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 Documents Indexed: 165 Publications since 1982, including 4 Books
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Co-Authors

 17 single-authored 19 Resnick, Sidney Ira 17 Taqqu, Murad S. 15 Mikosch, Thomas 11 Rachev, Svetlozar T. 9 Adler, Robert Joseph 9 Rosiński, Jan 6 Rubinstein, Reuven Y. 5 Braverman, Michael Sh. 5 Grigoriu, Mircea D. 4 Embrechts, Paul 4 Owada, Takashi 3 Cambanis, Stamatis 3 Chakrabarty, Arijit 3 Heath, David C. 3 Hult, Henrik 3 Shen, Yi 2 Alparslan, Uğur Tuncay 2 Dacorogna, Michel M. 2 Davis, Richard A. 2 Ghosh, Souvik 2 González-Arévalo, Bárbara 2 Hardin, Clyde D. jun. 2 Lee, Mei-Ling Ting 2 Maejima, Makoto 2 Matsui, Muneya 2 Müller, Ulrich A. 2 Nguyen, Tilo 2 Peterson, Jonathon 2 Stoyanov, Stoyan V. 2 Sun, Julian 2 Tafakori, Laleh 2 Taylor, Jonathan E. 2 Wang, Yizao 2 Xue, Fang 1 Albin, J. M. P. 1 Bendikov, Alexander D. 1 Bladt, Mogens 1 Borkovec, Milan 1 Can, Sami Umut 1 Chen, Zaoli 1 Cioczek-Georges, Renata 1 Cline, Daren B. H. 1 Cohen, Jason 1 Cohen, Serge 1 Constantinescu, Corina D. 1 Damek, Ewa 1 Danielsson, Jon 1 Dasgupta, Amites 1 D’Auria, Bernardo 1 de Vries, Casper George 1 Dehling, Herold G. 1 Demichel, Yann 1 Domenig, Thomas 1 Dong, Yinghua 1 Durieu, Olivier 1 Estrade, Anne 1 Fasen, Vicky 1 Faÿ, Gilles 1 Gadrich, Tamar 1 Gaver, Donald Paul jun. 1 Gilbert, Anna C. 1 Glavaš, Lenka 1 Glazebrook, Kevin D. 1 Grabchak, Michael 1 Grigor’yan, Alexander Asaturovich 1 Hauksson, Höskuldur Ari 1 Jacobs, Patricia A. 1 Jacobsen, Martin 1 Jessen, Anders Hedegaard 1 Jorgensen, Bjorn N. 1 Klüppelberg, Claudia 1 Kozubowski, Tomasz J. 1 Kratz, Marie-France 1 Kurz-Kim, Jeong-Ryeol 1 Lacaux, Céline 1 Lindskog, Filip 1 Lu, Xiaoyang 1 Mandelbrot, Benoit B. 1 Mansfield, Peter 1 Mittnik, Stefan 1 Mladenović, Pavle N. 1 Molchanov, Stanislav Alekseevich 1 Moldavskaya, Elina M. 1 Nielsen, Bo Friis 1 Norvaiša, Rimas 1 Ortobelli, Sergio 1 Paolella, Marc S. 1 Pawlas, Zbyněk 1 Podgórski, Krzysztof 1 Renault, Eric 1 Roueff, François 1 Roundy, Robin O. 1 Roy, Parthanil 1 Sarma, Mandira 1 Shaked, Moshe 1 Soulier, Philippe 1 Szulga, Jerzy 1 Thoppe, Gugan C. 1 Towsley, Donald Fred 1 Veredas, David ...and 9 more Co-Authors
all top 5

Serials

 23 Stochastic Processes and their Applications 22 The Annals of Probability 15 The Annals of Applied Probability 11 Bernoulli 7 Advances in Applied Probability 7 Journal of Applied Probability 6 Extremes 4 Probability and Mathematical Statistics 4 Journal of Theoretical Probability 4 Scandinavian Actuarial Journal 3 Journal of Multivariate Analysis 2 Journal of Econometrics 2 Management Science 2 Mathematics of Operations Research 2 Operations Research 2 Statistics & Probability Letters 2 Queueing Systems 2 Journal of Physics A: Mathematical and General 2 Quantitative Finance 2 Stochastic Models 1 Lithuanian Mathematical Journal 1 Theoretical and Mathematical Physics 1 Annals of the Institute of Statistical Mathematics 1 Journal of the American Statistical Association 1 Journal of Optimization Theory and Applications 1 Mathematics and Computers in Simulation 1 Mathematica Scandinavica 1 Naval Research Logistics 1 SIAM Journal on Scientific and Statistical Computing 1 Operations Research Letters 1 Communications in Statistics. Stochastic Models 1 Mathematical and Computer Modelling 1 Journal of Applied Mathematics and Stochastic Analysis 1 Journal of Statistical Computation and Simulation 1 Serdica 1 Annales de l’Institut Henri Poincaré. Probabilités et Statistiques 1 Stochastics and Stochastics Reports 1 Annales de la Faculté des Sciences de Toulouse. Mathématiques. Série VI 1 Electronic Journal of Probability 1 Electronic Communications in Probability 1 Izvestiya: Mathematics 1 Probability in the Engineering and Informational Sciences 1 RAIRO. Operations Research 1 ASTIN Bulletin 1 North American Actuarial Journal 1 Progress in Probability 1 ALEA. Latin American Journal of Probability and Mathematical Statistics 1 Foundations and Trends in Stochastic Systems 1 Springer Series in Operations Research and Financial Engineering
all top 5

Fields

 145 Probability theory and stochastic processes (60-XX) 43 Statistics (62-XX) 19 Operations research, mathematical programming (90-XX) 14 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 6 Numerical analysis (65-XX) 5 Dynamical systems and ergodic theory (37-XX) 4 General and overarching topics; collections (00-XX) 4 Combinatorics (05-XX) 3 Computer science (68-XX) 2 Partial differential equations (35-XX) 1 Real functions (26-XX) 1 Special functions (33-XX) 1 Ordinary differential equations (34-XX) 1 Harmonic analysis on Euclidean spaces (42-XX) 1 Integral transforms, operational calculus (44-XX) 1 Operator theory (47-XX) 1 Convex and discrete geometry (52-XX) 1 Algebraic topology (55-XX) 1 Statistical mechanics, structure of matter (82-XX) 1 Geophysics (86-XX) 1 Systems theory; control (93-XX)

Citations contained in zbMATH Open

144 Publications have been cited 2,642 times in 2,011 Documents Cited by Year
Stable non-Gaussian random processes: stochastic models with infinite variance. Zbl 0925.60027
1994
Subexponentiality of the product of independent random variables. Zbl 0799.60015
Cline, D. B. H.; Samorodnitsky, G.
