Applied Probability, Financial Engineering, Network Design and Analysis, Statistics

Office: 284 Rhodes

Phone: 607.255.1210

Website: click here

Sidney Resnick received his B. S. from Queens College in 1966 and his M.A. and Ph.D. from Purdue in 1968 and 1970. Prior to joining the faculty of the School of Operations Research and Industrial Engineering, Resnick spent nine years at Colorado State University, six years at Stanford University, and two years at the Technion, in Haifa, Israel. He has also held visiting appointments at several institutions, including the University of Amsterdam and the Amsterdam Mathematics Center; the Australian National University (1975, 2005) and CSIRO, in Canberra, Australia; the Technion in Israel (as a Lady Davis Fellow); Sussex University, in Brighton, UK (as a Science and Engineering Research Council Fellow), Erasmus University, in Rotterdam, The Netherlands, ETH Zurich, Eurandom in Eindhoven, The Netherlands and University of North Carolina (1998, 2006) at Chapel Hill.

His research has concentrated on probability modeling, with emphasis on extreme value theory and modeling of phenomena requiring heavy tails. A mathematical theme has been the usefulness of point processes for the study of weak convergence phenomena connected with heavy tails. Work continues on understanding how to fit heavy tailed models to data and in understanding the influence of heavy tails and induced long range dependence on data networks. Recent effort has focused on the inability of standard data network models to adequately explain observed phenomena in data traces.

Select Publications

“On the foundation of multivariate heavy tail analysis”. Stochastic Methods and their Applications. Journal of Applied Probability Special Volume 41A; C.C. Heyde Festschrift. (2004).

“Small and large time scale analysis of a network traffic model”. Queueing Systems 43: 221- 250 (2003). (With K. Maulik)

“Modeling Data Networks”. SemStat: Seminaire Europeen de Statistique, Exteme Values in Finance, Telecommunications, and the Environment, 287 - 372, Chapman-Hall, London. Editors: B. Finkenstadt and H. Rootzén. (2003).

”Asymptotic independence and a network traffic model”. Journal of Applied Probability 39: 671 - 699 (2002). (With K. Maulik and H. Rootzén)

“Is Network Traffic Approximated by Stable Lévy Motion or Fractional Brownian Motion”. To appear in Annals of Applied Probability. (2002). (With T. Mikosch, H. Rootzén and A.W. Stegeman)

“Self-similar communication models and very heavy tails”. Annals of Applied Probability 10: 753 - 778 (2000). (With H. Rootzén)

Books

1987 Extreme Values, Regular Variation and Point Processes. Springer-Verlag, New York.

1992 Adventures in Stochastic Processes. Birkhauser, Boston.

1998 A Probability Path. Birkhauser, Boston.

2006 Total Heaviosity: Probabilistic and Statistical Modeling of Heavy Tail Phenomena, Springer-Verlag, New York.

Professional Activities

Bernoulli Society Committee for Conferences in Stochastic Processes

Program Committee First World Congress of the Bernoulli Society, Tashkent, USSR

Founding Associate Editor, Annals of Applied Probability

Former Associate Editor, Stochastic Processes and their ApplicationsAssociate Editor Journal of Applied Probability

Associate Editor Stochastic Models

Associate Editor The Mathematical Scientist

Council of the Institute of Mathematical Statistics

University Activities

Director School of Operations Research and Industrial Engineering, 1999 -2004

Faculty Committee on Program Review

Awards and Recognition

Oliver Pennock Distinguished Service Award

Lady Davis Fellow

Science and Engineering Research Council Fellow

Institute of Mathematical Statistics Fellow