This is a collection of Technical Reports and Papers written for the field of Operations Research and Information Engineering.

Recent Submissions

  • Distance covariance for stochastic processes 

    Matsui, Muneya; Mikosch, Thomas; Samorodnitsky, Gennady (2016-12-13)
    The distance covariance of two random vectors is a measure of their dependence. The empirical distance covariance and correlation can be used as statistical tools for testing whether two random vectors are independent. We ...
  • Closed-form Ruin Probabilities in Classical Risk Models with Gamma Claims 

    Constantinescu, Corina; Samorodnitsky, Gennady; Zhu, Wei (2016-12-12)
    In this paper we provide three equivalent expressions for ruin probabilities in a Cram\'er-Lundberg model with gamma distributed claims. The results are solutions of integro-differential equations, derived by means of ...
  • Extreme values of the uniform autoregressive processes and missing observations 

    Glavas, Lenka; Mladenovic, Pavle; Samorodnitsky, Gennady (2016)
    We investigate partial maxima of the uniform AR(1) processes with parameter r geq 2. Positively and negatively correlated processes are considered. New limit theorems for maxima in complete and incomplete samples are obtained
  • Asymptotic behaviour of Gaussian minima 

    Chakrabarty, Arijit; Samorodnitsky, Gennady (2016)
    We investigate what happens when an entire sample path of a smooth Gaussian process on a compact interval lies above a high level. Specifically, we determine the precise asymptotic probability of such an event, the ...
  • Contact distribution in a thinned Boolean model with power law radii 

    Dong, Yinghua; Samorodnitsky, Gennady (2016-03)
    We consider a weighted stationary spherical Boolean model in R^d. Assuming that the radii of the balls in the Boolean model have regularly varying tails, we establish the asymptotic behaviour of the tail of the contact ...

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