1994
The supremum of a negative drift random walk with dependent heavy-tailed steps. Zbl 1083.60506
2000
Distributions of subadditive functionals of sample paths of infinitely divisible processes. Zbl 0776.60049
1993
Extreme value theory as a risk management tool. SOA Seminar: Integrated Approaches to Risk Measurement in the Financial Services Industry (Atlanta, GA, 1997). Zbl 1082.91530
Embrechts, Paul; Resnick, Sidney I.; Samorodnitsky, Gennady
1999
Functional large deviations for multivariate regularly varying random walks. Zbl 1166.60309
Hult, Henrik; Lindskog, Filip; Mikosch, Thomas; Samorodnitsky, Gennady
2005
Heavy tails and long range dependence in on/off processes and associated fluid models. Zbl 0981.60092
Heath, David; Resnick, Sidney; Samorodnitsky, Gennady
1998
Modeling teletraffic arrivals by a Poisson cluster process. Zbl 1119.60075
Faÿ, Gilles; González-Arévalo, Bárbara; Mikosch, Thomas; Samorodnitsky, Gennady
2006
Long range dependence. Zbl 1242.60033
2006
Extreme value theory, ergodic theory and the boundary between short memory and long memory for stationary stable processes. Zbl 1049.60027
2004
Tail probabilities for infinite series of regularly varying random vectors. Zbl 1158.60325
2008
Ruin probability with claims modeled by a stationary ergodic stable process. Zbl 1044.60028
2000
Stochastic processes and long range dependence. Zbl 1376.60007
2016
Null flows, positive flows and the structure of stationary symmetric stable processes. Zbl 1080.60033
2005
Classes of mixing stable processes. Zbl 0870.60032
1996
Stationary symmetric $$\alpha$$-stable discrete parameter random fields. Zbl 1218.60039
2008
Functionals of infinitely divisible stochastic processes with exponential tails. Zbl 0819.60020
1995
Do financial returns have finite or infinite variance? A paradox and an explanation. Zbl 1202.91333
2010
Activity periods of an infinite server queue and performance of certain heavy tailed fluid queues. Zbl 0997.60111
1999
Limit laws for a stochastic process and random recursion arising in probabilistic modelling. Zbl 0819.60024
1995
Probability tails of Gaussian extrema. Zbl 0728.60038
1991
Functional central limit theorem for heavy tailed stationary infinitely divisible processes generated by conservative flows. Zbl 1320.60090
2015
Patterns of buffer overflow in a class of queues with long memory in the input stream. Zbl 0905.60070
Heath, David; Resnick, Sidney; Samorodnitsky, Gennady
1997
High level excursion set geometry for non-Gaussian infinitely divisible random fields. Zbl 1269.60051
2013
Stochastic monotonicity and Slepian-type inequalities for infinitely divisible and stable random vectors. Zbl 0771.60017
1993
Random rewards, fractional Brownian local times and stable self-similar processes. Zbl 1133.60016
2006
Fat tails, VaR and subadditivity. Zbl 1443.62343
Daníelsson, Jón; Jorgensen, Bjørn N.; Samorodnitsky, Gennady; Sarma, Mandira; de Vries, Casper G.
