Applied Probability Day (APD) first 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 . In 1995 APD was merged together with the fall semester of Probability Towards 2000.
Each APD 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:
- APD 1992:
- Joel E. Cohen ( Rockefeller U. ): Random Graphs in Biology
- Rick T. Durrett ( Cornell U. ): Particle System Models of Ecosystem Dynamics
- Frank P. Kelly ( Cambridge U. ): Network Routing
- Charles M. Newman (Courant Institute, New York U. ): Maximum Path Lengths for Random Task Graphs
- Lawrence A. Shepp (ATT Bell Labs): Some Problems in Applied Probability
- William D. Sudderth (U. Minnesota ): Approximation Theorems and Algorithms in Gambling Theory and Stochastic Games
- APD 1993:
- David Aldous (U. Calif. 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 U. ): Haar Measure for Probabilists
- Murad Taqqu ( Boston U. ): Self-Similar Processes with Infinite Variance
- S.R.S. Varadhan (Courant Institute, New York U. ): Hydrodynamic Scaling: The Transition From Particles to Fluid
- Ward Whitt (AT&T Bell Labs): The Nonstationary Erlang Loss Model
- APD 1994:
- Ed Coffman (AT&T Bell Labs): Stochastic Matching: Guises and Applications
- Cristina Costantini (U. Rome, Italy ): The Skorohod Reflection Problem
- Robin Pemantle (U. Wisconsin, Madison): What is the Probability that a Markov Chain Hits a Set?
- Steve Shreve (Carnegie Melon U.): Heavy Traffic Convergence of a Controlled Multi-Class Queueing System
- Mike Steele ( Wharton School , U. Pennsylvania ): Problems and Progress in Probability and Algorithms
- Simon Tavare (U. Southern Calif. ): When did Eve Live?--Ancestral Inference in Population Genetics
- APD 1996:
- Erhan Cinlar ( Princeton U. ): Stochastic models of turbulent transport
- Claudia Klüppelberg (Johannes Gutenberg U., Mainz, Germany ): Subexponential distributions revisited
- Robert Adler (U. 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 U. and C.N.R.S., France ): An inequality for the Sherrington Kirkpatrik spin glass model
- Michael Waterman (U. Southern Calif. ): Oceans and islands in DNA physical maps
- APD 1997:
- W. J. Ewens (U.
Pennsylvania
):
Statistical Problems in Human Genetics - Jeff Steif (U.
Göteborg, Sweden
):
Phase Transitions for Markov Random Fields: Some Results and Open Questions - Marcel F. Neuts(
U.
of
Arizona
,
Tucson
):
The Case for Computer Experimentation in Stochastic Modelling - J. Michael Harrison(
Stanford
U.
):
Brownian Models of Stochastic Processing Networks - Jean Walrand(U. California,
Berkeley
):
Models and Problems in High-performance Communication Networks - Donald L. Turcotte(
Cornell
U.
):
Self-Organized Criticality and the Statistics of Natural Hazards
- W. J. Ewens (U.
Pennsylvania
):
- APD 1998:
- Jonathan Goodman(Courant Institute,
New York
U.
)
New Monte Carlo methods for value at risk and stochastic differential equ\ ations - Philip Heidelberger(IBM,
Watson
Research
Center
)
Multilevel splitting for estimating rare event probabilities -
Sidney
Resnick (Cornell U.)
Why the sample correlation function will break your heart - Paul Dupuis (
Brown
U.
)
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
- Jonathan Goodman(Courant Institute,
New York
U.
