Publications of Gennady Samorodnitsky
BOOKS, LECTURE NOTES AND SPECIAL VOLUMES
Cambanis, S., Samorodnitsky, G. and Taqqu, M.S. (eds.) Stable Processes and Related Topics.
A Selection of Papers from MSI Workshop, 1990. Birkhauser, Boston, 1991.
Samorodnitsky, G. and Taqqu, M.S. Stable Non-Gaussian Random
Processes. Stochastic Models with
Infinite Variance . Chapman and Hall, New York - London, 1994.
Kluppelberg, K., Samorodnitsky, G. and Weron, A. (eds.)
Special Issue of Stochastic Models on Heavy Tails and Highly
Volatile Phenomena. Volume 14, Number 4, 1997.
Samorodnitsky, G. Long Range Dependence, Heavy Tails and
Rare Events Lecture notes. MaPhySto, Centre for Mathematical Physics and
Stochastics, Aarhus, 2002.
PAPERS
Rubinstein, R.Y. and Samorodnitsky, G. The Efficiency of the Random
Search Method,
Mathematics and Computers in Simulation XXIV, 257-268, 1982.
Samorodnitsky, G., Weismann, I. and Rubinstein, R.Y. An Efficient
Mixture Method,
Operations Research Letters 1, 198-200, 1982.
Rubinstein, R.Y., Samorodnitsky, G. and Shaked, M. Antithetic Variables,
Multivariate
Dependence and Simulation of Complex Stochastic Systems, Management
Sciences 31, 66-77,
1985.
Rubinstein, R.Y. and Samorodnitsky, G. Antithetic and Common Random
Numbers in
Simulation of Stochastic Systems, Journal of Statistical Computation
and Simulation 22,
161-180, 1985.
Rubinstein, R.Y. and Samorodnitsky, G. Optimal Coverage of Convex
Regions, Journal of
Optimization Theory and Applications 51, 321-343, 1986.
Rubinstein, R.Y. and Samorodnitsky, G. A Modified Version of Handcomb's
Antithetic
Variates Theorem, SIAM Journal of Scientific and Statistical Computing
8, 82-98, 1987.
Adler, R.J. and Samorodnitsky, G. Tail Behavior for the Suprema
of Gaussian Processes with
Applications to Empirical Processes, Annals of Probability 15, 1339-1351,
1987.
Samorodnitsky, G. Continuity of Gaussian Processes, Annals of Probability
16, 1019-1033,
1988.
Samorodnitsky, G. Extrema of Skewed Stable Processes. Stochastic
Processes and Their
Applications 30, 17-39, 1989.
Samorodnitsky, G. and Taqqu, M.S. The Various Linear Fractional
Levy Motions,
Probability, Statistics and Mathematics: Papers in Honor of Samuel
Karlin. T.W. Anderson,
K.B. Athreya and D.L. Iglehart, editors, Academic Press, 1989.
Samorodnitsky, G. and Szulga, J. An Asymptotic Evaluation of the
Tail of a Multiple
Symmetric-Stable Integral. Annals of Probability 17, 1503-1520, 1989.
Samorodnitsky, G. Local Moduli of Continuity for some Classes of Gaussian
Processes.
Stochastics 28, 269-292, 1989.
Lee, M.-L.T., Rachev, S.T. and Samorodnitsky, G. Association of
Stable Random Variables.
Annals of Probability 18, 1990.
Adler, R., Cambanis, S., Samorodnitsky, G. Stable Markov Processes.
Stochastic Processes and
Their Applications 34, 1-17, 1990.
Samorodnitsky, G. and Taqqu, M.S. Multiple Stable Integrals of Banach-Valued
Functions.
Journal of Theoretical Probability 3, 267-287, 1990.
Samorodnitsky, G. and Taqqu, M.S. Existence of Joint Moments of
Stable Random Variables.
Statistics and Probability Letters 10, 167-172, 1990.
Samorodnitsky, G. and Taqqu, M.S. 1/alpha-Self-Similar
alpha-Stable Processes with Stationary
Increments. Journal of Multivariate Analysis 35, 308-313, 1990.
Samorodnitsky, G. Probability Tails of Gaussian Extrema.
Stochastic Processes and Their
Applications 38, 55-84, 1991.