2013
A class of shot noise models for financial applications. Zbl 0861.60057
1996
Maxima of continuous-time stationary stable processes. Zbl 1071.60038
2004
Tail probabilities of subadditive functionals of Lévy processes. Zbl 1035.60045
Braverman, Michael; Mikosch, Thomas; Samorodnitsky, Gennady
2002
Excursion sets of three classes of stable random fields. Zbl 1201.60044
2010
Understanding heavy tails in a bounded world or, is a truncated heavy tail heavy or not? Zbl 1235.62056
2012
Prediction of outstanding payments in a Poisson cluster model. Zbl 1277.62252
Jessen, Anders Hedegaard; Mikosch, Thomas; Samorodnitsky, Gennady
2011
Extrema of skewed stable processes. Zbl 0656.60029
1988
Growth rates of sample covariances of stationary symmetric $$\alpha$$-stable processes associated with null recurrent Markov chains. Zbl 0995.62083
Resnick, Sidney; Samorodnitsky, Gennady; Xue, Fang
2000
Nonstandard regular variation of in-degree and out-degree in the preferential attachment model. Zbl 1343.60138
Samorodnitsky, Gennady; Resnick, Sidney; Towsley, Don; Davis, Richard; Willis, Amy; Wan, Phyllis
2016
How misleading can sample ACFs of stable MAs be? (Very!). Zbl 0959.62076
Resnick, Sidney; Samorodnitsky, Gennady; Xue, Fang
1999
Inverse problems for regular variation of linear filters, a cancellation property for $$\sigma$$-finite measures and identification of stable laws. Zbl 1171.60309
Jacobsen, Martin; Mikosch, Thomas; Rosiński, Jan; Samorodnitsky, Gennady
2009
Tails of solutions of certain nonlinear stochastic differential equations driven by heavy tailed Lévy motions. Zbl 1075.60540
Samorodnitsky, G.; Grigoriu, M.
2003
Asymptotic distribution of unibiased linear estimators in the presence of heavy-tailed stochastic regressors and residuals. Zbl 1131.62013
Samorodnitsky, Gennady; Rachev, Svetlozar T.; Kurz-Kim, Jeong-Ryeol; Stoyanov, Stoyan V.
2007
Scaling limits for cumulative input processes. Zbl 1279.90033
2007
Antithetic variates, multivariate dependence and simulation of stochastic systems. Zbl 0606.65099
Rubinstein, Reuven Y.; Samorodnitsky, Gennady; Shaked, Moshe
1985
Tauberian theory for multivariate regularly varying distributions with application to preferential attachment networks. Zbl 1345.60118
2015
An asymptotic evaluation of the tail of a multiple symmetric $$\alpha$$- stable integral. Zbl 0689.60051
1989
Steady-state distribution of the buffer content for $$\text{M}/\text{G}/\infty$$ input fluid queues. Zbl 0994.60085
2001
Point processes associated with stationary stable processes. Zbl 1074.60058
2004
Conditional moments and linear regression for stable random variables. Zbl 0739.62016
1991
Computing the portfolio conditional value-at-risk in the $$\alpha$$-stable case. Zbl 1255.91395
Stoyanov, Stoyan; Samorodnitsky, Gennady; Rachev, Svetlozar T.; Ortobelli, Sergio
2006
Tails of Lévy measure of geometric stable random variables. Zbl 0930.60008
Kosubowski, Tomasz J.; Podgorski, Krzysztof; Samorodnitsky, Gennady
1999
Maxima of long memory stationary symmetric $$\alpha$$-stable processes, and self-similar processes with stationary max-increments. Zbl 1325.60040
2015
Association of infinitely divisible random vectors. Zbl 0817.60009
1995
The expected number of level crossings for stationary, harmonisable, symmetric, stable processes. Zbl 0779.60034
1993
Weak quenched limiting distributions for transient one-dimensional random walk in a random environment. Zbl 1277.60188
2013
Wavelet analysis of conservative cascades. Zbl 1020.62075
Resnick, Sidney; Samorodnitsky, Gennady; Gilbert, Anna; Willinger, Walter
2003
Functional central limit theorem for a class of negatively dependent heavy-tailed stationary infinitely divisible processes generated by conservative flows. Zbl 1381.60081
2017
Performance decay in a single server exponential queueing model with long range dependence. Zbl 0890.90066
1997
On stable Markov processes. Zbl 0692.60054
1990
$$(1/\alpha)$$-self similar $$\alpha$$-stable processes with stationary increments. Zbl 0721.60047
1990
Nonlinear regression of stable random variables. Zbl 0748.60017
1991
Large deviations for point processes based on stationary sequences with heavy tails. Zbl 1202.60043
2010
Multivariate subexponential distributions and their applications. Zbl 1385.60034
2016
How system performance is affected by the interplay of averages in a fluid queue with long range dependence induced by heavy tails. Zbl 1059.60505
Heath, David; Resnick, Sidney; Samorodnitsky, Gennady
1999
The maximum of the periodogram for a heavy-tailed sequence. Zbl 1044.62097
Mikosch, Thomas; Resnick, Sidney; Samorodnitsky, Gennady
2000
Extremal theory for long range dependent infinitely divisible processes. Zbl 1439.60050
2019
Time-changed extremal process as a random sup measure. Zbl 1346.60070
2016
Calculation of ruin probabilities for a dense class of heavy tailed distributions. Zbl 1401.62204
2015
Long strange segments in a long-range-dependent moving average. Zbl 1053.60036
2001
On the existence of paths between points in high level excursion sets of Gaussian random fields. Zbl 1301.60041
2014
Association of stable random variables. Zbl 0716.60017
Lee, Mei-Ling Ting; Rachev, Svetlozar T.; Samorodnitsky, Gennady
1990
Symmetric infinitely divisible processes with sample paths in Orlicz spaces and absolute continuity of infinitely divisible processes. Zbl 0934.60009
1998
Tail behaviour for the suprema of Gaussian processes with applications to empirical processes. Zbl 0638.60059
1987
Lower tails of self-similar stable processes. Zbl 0951.60046
1998
Tail behavior of some shot noise processes. Zbl 0937.60037
1998
Level crossings of absolutely continuous stationary symmetric $$\alpha$$-stable processes. Zbl 0883.60026
1997
On overload in a storage model, with a self-similar and infinitely divisible input. Zbl 1047.60034
Albin, J. M. P.; Samorodnitsky, Gennady
2004
Long strange segments of a stochastic process. Zbl 1052.60025
Mansfield, Peter; Rachev, Svetlozar T.; Samorodnitsky, Gennady
2001
Stable fractal sums of pulses: The cylindrical case. Zbl 0844.60017
1995
Geometric stable distributions in Banach spaces. Zbl 0804.60014
1994
A heavy traffic approximation for workload processes with heavy tailed service requirements. Zbl 1232.90133
2000
Is the location of the supremum of a stationary process nearly uniformly distributed? Zbl 1291.60069
2013
Linear models with long-range dependence and with finite or infinite variance. Zbl 0825.62696
1993
Multivariate extremes, aggregation and risk estimation. Zbl 1405.91555
Hauksson, H. A.; Dacorogna, M.; Domenig, T.; Müller, U.; Samorodnitsky, G.
