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