Operations Research and Information Engineering is the science of rational decision making and the study, design and integration of complex situations and systems with the goal of predicting system behavior and improving or optimizing system performance. It encompasses managerial decision making, mathematical and computer modeling and the use of information technology for informed decision-making.

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  • 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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