2001
Ruin probabilities in classical risk models with gamma claims. Zbl 1416.91166
Constantinescu, Corina; Samorodnitsky, Gennady; Zhu, Wei
2018
Certain probabilistic aspects of semistable laws. Zbl 0954.60002
1999
Product formula, tails and independence of multiple stable integrals. Zbl 0940.60025
Rosiński, J.; Samorodnitsky, G.
1999
Limit behavior of fluid queues and networks. Zbl 1165.90390
2005
Tail inference: where does the tail begin? Zbl 1329.62235
2012
Fractional moments of solutions to stochastic recurrence equations. Zbl 1303.60042
Mikosch, Thomas; Samorodnitsky, Gennady; Tafakori, Laleh
2013
The various linear fractional Lévy motions. Zbl 0692.60041
Samorodnitsky, G.; Taqqu, M. S.
1989
Multiple stable integrals of Banach-valued functions. Zbl 0701.60051
1990
Integrability of stable processes. Zbl 0788.60048
1992
The effect of memory on functional large deviations of infinite moving average processes. Zbl 1157.60021
2009
Modeling and analysis of uncertain time-critical tasking problems. Zbl 1106.90324
Gaver, Donald P.; Jacobs, Patricia A.; Samorodnitsky, Gennady; Glazebrook, Kevin D.
2006
Asymptotic normality of degree counts in a preferential attachment model. Zbl 1426.05152
2016
Sample correlations of infinite variance time series models: An empirical and theoretical study. Zbl 0919.62104
Cohen, Jason; Resnick, Sidney; Samorodnitsky, Gennady
1998
Symmetrization and concentration inequalities for multilinear forms with applications to zero-one laws for Lévy chaos. Zbl 0854.60017
1996
A single channel on/off model with TCP-like control. Zbl 1015.60087
Borkovec, Milan; Dasgupta, Amites; Resnick, Sidney; Samorodnitsky, Gennady
2002
Intrinsic location functionals of stationary processes. Zbl 1320.60094
2013
A fluid cluster Poisson input process can look like a fractional Brownian motion even in the slow growth aggregation regime. Zbl 1169.90008
2009
From infinite urn schemes to self-similar stable processes. Zbl 1434.60105
Durieu, Olivier; Samorodnitsky, Gennady; Wang, Yizao
2020
From infinite urn schemes to self-similar stable processes. Zbl 1434.60105
Durieu, Olivier; Samorodnitsky, Gennady; Wang, Yizao
2020
Regularly varying random fields. Zbl 1456.60127
2020
Distance covariance for discretized stochastic processes. Zbl 1462.62356
Dehling, Herold; Matsui, Muneya; Mikosch, Thomas; Samorodnitsky, Gennady; Tafakori, Laleh
2020
Extremal theory for long range dependent infinitely divisible processes. Zbl 1439.60050
2019
Ruin probabilities in classical risk models with gamma claims. Zbl 1416.91166
Constantinescu, Corina; Samorodnitsky, Gennady; Zhu, Wei
2018
Asymptotic behaviour of high Gaussian minima. Zbl 1391.60068
2018
Functional central limit theorem for a class of negatively dependent heavy-tailed stationary infinitely divisible processes generated by conservative flows. Zbl 1381.60081
2017
Climbing down Gaussian peaks. Zbl 1396.60039
2017
Extreme values of the uniform order 1 autoregressive processes and missing observations. Zbl 1387.60085
2017
Distance covariance for stochastic processes. Zbl 1396.62115
Matsui, Muneya; Mikosch, Thomas; Samorodnitsky, Gennady
2017
Stochastic processes and long range dependence. Zbl 1376.60007
2016
Nonstandard regular variation of in-degree and out-degree in the preferential attachment model. Zbl 1343.60138
Samorodnitsky, Gennady; Resnick, Sidney; Towsley, Don; Davis, Richard; Willis, Amy; Wan, Phyllis
2016
Multivariate subexponential distributions and their applications. Zbl 1385.60034
2016
Time-changed extremal process as a random sup measure. Zbl 1346.60070
2016
Asymptotic normality of degree counts in a preferential attachment model. Zbl 1426.05152
2016
Functional central limit theorem for heavy tailed stationary infinitely divisible processes generated by conservative flows. Zbl 1320.60090
2015
Tauberian theory for multivariate regularly varying distributions with application to preferential attachment networks. Zbl 1345.60118
2015
Maxima of long memory stationary symmetric $$\alpha$$-stable processes, and self-similar processes with stationary max-increments. Zbl 1325.60040
2015
Calculation of ruin probabilities for a dense class of heavy tailed distributions. Zbl 1401.62204
2015
On a class of random perturbations of the hierarchical Laplacian. Zbl 1448.47050
Bendikov, Alexander D.; Grigor&rsquo;yan, Alexander A.; Molchanov, Stanislav A.; Samorodnitsky, Gennady P.