Samorodnitsky, G. and Taqqu, M.S. Construction of Multiple Stable
Measures and Integrals
Using LePage Representation. In: Stable Processes and Related Topics.
A Selection of Papers
from MSI Workshop, 1990 . S. Cambanis, G. Samorodnitsky , and M.S. Taqqu,
eds., Birkhauser,
Boston, 121-141, 1991.
Hardin, C., Samorodnitsky, G. and Taqqu, M.S. Numerical Computation
of Non-linear Stable
Regression Functions. In: Stable Processes and Related Topics. A
Selection of Papers
from MSI Workshop, 1990. S. Cambanis, G. Samorodnitsky , and M.S. Taqqu,
eds., Birkhauser,
Boston, 143-180, 1991.
Rosinski, J., Samorodnitsky, G. and Taqqu, M.S. Sample Path
Properties of Stochastic
Processes Represented in the Form of Multiple Stable Integrals.
Journal of Multivariate
Analysis
37, 115-133, 1991.
Samorodnitsky, G. and Taqqu, M.S. Probability Laws with 1-Stable
Marginals are 1-Stable.
Annals of Probability
19, 1777-1780, 1991.
Hardin, C., Samorodnitsky, G. and Taqqu, M.S. Non-linear Regression
of Stable Random
Variables. Annals of Applied Probability
1, 582-617, 1991.
Samorodnitsky, G. and Taqqu, M.S. Conditional Moments of Stable
Random Variables.
Stochastic Processes and Their Applications
39, 183-199, 1991.
Samorodnitsky, G. and Taqqu, M.S. Linear Models with Long-range
Dependence and with
Finite or Infinite Variance. New Directions in Time Series Analysis,
Part II, IMA Volumes in
Mathematics and Its Applications
46, Springer-Verlag, 1992.
Cambanis, S., Maejima, M. and Samorodnitsky, G. Characterization
of linear and harmonizable
fractional stable motions. Stochastic Processes and Their
Applications 42, 91-110, 1992.
Samorodnitsky, G. Integrability of Stable Processes.
Probability
and Mathematical Statistics 13, 191-204, 1992.
Lee, M.-L. T., Rachev, S.T. and Samorodnitsky, G. Dependence of
Stable Random Variables. In: Proceedings of the Conference on
Stochastic Inequalities, M. Shaked and Y.L. Tong, eds., 219-234. IMS, 1993.
Samorodnitsky, G. and Taqqu, M.S. Stochastic Monotonicity and
Slepian-type Inequalities for
Infinitely Divisible and Stable Random Vectors. Annals of
Probability 21, 143-160, 1993.
Rosinski, J. and Samorodnitsky, G. Distributions of Subadditive
Functionals of Sample Paths
of Infinitely Divisible Processes. Annals of Probability 21,
996-1014, 1993.
Adler, R.J., Samorodnitsky, G. and Gadrich, T. The Expected Number
of Level Crossings for
Stationary, Harmonizable, Symmetric Stable Processes. Annals of
Applied Probability 3, 553-575, 1993.
Rosinski, J., Samorodnitsky, G. and Taqqu, M.S. Zero-one Laws for
Multilinear Forms in
Gaussian and Other Infinitely Divisible Random Variables. Journal of
Multivariate Analysis 46, 61-82, 1993.
Rachev, S.T. and Samorodnitsky, G. Option Pricing Formulae for
Speculative Prices Modeled
by Subordinated Stochastic Process. Serdica 19, 175-190, 1993.
Rosinski, J. and Samorodnitsky, G. Zero-One Laws for Multiple
Stochastic Integrals. Chaos Expansions, Multiple Wiener-Ito
Integrals and Their Applications, 233-259. C. Houdre and V.
Perez-Abreu, editors. CRC Press, 1994.
Cline, D.B.H. and Samorodnitsky, G. Subexponentiality of the
Product
of Independent Random
Variables. Stochastic Processes and Their Applications 49, 75-98,
1994.
Samorodnitsky, G. Possible Sample Paths of Self-Similar
alpha-Stable Processes. Statistics and Probability Letters 19,
233-237, 1994.
Rachev, S.T. and Samorodnitsky, G. Geometric Stable Distributions
in Banach Spaces.
Journal of Theoretical Probability 7, 351-374, 1994.
Samorodnitsky, G. and Taqqu, M.S. Levy Measures of Infinitely
Divisible Random Vectors and Slepian Inequalities. Annals of
Probability 22, 1930-1956, 1994.
