Heavy Tails
The analysis of stochastic networks with heavy-tailed input forms a common thread in post-war research done by the Dutch stochastics community.
The goal of this workshop is to, for the first time, bring together several experts in the field, working on stochastic processes and extremes, working on spatial models and random graphs, and working on applications in finance, insurance, physics, and engineering. The goal is to exhibit recent advances, exchange knowledge and ideas between the above-mentioned communities, and to identify promising research directions.
Different stochastic communities have been playing a prominent role:
- In extreme value theory, by research like De Haan and Einmahl (both on probalistic aspects, like the role of regular variation, as well as statistical aspects)
- A landmark text on heavy tails in finance and insurance was written by Mikosch while being in Groningen in the 90s. The 1973 paper of Harry Kesten on tails of solutions of the multivariate stochastic equation X=AX+B is still being cited. In econometrics, Casper de Vries [Rotterdam] is internationally visible
- At the turn of the century, the dutch queuing community, in particular Borst, Boxma, Mandjes, Nunez-Queija and Zwart started to systematicallty investigating queues with heavy tails, solving several major problems along the way.
- In 1999 the analysis of small-world networks was popularized by researchers such as Barabasi, Watts, Strogatz. In the Netherland, a rigorous analysis was taken up by Van Mieghem, Hooghiemstra and Van der Hofstad.
More information: Heavy Tails