)
- APD 1999
- Soren Asmussen,
University of Lund, Sweden
Exponential Martingales in Applied Probability - Rene A. Carmona,
Princeton University, USA
Transport by Stochastic Flows: Rigorous Results, Simulations and Conjectures. - Benoit Mandelbrot,
Yale University, USA
Multifractal Properties of Financial Prices - Don Dawson, Fields Institute,
Toronto, Canada
Measure-valued Models of Catalytic and Mutually Catalytic Branching - Thomas Liggett,
UCLA, USA
Contact Processes on Lattices and Trees - Ruth Williams, UC
San Diego, USA
Reflecting Diffusions and Queueing Networks
- Soren Asmussen,
University of Lund, Sweden
- APD 2000
- D. Bertsimas, Massachusetts Institute of Technology
Moment Problems and Their Applications - D. Heath,
Carnegie
Mellon
University
Risk Management Using Coherent Risk Measures - T. Kurtz,
University of Madison, Wisconsin
Exchangeability and derivation and approximation of filtering equations - P. Protter,
Purdue
University
Non-redundant Claims: Robustness, Regularity, and Formulas - D. Siegmund, Stanford Univerity
Approximate P-values for Local Sequence Alignments - R. Weber,
Cambridge
University
A Large Deviations Analysis of the Multiplexing of Periodic Traffic Sources - Soren Asmussen,
University of Lund, Sweden
Exponential Martingales in Applied Probability
- D. Bertsimas, Massachusetts Institute of Technology
- APD 2001
- Richard Tweedie, U.
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
U.
Recent Problems in Stochastic Control - Richard Gill, U. Utrecht,
Eurandom, Netherlands
Teleportation Into Quantum Statistics - Ragnar Norberg, LSE,
London, UK
Pricing and Hedging in Life and Pension Insurance - Per Mykland,U.
Chicago
Trading Options with Statistical Prediction Intervals
- Richard Tweedie, U.
Minnesota
- APD 2002
- Michael Rabin, Harvard U. & Columbia U.
Provably Information Secure Encription - Francois Baccelli, INRIA & ENS,
Paris, France
A Probabilistic Model of Congestion Control in the Internet - Thaleia Zariphopolou, U.
Texas
Indifference Prices and Optimal Investments - Victor Solo, U. New South Wales,
Sydney, Australia
Neural Receptive Field Plasticity via Point Process Adaptive Filtering - Edward Waymire,
Oregon
State
U.
A Probabilistic View of Navier-Stokes and Related Equations - Peter Glynn, Stanford U. Brownian Traffic Modeling
- Michael Rabin, Harvard U. & Columbia U.
- APD 2003
- Cheng-Der Fuh, Inst. of Statistical Science, 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
- Cheng-Der Fuh, Inst. of Statistical Science, Academia
Sinica, Taiwan
- APD 2004
- Assaf Naor (Microsoft Research): Shannon 's Problem on the Monotonicity of Entropy
- Yuval Peres (UC 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
· APD 2006
o H. Chen (National University of Singapore): Poisson Process Approximation: from Palm theory to Stein’s methodo Michael Pinedo (Stern School of Business, New York University ): Stochastic Batch Scheduling and the “Smallest Variance First Rule
o Samuel Kou ( Harvard University ): Stochastic Modeling in Nanoscale Biophysics
o 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
o Offer Kella (The Hebrew University of Jerusalem ): A Levy Process Reflected at a Poisson Age
o Nick Duffield (AT&T Labs Research): Sampling and Estimation from Heavy Tailed Distributions in the Internet
· APD 2007
o Kevin Glazebrook ( Lancaster U., UK ): General Notions of Indexability and Dynamic Allocation of Individuals to Teams Providing Serviceo Jose Blanchet ( Harvard U. ): Rare-event Analysis and Simulation of Heavy-tailed Systems
o Jim Fill (Johns Hopkins U.): A (Minor) Miracle: Diagonalization of a Bose-Einstein Markov Chain
o Marco Avellaneda (Courant Institute, NYU): Power-Law Price Impact Models and Stock Pinning on Option Expiration Dates
o Steve Lalley (U. Chicago ): Spatial Epidemics: Critical Behavior
o Les Servi ( Lincoln Labs, MIT): Methods of Maritime Tracking: An Overview from an Applied Probability/Operations Research Perspective
For general CAP inquiries:
(Karl Sigman)