Ph.D. Students in Probability

Recent Ph.D. Students in Probability

Graduate study at Cornell is organized in an overlapping collection of fields. Depending upon their interests our recent graduate students have enrolled in Applied Mathematics, Mathematics, Operations Research, or Statistics.

Student (Adviser), Thesis title, first jobs

Nicolas Diener (Protter)
Mathematical Models for Swing Options and Subprime Mortgage Derivatives
Barclay's Capital in NYC.
Emilia Hierta-Sanchez (Durrett)
VIGRE Asst. Prof. U. C. Berkeley Statistics
Souvik Ghosh (Samorodnitsy)
The effect of memory on large deviations of moving average processes and infinitely divisible processes
Department of Statistics at Columbia
Jessica Zuniga (Saloff-Coste)
Merging of Some Time Homogeneous and Inhomogeneous Markov Chains
NSF Postdoc Stanford

Ben Chan (Durrett)
Coexistence of Contact Process
American Express
Arkendra De (Durrett)
Influence of stepping stone spatial structure on common population genetic statistics
Food and Drug Administration
Pavel Gyrya (Saloff-Coste)
Heat Kernel Estimates for Inner Uniform Subsets of Harnack-Type Dirichlet Spaces
Wall St. firm
Evgueni Klebanov (Saloff-Coste)
Asymptotic behavior of convolutions of centered density on Lie groups of polynomial volume growth
Banking Industry
Deena Schmidt (Durrett)
A mathematical look at DNA regulatory sequence evolution
postdoc at IMA for one year then MBI
Kazuhiro Shimbo (Protter)
Understanding mathematical models of bubbles in financial markets
Mizuho Bank,Manhattan,

Tuncay Alparslan. (Samorodnitsky)
Risk processes driven by stationary stable streams of claims
University of Nevada, Reno
Marcel Blais. (Protter)
Liquidity and modeling the stochastic supply curve for a stock price
Worcester Polytechnic Institute
Guan-Yu Chen. (Saloff-Coste)
The cutoff phenomenon for finite Markov chains
Postdoc at National Center for Theoretical Sciences, Hsinchu, Taiwan
Yannet Interian. (Durrett)
Models and Algorithms: Applications to satisfiability and genome rearrangment problems
Postdoc in the Sjolander lab in Berkeley
Melanie Pivarski. (Saloff Coste)
Heat kernels on Euclidean complexes
Instructorship at Texas A&M
John Thacker. (Lawler)
Properties of Brownian and random walk loop soups.
Northrup Grunman
Brigitta Vermesi. (Lawler)
Intersection exponents for random walks on cylinders.
Postdoc at U. of Rochester

Nathanael Berestycki. (Durrett)
Phase transitions for the distance of random walks and applications to genome rearrangement.
Postdoc at UBC
Jose Trujillo Ferrera. (Lawler)
The random walk loop soup and the expected area of the Brownian loop in the plane.
Postdoc at ETH Zurich
Lee Gibson. (Saloff-Coste)
The number of sites visited by a random walk on an infinite graph.
U. of Louisville
Sharad Goel. (Saloff-Coste)
Estimating mixing times: Techniques and applications.
Postdoc at Stanford then U. of Southern California
Florian Milanovici (Samorodnitsky)
Continuous time tail index estimation
J.P. Morgan/Chase
Jesus Rodriguez (Protter)
A modified Barlow model applied to electricity derivative pricing
Postdoc at SAMSI for one year, then N.C. State U.
Raazesh Sainudiin. (Durrett)
Machine Interval Experiments
Royal Society Feollowship to work with Peter Donnelly
Hasan Sayit. (Protter)
Realistic no arbitrage conditions
Postdoc at University of Houston for one year, then UCSB
Deniz Sezer (Protter)
A Theory of filtration shrinkage
York University (Canada)
Yan Zeng. (Protter)
Compensator of stopping times.
Florida State U.

Christian Benes (Lawler)
On some problems concerning planar random walk
Tufts U.
Michael Kozdron (Lawler)
Simple random walk excursion measure in the plane
U. of Regina
Joerg Rothenbuehler (Samorodnitsky)
Dependence structures beyond copulas:
A new model of multivariate regular varying distribution based on a finite von Mises-Fisher mixture model.
Capital One Bank.

Janet Best. (Durrett)
The Mathematics of Ecological Competition
Postdoc at Mathematical Biosciences Institute

Barbara Gonzalez-Arevalo. (Samorodnitsky)
Performance of a Certain Control Mechanism in the Presence of Long Range Dependent Input Traffic.
U. of Louisiana, Lafayette
Kiseop Lee. (Protter)
Hedging of Options When the Price Process Has Jumps Whose Arrival Rate Depends on the Price History
U. of Louisville
Krishanu Maulik. (Resnick)
Internet Traffic Models with Random Transmission Schedules.
Eurandom (Eindhoven), then ISI, Calcutta
David Revelle. (Saloff-Coste)
Random Walks on Solvable Groups
NSF postdoc at U.C. Berkeley
Nancy Sundell. (Durrett)
Two Mathematical Problems Arising from Genetics and Ecology
U. of Utah

Peter Calabrese. (Durrett)
Stochastic Microsatellite Models.
NSF postdoc at U. of Southern California
David Hiebeler. (Durrett)
Populations and the Evolution of Dispersal on Spatially Structured Heterogeneous Landscapes
U. of Maine
Xiang Long. (Protter)
Variance Reduction for Numerical Solutions of Stochastic Differential Equations
TXU Energy (Dallas, TX), then Nomura Securities in New York City

S. Blachere. (Saloff-Coste)
Agregation Limit\'ee par Diffusion Interne et Temps de Coupure sur les Groupes Discrets
Lisa Newton. (Durrett)
The Epidemic Threshold and Contact Number with Implications for Optimal Vaccination Strategies.
Rishin Roy. (Resnick)
Two Essays on Consumer Choice.
U. of Toronto, then Paribas
Liqing Yan. (Protter)
Convergence of the Euler Scheme for Stochastic Differential Equations
postdocs at UBC and USC then tenure track at U. of Florida

Eric van den Berg. (Resnick)
Heavy Tail Modeling in Time Series and Telecommunications
Telecordia
Ilya German. (Durrett)
Hedging Options with Transaction Costs
Paribas
Fang Xue. (Resnick and Samorodnitsky)
Asymptotic Behavior of Sample Correlation Functions of Stable Processes
U. of Maryland, then software company in San Francisco
S. Rousel. (Saloff-Coste)
Marches Aleatoires sur le Groupe Symetrique

Robert Battig. (Durrett)
Completeness of Securities Markets: An Operator Point of View
Eknath Belbase. (Durrett)
Coexistence in a Two Species Reaction-Diffusion Process Using a Hydrodynamic Limit
Wall Street firm
Min-jeong Kang. (Durrett)
Asymptotic Behavior of Solutions of One-Dimensional Parabolic SPDE
Postdoc at Fields Institute, then N.C. State U.
Semyon Kruglyak. (Durrett)
DNA Sequencing and Modeling Repeat Sequence Evolution
Postdoc at U. of Southern California, now at Illumina in San Diego
P. Lezaud. (Saloff-Coste)
Etudes Quantitatives des Chaines de Markov par Perturbation de Leur Noyau