Norvaisa, R. and Samorodnitsky, G. Stable Processes with Sample
Paths in Orlicz Spaces. Annals of Probability 22, 1904-1929,
1995.
Rachev, S.T. and Samorodnitsky, G. Limit Laws for a Stochastic
Process and Random Recursion Arising in Probabilistic Modeling .
Advances in Applied Probability 27, 185-202, 1995.
Samorodnitsky, G. Association of infinitely divisible random
vectors. Stochastic Processes and Their Applications 55,
45-56, 1995.
Braverman, M. and Samorodnitsky, G. Functionals of infinitely
divisible processes with exponential tails . Stochastic Processes and
Their Applications 56, 207-231, 1995.
Adler, R.J. and Samorodnitsky, G. Super Fractional Brownian Motion,
Fractional Super Brownian Motion and Related Self-Similar (Super)
Processes. Annals of Probability 23, 743-766, 1995.
Cioczek-Georges, R., Mandelbrot, M.M., Samorodnitsky, G. and Taqqu,
M.S. Stable fractal classes of pulses: the cylindrical case .
Bernoulli 1, 201-216, 1995.
Embrechts, P. and Samorodnitsky, G. Sample quantiles of heavy
tailed stochastic processes . Stochastic Processes and
Their Applications 59, 217-233, 1995.
Rosinski, J. and Samorodnitsky, G. Symmetrization, a
concentration inequality and zero-one law for multiple stochastic
integrals . Annals of Probability 24, 422-437, 1996.
Samorodnitsky, G. A class of shot noise models for financial
applications . Proceeding of Athens International Conference on
Applied Probability and Time Series. Volume 1: Applied Probability,
332-353. C.C. Heyde, Yu. V. Prohorov, R. Pyke and S.T. Rachev,
editors. Springer, 1996.
Rosinski, J. and Samorodnitsky, G. Classes of mixing stable
processes . Bernoulli 2, 365-378, 1996.
Braverman, M. and Samorodnitsky, G. L^1 norm of Levy
processes with exponential tails . Mathematica Scandinavica
78, 213-232, 1996.
Adler, R.J. and Samorodnitsky, G. Level crossings of
absolutely continuous stationary symmetric alpha-stable
processes .
Annals of Applied Probability 7, 460-493, 1997.
Resnick, S. and Samorodnitsky, G. Performance decay in a
single server exponential queueing model with long range
dependence . Operations Research 45, 235-243, 1997.
Heath, D., Resnick, S.I. and Samorodnitsky, G. Patterns of
buffer overflow in a class of queues with long memory in the input
stream . Annals of Applied Probability 7, 1021-1057,
1997.
Embrechts, P., , Resnick, S. and Samorodnitsky, G. Living on
the edge . RISK January 1998, 96-100, 1998.
Samorodnitsky, G. Lower tails of self-similar stable
processes . Bernoulli 4, 127-142, 1998.
Heath, D., Resnick, S.I. and Samorodnitsky, G. Heavy tails
and long range dependence in ON/OFF processes and associated
fluid models . Mathematics of Operations Research 23,
145-165, 1998.
Embrechts, P., Samorodnitsky, G., Dacorogna, M.. and Mueller,
U. How heavy are the tails of a stationary HARCH(k) process? A study
of the moments . Stochastic Processes and Related Topics. In
Memory of Stamatis Cambanis, 69-102. Ioannis Karatzas, Balram Rajput and
Murad Taqqu, eds. Birkhauser, 1998.
Samorodnitsky, G. Tail behavior of shot noise processes .
A PRACTICAL GUIDE TO HEAVY TAILS: Statistical Techniques and
Applications, 473-486. Robert Adler, Raisa Feldman and
Murad Taqqu, eds. Birkhauser, 1998.
Cohen, J., Resnick, S. and Samorodnitsky, G. Sample
Correlations of Infinite Variance Time Series Models: An Empirical and
Theoretical Study . Journal of Applied Mathematics and Stochastic
Analysis 11, 255-282, 1998.
Braverman, M. and Samorodnitsky, G. Distribution tails of
sample quantiles and subexponentiality . Stochastic
Processes and Their Applications 76, 45-60, 1998.