2015
On the existence of paths between points in high level excursion sets of Gaussian random fields. Zbl 1301.60041
2014
General inverse problems for regular variation. Zbl 1314.60049
Damek, Ewa; Mikosch, Thomas; Rosiński, Jan; Samorodnitsky, Gennady
2014
High level excursion set geometry for non-Gaussian infinitely divisible random fields. Zbl 1269.60051
2013
Fat tails, VaR and subadditivity. Zbl 1443.62343
Daníelsson, Jón; Jorgensen, Bjørn N.; Samorodnitsky, Gennady; Sarma, Mandira; de Vries, Casper G.
2013
Weak quenched limiting distributions for transient one-dimensional random walk in a random environment. Zbl 1277.60188
2013
Is the location of the supremum of a stationary process nearly uniformly distributed? Zbl 1291.60069
2013
Fractional moments of solutions to stochastic recurrence equations. Zbl 1303.60042
Mikosch, Thomas; Samorodnitsky, Gennady; Tafakori, Laleh
2013
Intrinsic location functionals of stationary processes. Zbl 1320.60094
2013
Understanding heavy tails in a bounded world or, is a truncated heavy tail heavy or not? Zbl 1235.62056
2012
Tail inference: where does the tail begin? Zbl 1329.62235
2012
Distribution of the supremum location of stationary processes. Zbl 1246.60055
2012
Weak weak quenched limits for the path-valued processes of hitting times and positions of a transient, one-dimensional random walk in a random environment. Zbl 1277.60189
2012
Function-indexed empirical processes based on an infinite source Poisson transmission stream. Zbl 1259.60036
Roueff, François; Samorodnitsky, Gennady; Soulier, Philippe
2012
Prediction of outstanding payments in a Poisson cluster model. Zbl 1277.62252
Jessen, Anders Hedegaard; Mikosch, Thomas; Samorodnitsky, Gennady
2011
A large deviation principle for Minkowski sums of heavy-tailed random compact convex sets with finite expectation. Zbl 1235.60012
Mikosch, Thomas; Pawlas, Zbyněk; Samorodnitsky, Gennady
2011
How fast can the chord length distribution decay? Zbl 1222.60068
2011
Do financial returns have finite or infinite variance? A paradox and an explanation. Zbl 1202.91333
2010
Excursion sets of three classes of stable random fields. Zbl 1201.60044
2010
Large deviations for point processes based on stationary sequences with heavy tails. Zbl 1202.60043
2010
Weak convergence of the function-indexed integrated periodogram for infinite variance processes. Zbl 1207.62173
Can, Sami Umut; Mikosch, Thomas; Samorodnitsky, Gennady
2010
Long strange segments, ruin probabilities and the effect of memory on moving average processes. Zbl 1206.60028
2010
Inverse problems for regular variation of linear filters, a cancellation property for $$\sigma$$-finite measures and identification of stable laws. Zbl 1171.60309
Jacobsen, Martin; Mikosch, Thomas; Rosiński, Jan; Samorodnitsky, Gennady
2009
The effect of memory on functional large deviations of infinite moving average processes. Zbl 1157.60021
2009
A fluid cluster Poisson input process can look like a fractional Brownian motion even in the slow growth aggregation regime. Zbl 1169.90008
2009
Tail probabilities for infinite series of regularly varying random vectors. Zbl 1158.60325
2008
Stationary symmetric $$\alpha$$-stable discrete parameter random fields. Zbl 1218.60039
2008
Asymptotic distribution of unibiased linear estimators in the presence of heavy-tailed stochastic regressors and residuals. Zbl 1131.62013
Samorodnitsky, Gennady; Rachev, Svetlozar T.; Kurz-Kim, Jeong-Ryeol; Stoyanov, Stoyan V.
2007
Scaling limits for cumulative input processes. Zbl 1279.90033
2007
Ruin probability with certain stationary stable claims generated by conservative flows. Zbl 1132.60043
2007
Asymptotic analysis of the ruin with stationary stable steps generated by dissipative flows. Zbl 1150.60024
2007
Characteristic function for the stationary state of a one-dimensional dynamical system with Lévy noise. Zbl 1119.82035
Samorodnitsky, G.; Grigoriu, M.
2007
Modeling teletraffic arrivals by a Poisson cluster process. Zbl 1119.60075
Faÿ, Gilles; González-Arévalo, Bárbara; Mikosch, Thomas; Samorodnitsky, Gennady
2006
Long range dependence. Zbl 1242.60033
2006
Random rewards, fractional Brownian local times and stable self-similar processes. Zbl 1133.60016
2006
Computing the portfolio conditional value-at-risk in the $$\alpha$$-stable case. Zbl 1255.91395
Stoyanov, Stoyan; Samorodnitsky, Gennady; Rachev, Svetlozar T.; Ortobelli, Sergio
2006
Modeling and analysis of uncertain time-critical tasking problems. Zbl 1106.90324
Gaver, Donald P.; Jacobs, Patricia A.; Samorodnitsky, Gennady; Glazebrook, Kevin D.
