Dr. Gennady Samorodnitsky

Biography

Gennady Samorodnitsky is a Professor in the School of Operations Research and Information Engineering at Cornell University. His primary research interest is in probability theory applications, with a focus on stochastic modeling, particularly in 'non-standard' models that exhibit heavy tails and/or long-range dependence. These models diverge in behavior from traditional models, typically involving Gaussian Markov stochastic processes. Samorodnitsky explores the implications of heavy tails and long-range dependence on financial processes and teletraffic processes, recognizing that classical statistical tools often fail in their presence. He aims to understand how these 'non-standard' models behave, how to simulate estimates of their parameters, and how to predict future behaviors. His recent work also delves into financial risk models and the extremal behavior of stochastic processes, especially in the context of climate data. His interests encompass self-similar (fractal-like) stochastic processes, stable infinitely divisible processes, geometry of excursion sets for random fields, and scale-free random graphs, as well as connections to ergodic theory.

Research Interests