Braverman, M. and Samorodnitsky, G. Symmetric infinitely
divisible processes with sample paths in Orlicz spaces and absolute
continuity of infinitely divisible processes . Stochastic
Processes and Their Applications 78, 1-26, 1998.
Kozubowski, T.J., Podgorski, K. and Samorodnitsky, G. Tails of
Levy measure of geometric stable random variables . Extremes
1, 367-378, 1998.
Embrechts, P., Resnick, S. and Samorodnitsky, G. Extreme
Value Theory as a risk management tool North American Actuarial
Journal 3, 30-41, 1999.
Rosinski, J. and Samorodnitsky, G. Product formula, tails and
independence of multiple stable integrals . Advances in
Stochastic Inequalities (AMS Special Session on Stochastic
Inequalities). Christian Houdre and Ted Hill, editors. Number 234 in
Contemporary Mathematics series. American Mathematical Society,
169-194, 1999.
Heath, D., Resnick, S. and Samorodnitsky, G. How system
performance is affected by the interplay of
averages in a fluid queue with long range dependence induced by
heavy tails . Annals of Applied Probability 9, 352-375, 1999.
Maejima, M. and Samorodnitsky, G. Certain probabilistic
aspects of semistable laws . Annals of the Institute of
Statistical Mathematics 51, 449-462, 1999.
Resnick, S., Samorodnitsky, G. and Xue, F. How misleading can
sample ACF's of stable MA's be? (Very!) . Annals of Applied
Probability 9, 797-817, 1999.
Resnick, S. and Samorodnitsky, G. Activity periods of an
infinite server queue and performance of certain heavy tailed
queues . QUESTA 33, 43-71, 1999.
Resnick, S., Samorodnitsky, G. and Xue, F. Growth rates of
sample covariances of stationary symmetric alpha-stable processes
associated with null recurrent Markov chains . Stochastic
Processes and Their Applications 85, 321-339, 2000.
Mittnik, S., Rachev, S. and Samorodnitsky, G. Testing for
structural breaks in time series regressions with heavy tailed
distributions . Datamining und Computational Finance. G. Bol,
G. Nakhaeizadeh and K.-H. Vollmer, editors. Wirtshaftswissenshftliche
Beitrage 174. Physica-Verlag, Heidelberg, 115-142, 2000.
Resnick, S. and Samorodnitsky, G. A heavy traffic limit
theorem for workload processes with heavy tailed service
requirements . Management Science 46, 1236-1248, 2000.
Mikosch, T., Resnick, S. and Samorodnitsky, G. The maximum of
the periodogram for a heavy tailed sequence . Annals of
Probability 28, 885-908, 2000.
Mikosch, T. and Samorodnitsky, G. The supremum of a negative
drift random walk with dependent heavy--tailed steps .
Annals of Applied Probability 10, 1025-1064, 2000.
Resnick, S. and Samorodnitsky, G. Fluid Queues,
On-Off Processes and Teletraffic Modeling with Highly Variable and
Correlated Inputs . SELF-SIMILAR NETWORK TRAFFIC AND PERFORMANCE
EVALUATION Kihong Park and Walter Willinger, Editors. Wiley, New York,
171-192, 2000.
Hauksson, H., Dacorogna, M., Domenig, T,. Mueller, U. and
Samorodnitsky, G. Multivariate extremes, aggregation and risk
estimation . Quantitative Finance 1 (1), 79-95, 2001.
Roundy, R.O. and Samorodnitsky, G. Optimal
(s,S) inventory policies for Levy demand processes .
RAIRO - Operations Research 35, 37-70, 2001.
Mittnik, S., Rachev, S. and Samorodnitsky, G. The distribution
of test statistics for outlier detection in heavy-tailed samples
. Mathematical and Computer Modelling 34, 1171-1183, 2001.
Mansfield, P., Rachev, S. and Samorodnitsky, G. Long strange
segments of a stochastic process and long range dependence
. Annals of Applied Probability 11, 878-921, 2001.
Braverman, M., Mikosch, T. and Samorodnitsky, G. Tail
probabilities of subadditive functionals acting on L\'evy
processes . Annals of Applied Probability 12, 69-100,
2002.
Borkovec, M., Dasgupta, A., Resnick, S. and Samorodnitsky, G.
A single channel on/off model with TCP--like control . Stochastic Models 18, 333-367, 2002.
Last revised: 10/04/2002
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