2006
Long memory and self-similar processes. Zbl 1255.60060
2006
Functional large deviations for multivariate regularly varying random walks. Zbl 1166.60309
Hult, Henrik; Lindskog, Filip; Mikosch, Thomas; Samorodnitsky, Gennady
2005
Null flows, positive flows and the structure of stationary symmetric stable processes. Zbl 1080.60033
2005
Limit behavior of fluid queues and networks. Zbl 1165.90390
2005
Extreme value theory, ergodic theory and the boundary between short memory and long memory for stationary stable processes. Zbl 1049.60027
2004
Maxima of continuous-time stationary stable processes. Zbl 1071.60038
2004
Point processes associated with stationary stable processes. Zbl 1074.60058
2004
On overload in a storage model, with a self-similar and infinitely divisible input. Zbl 1047.60034
Albin, J. M. P.; Samorodnitsky, Gennady
2004
Stability of the trivial solution for linear stochastic differential equations with Poisson white noise. Zbl 1051.60062
2004
Tails of solutions of certain nonlinear stochastic differential equations driven by heavy tailed Lévy motions. Zbl 1075.60540
Samorodnitsky, G.; Grigoriu, M.
2003
Wavelet analysis of conservative cascades. Zbl 1020.62075
Resnick, Sidney; Samorodnitsky, Gennady; Gilbert, Anna; Willinger, Walter
2003
Ruin problem and how fast stochastic processes mix. Zbl 1022.60018
2003
Limits of on/off hierarchical product models for data transmission. Zbl 1042.90004
2003
Local solution for a class of mixed boundary value problems. Zbl 1039.35028
2003
Tail probabilities of subadditive functionals of Lévy processes. Zbl 1035.60045
Braverman, Michael; Mikosch, Thomas; Samorodnitsky, Gennady
2002
A single channel on/off model with TCP-like control. Zbl 1015.60087
Borkovec, Milan; Dasgupta, Amites; Resnick, Sidney; Samorodnitsky, Gennady
2002
Steady-state distribution of the buffer content for $$\text{M}/\text{G}/\infty$$ input fluid queues. Zbl 0994.60085
2001
Long strange segments in a long-range-dependent moving average. Zbl 1053.60036
2001
Long strange segments of a stochastic process. Zbl 1052.60025
Mansfield, Peter; Rachev, Svetlozar T.; Samorodnitsky, Gennady
2001
Multivariate extremes, aggregation and risk estimation. Zbl 1405.91555
Hauksson, H. A.; Dacorogna, M.; Domenig, T.; Müller, U.; Samorodnitsky, G.
2001
Optimal and near-optimal $$(s,S)$$ inventory policies for Levy demand processes. Zbl 0996.90003
2001
The supremum of a negative drift random walk with dependent heavy-tailed steps. Zbl 1083.60506
2000
Ruin probability with claims modeled by a stationary ergodic stable process. Zbl 1044.60028
2000
Growth rates of sample covariances of stationary symmetric $$\alpha$$-stable processes associated with null recurrent Markov chains. Zbl 0995.62083
Resnick, Sidney; Samorodnitsky, Gennady; Xue, Fang
2000
The maximum of the periodogram for a heavy-tailed sequence. Zbl 1044.62097
Mikosch, Thomas; Resnick, Sidney; Samorodnitsky, Gennady
2000
A heavy traffic approximation for workload processes with heavy tailed service requirements. Zbl 1232.90133
2000
Extreme value theory as a risk management tool. SOA Seminar: Integrated Approaches to Risk Measurement in the Financial Services Industry (Atlanta, GA, 1997). Zbl 1082.91530
Embrechts, Paul; Resnick, Sidney I.; Samorodnitsky, Gennady
1999
Activity periods of an infinite server queue and performance of certain heavy tailed fluid queues. Zbl 0997.60111
1999
How misleading can sample ACFs of stable MAs be? (Very!). Zbl 0959.62076
Resnick, Sidney; Samorodnitsky, Gennady; Xue, Fang
1999
Tails of Lévy measure of geometric stable random variables. Zbl 0930.60008
Kosubowski, Tomasz J.; Podgorski, Krzysztof; Samorodnitsky, Gennady
1999
How system performance is affected by the interplay of averages in a fluid queue with long range dependence induced by heavy tails. Zbl 1059.60505
Heath, David; Resnick, Sidney; Samorodnitsky, Gennady
1999
Certain probabilistic aspects of semistable laws. Zbl 0954.60002
1999
Product formula, tails and independence of multiple stable integrals. Zbl 0940.60025
Rosiński, J.; Samorodnitsky, G.
