkpointing and parallel computing* - Steve Kou (Columbia University):
*The Recent Financial Turmoil and Related Financial Engineering Research Problems* - J. Michael Steele (University of Pennsylvania):
*Martingale Markets* - Sidney Resnick (Cornell University):
*Multivariate regular variation on 3 cones yields three theories*

## 2009

- Masakiyo Miyazawa (Tokyo University of Science):
*Tail asymptotics for a Levy-driven tandem queue with an intermediate input and some related topics* - Bert Zwart (VU University of Amsterdam & Centrum voor Wiskunde en Informatica (CWI), The Netherlands):
*Time-dependent properties of symmetric queues* - Mor Harchol-Balter (Carnegie Mellon University):
*Surprising results on Task Assignment in Server Farms with High-Variability Workloads*

## 2011

In honor and memory of Cyrus Derman.

- Michael Katehakis (Rutgers Business School):
*Non-Parametric Up-and-Down Experimentation Revisited* - Arthur F. “Pete” Veinott, Jr. (Stanford University):
*Polynomial-Time Computation of Strong and n-Present-Value Optimal Policies in Markov Decision Chains* - Sheldon M. Ross (University of Southern California):
*The Sequential Stochastic Assignment Problem Revisited* - Matthew J. Sobel (Case Western Reserve University):
*Discounting Axioms Imply Risk Neutrality* - Mark Brown (City College of New York):
*Bounds and Inequalities for Time Reversible Markov Chains*

## 2014

In honor and memory of Larry Shepp.

- Martin Lindquist (Johns Hopkins University):
*From CT to fMRI: Larry Shepp’s Impact on Medical Imaging* - Larry Brown (The Wharton School):
*The Class of Stationary Gaussian Processes That Are Limits of Stationary AR(p) Time Series* - Jim Reeds (Princeton University):
*Two Encounters With Robots* - Robert Vanderbei (Princeton University):
*From Bandits to Dishonest Statisticians, A Survey/Review of My Collaborations with Larry* - Albert N. Shiryaev (Steklov Mathematical Institute and Lomonosov Moscow State University, Russia)
- S. R. Srinivasa Varadhan (New York University):
*Some remarks on Large Deviations* - Cun-Hui Zhang (Rutgers University):
*Estimation and Inference in Large Graphical Models*

## 2017

In honor of Ward Whitt.

- Søren Asmussen (Aarhus University, Denmark):
*Martingales for Levy processes, Markov additive processes and phase-type distributions* - Peter Glynn (Stanford University):
*Heavy Traffic, Sequential Stopping, and Asymptotic Efficiency* - Avi Mandelbaum (Technion, Israel):
*Theompirical” Research in OR (MS/IE/OM), or Theoretical & Empirical Journeys through Service Systems* - William Massey (Princeton University):
*Dynamic Rate Transience for Offered and Carried Load Queues* - Marty Reiman (Columbia University):
*Intertwined Tales of Time (and Space) Scales*