1999
Heavy tails and long range dependence in on/off processes and associated fluid models. Zbl 0981.60092
Heath, David; Resnick, Sidney; Samorodnitsky, Gennady
1998
Symmetric infinitely divisible processes with sample paths in Orlicz spaces and absolute continuity of infinitely divisible processes. Zbl 0934.60009
1998
Lower tails of self-similar stable processes. Zbl 0951.60046
1998
Tail behavior of some shot noise processes. Zbl 0937.60037
1998
Sample correlations of infinite variance time series models: An empirical and theoretical study. Zbl 0919.62104
Cohen, Jason; Resnick, Sidney; Samorodnitsky, Gennady
1998
How heavy are the tails of a stationary $$\text{HARCH}(k)$$ process? A study of the moments. Zbl 0914.60065
Embrechts, Paul; Samorodnitsky, Gennady; Dacorogna, Michel M.; Müller, Ulrich A.
1998
Patterns of buffer overflow in a class of queues with long memory in the input stream. Zbl 0905.60070
Heath, David; Resnick, Sidney; Samorodnitsky, Gennady
1997
Performance decay in a single server exponential queueing model with long range dependence. Zbl 0890.90066
1997
Level crossings of absolutely continuous stationary symmetric $$\alpha$$-stable processes. Zbl 0883.60026
1997
Classes of mixing stable processes. Zbl 0870.60032
1996
A class of shot noise models for financial applications. Zbl 0861.60057
1996
...and 44 more Documents
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Cited by 2,084 Authors

 75 Samorodnitsky, Gennady Pinkhosovich 52 Taqqu, Murad S. 43 Mikosch, Thomas 32 Meerschaert, Mark Marvin 31 Tang, Qihe 30 Resnick, Sidney Ira 27 Rachev, Svetlozar T. 24 Xiao, Yimin 21 Dębicki, Krzysztof 21 Surgailis, Donatas 20 Hashorva, Enkelejd 19 Pipiras, Vladas 19 Stoev, Stilian A. 18 Wang, Yuebao 17 Paulauskas, Vygantas Ionovič 16 Albin, J. M. P. 16 Kokoszka, Piotr S. 16 Wang, Yizao 15 Leonenko, Nikolai N. 14 Klüppelberg, Claudia 14 Leipus, Remigijus 14 Roy, Parthanil 13 Aurzada, Frank 13 Rosiński, Jan 12 Ayache, Antoine 12 Braverman, Michael Sh. 12 Gao, Qingwu 12 Lévy Véhel, Jacques 12 Radchenko, Vadym Mykolaĭovych 12 Wang, Kaiyong 11 Beghin, Luisa 11 Biermé, Hermine 11 Chen, Yiqing 11 Davis, Richard A. 11 Grabchak, Michael 11 Scheffler, Hans-Peter 11 Wang, Dingcheng 11 Zwart, Bert P. 10 Fabozzi, Frank J. 10 Kabluchko, Zakhar A. 10 Kozubowski, Tomasz J. 10 Molchanov, Ilya S. 10 Nolan, John P. 10 Shen, Xinmei 10 Shevchenko, Georgiy M. 9 Anh, Vo V. 9 Cheng, Dongya 9 Didier, Gustavo 9 Dombry, Clément 9 Fasen, Vicky 9 Iksanov, Aleksander M. 9 Lacaux, Céline 9 Matsui, Muneya 9 McElroy, Tucker S. 9 Šiaulys, Jonas 8 Basrak, Bojan 8 Basse-O’Connor, Andreas 8 Chakrabarty, Arijit 8 Chen, Yu 8 Dai, Hongshuai 8 Duan, Jinqiao 8 Fageot, Julien 8 Fu, Ke’ang 8 Gorostiza, Luis G. 8 Li, Yuqiang 8 Liu, Jingchen 8 Mandjes, Michel Robertus Hendrikus 8 Piterbarg, Vladimir Il’ich 8 Roueff, François 8 Sabzikar, Farzad 8 Tudor, Ciprian A. 7 Abry, Patrice 7 Breton, Jean-Christophe 7 Cheng, Fengyang 7 Cohen, Serge 7 Dybiec, Bartłomiej 7 Fotopoulos, Stergios B. 7 Gajda, Janusz 7 Hult, Henrik 7 Jakubowski, Adam 7 Konstantinides, Dimitrios G. 7 Lu, Dawei 7 Maejima, Makoto 7 Marty, Renaud 7 McCormick, William P. 7 Ng, Kai Wang 7 Simon, Thomas 7 Talarczyk, Anna 7 Wintenberger, Olivier 7 Wyłomańska, Agnieszka 6 Artikis, Constantinos T. 6 Artikis, Panagiotis T. 6 Asmussen, Søren 6 Bai, Shuyang 6 Barndorff-Nielsen, Ole Eiler 6 Bäumer, Boris 6 Bojdecki, Tomasz 6 Capała, Karol 6 Cushman, John H. 6 Dorea, Chang Chung Yu ...and 1,984 more Authors
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Cited in 291 Serials

 206 Stochastic Processes and their Applications 112 Statistics & Probability Letters 65 Journal of Applied Probability 64 Bernoulli 63 Journal of Theoretical Probability 61 Advances in Applied Probability 58 The Annals of Probability 54 Extremes 52 The Annals of Applied Probability 40 Insurance Mathematics & Economics 38 Communications in Statistics. Theory and Methods 38 Stochastic Models 37 Journal of Multivariate Analysis 36 Journal of Mathematical Analysis and Applications 33 Journal of Econometrics 31 Lithuanian Mathematical Journal 30 Methodology and Computing in Applied Probability 27 Journal of Statistical Physics 26 Mathematical and Computer Modelling 22 European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics 21 Stochastic Analysis and Applications 20 Probability Theory and Related Fields 20 Queueing Systems 18 Computational Statistics and Data Analysis 17 The Annals of Statistics 17 Journal of Time Series Analysis 16 Scandinavian Actuarial Journal 14 Journal of Statistical Planning and Inference 13 Annales de l’Institut Henri Poincaré. Probabilités et Statistiques 13 Theory of Probability and Mathematical Statistics 13 Fractals 12 Journal of Statistical Computation and Simulation 12 Journal of Mathematical Sciences (New York) 12 Electronic Journal of Probability 12 International Journal of Theoretical and Applied Finance 11 Physica A 10 Mathematical Problems in Engineering 10 Electronic Journal of Statistics 9 Computational Statistics 9 Applied and Computational Harmonic Analysis 9 Quantitative Finance 9 Modern Stochastics. Theory and Applications 8 Annals of the Institute of Statistical Mathematics 8 Journal of Computational and Applied Mathematics 8 Acta Mathematicae Applicatae Sinica. English Series 8 European Journal of Operational Research 8 Applied Mathematics. Series B (English Edition) 8 Journal of Applied Statistics 8 Acta Mathematica Sinica. English Series 8 Stochastics 7 Scandinavian Journal of Statistics 7 Chaos, Solitons and Fractals 7 Theory of Probability and its Applications 7 Statistics 7 Communications in Statistics. Simulation and Computation 7 The Journal of Fourier Analysis and Applications 7 Chaos 7 Fractional Calculus & Applied Analysis 7 Probability in the Engineering and Informational Sciences 7 Comptes Rendus. Mathématique. Académie des Sciences, Paris 7 ALEA. Latin American Journal of Probability and Mathematical Statistics 7 Frontiers of Mathematics in China 7 Science China. Mathematics 6 Metrika 6 Physics Letters. A 6 Operations Research Letters 6 Statistical Papers 6 Statistical Inference for Stochastic Processes 6 Stochastics and Dynamics 6 Journal of Statistical Mechanics: Theory and Experiment 6 Journal of Industrial and Management Optimization 6 Journal of the Korean Statistical Society 5 Communications in Mathematical Physics 5 Transactions of the American Mathematical Society 5 Science in China. Series A 5 Annals of Operations Research 5 Japan Journal of Industrial and Applied Mathematics 5 Journal of Nonparametric Statistics 5 Communications in Nonlinear Science and Numerical Simulation 5 Applied Stochastic Models in Business and Industry 5 Brazilian Journal of Probability and Statistics 5 Discrete and Continuous Dynamical Systems. Series B 5 ASTIN Bulletin 4 Journal of Computational Physics 4 Automatica 4 Journal of Functional Analysis 4 Probability and Mathematical Statistics 4 Physica D 4 Econometric Reviews 4 Potential Analysis 4 Test 4 Finance and Stochastics 4 Infinite Dimensional Analysis, Quantum Probability and Related Topics 4 Journal of Interdisciplinary Mathematics 4 Journal of Systems Science and Complexity 4 Entropy 4 North American Actuarial Journal 4 Statistical Methods and Applications 4 Stochastic Systems 3 Computers & Mathematics with Applications ...and 191 more Serials
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Cited in 49 Fields

 1,542 Probability theory and stochastic processes (60-XX) 673 Statistics (62-XX) 332 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 106 Numerical analysis (65-XX) 97 Operations research, mathematical programming (90-XX) 64 Statistical mechanics, structure of matter (82-XX) 61 Partial differential equations (35-XX) 56 Dynamical systems and ergodic theory (37-XX) 46 Computer science (68-XX) 45 Real functions (26-XX) 38 Harmonic analysis on Euclidean spaces (42-XX) 36 Measure and integration (28-XX) 29 Systems theory; control (93-XX) 25 Information and communication theory, circuits (94-XX) 23 Ordinary differential equations (34-XX) 21 Biology and other natural sciences (92-XX) 20 Operator theory (47-XX) 18 Combinatorics (05-XX) 16 Functional analysis (46-XX) 13 Fluid mechanics (76-XX) 9 Special functions (33-XX) 9 Calculus of variations and optimal control; optimization (49-XX) 7 Approximations and expansions (41-XX) 6 Number theory (11-XX) 5 Integral transforms, operational calculus (44-XX) 5 Integral equations (45-XX) 5 Convex and discrete geometry (52-XX) 5 Geophysics (86-XX) 4 Group theory and generalizations (20-XX) 4 Difference and functional equations (39-XX) 4 Mechanics of particles and systems (70-XX) 3 Mathematical logic and foundations (03-XX) 3 Linear and multilinear algebra; matrix theory (15-XX) 3 Abstract harmonic analysis (43-XX) 2 History and biography (01-XX) 2 Field theory and polynomials (12-XX) 2 Category theory; homological algebra (18-XX) 2 Sequences, series, summability (40-XX) 2 Algebraic topology (55-XX) 2 Global analysis, analysis on manifolds (58-XX) 2 Mechanics of deformable solids (74-XX) 1 General and overarching topics; collections (00-XX) 1 Associative rings and algebras (16-XX) 1 Topological groups, Lie groups (22-XX) 1 Functions of a complex variable (30-XX) 1 Differential geometry (53-XX) 1 General topology (54-XX) 1 Quantum theory (81-XX) 1 Astronomy and astrophysics (85-XX)