Executive Committee

The Center is governed by an Executive Committee, consisting of the following members:

  • Karl Sigman, CAP Director, Industrial Engineering and Operations Research (SEAS)
  • Paul Glasserman, Decision, Risk and Operations (Graduate School of Business)
  • Richard Davis, Statistics (Graduate School of Arts and Sciences)
  • David D. Yao, Industrial Engineering and Operations Research (SEAS)

Action Committee

The Center has an Action Committee responsible for seeking out new ideas for CAP activities and helping to carry them out:

  • Jose Blanchet:  Industrial Engineering and Operations Research, Statistics (SEAS and Graduate School of Arts and Sciences)
  • Assaf Zeevi: Decision, Risk and Operations (Graduate School of Business)


  • Jose Blanchet:  Applied Probability, Computational Finance, MCMC, Queueing Theory, Rare-Event Analysis, Simulation Methodology, and Risk Theory
  • Mark Broadie: Option Pricing, Portfolio Selection and Investments, Numerical Methods
  • Mark Brown: Statistics
  • Augustin Chaintreau: Computer Science
  • Joel E. Cohen: Probability, Stochastic processes, Population dynamics
  • Edward G.  Coffman
  • Ivan Corwin Probability, mathematical physics, statistical mechanics, stochastic PDEs, interacting particle systems, growth models, random matrices, symmetric functions, quantum integrable systems
  • Richard A. Davis: Applied Probability, Time Systems, Stochastic Processes   
  • George Deodatis: Risk analysis and management of civil infrastructure systems subjected to natural and technological hazards, stochastic mechanics
  • Ton Dieker: Applied probability and operations research, design and performance of service systems, design and analysis of algorithms, such as stochastic simulation algorithms.
  • Robert S. Erikson: Political Science
  • Awi Federgruen: Dynamic Programming, Markov Decision Processes, Logistics and Distribution
  • Guillermo Gallego: Stochastic Inventory, Dynamic Programming, Optimal Control
  • Paul Glasserman: Derivatives and Risk Management, Monte Carlo Methods
  • Takaki Hayashi: Financial Engineering; Derivatives Pricing/ Hedging, Risk Management, Investment Technology
  • Garud Iyengar: Stochastic Optimization, Applied Probability, Mathematical Finance, Information Theory, Communication Networks.
  • Predrag Jelenkovic:  Long-tailed/Subexponential/Long Dependent Traffic Models: Dynamic Channel Allocation Algorithms, Caching Algorithms, Advanced Reservation,  Packing Problems, and Information Theory
  • Ioannis Karatzas: Probability, Random Processes, Optimization, Mathematical Economics
  • Aurel A. Lazar: Resource Allocation and Networking Games, Multiple Time Scales and Subexponentiality,Telecommunications
  • Jingchen Liu: Statistics
  • Tim Leung: Financial Engineering
  • Costis Maglaras: Quantitative Pricing and Revenue Management, The Economics, Design, and Operations of Service Systems, and Financial Engineering
  • Vishal Misra: Networking, Modeling and Performance Evaluation, Information Theory
  • Debasis Mitra: Electrical Engineering
  • Ciamac Moallemi: Optimization and Control of Large-Scale Stochastic Systems: Service and Communications Networks, E-Commerce, Data-Mining, and Financial Enigneering
  • Mariana Olvera-Cravioto: Applied Probability, in particular, Stochastic Systems, Queueing Theory, Heavy-Tailed Distributions, Simulation, and Inventory Control.
  • Victor de la Pena: Probability, Martingales, De-Coupling Methods
  • Philip E. Protter: Mathematical Finance, Markov Processes, Filtering Theory, and Numerical Analysis of Stochastic Differential Equations
  • Marty Reiman: Applied Probability, Queueing theory, Inventory systems
  • Dan Rubenstein: Performance Evaluation and Mathematical Modeling
  • Jay Sethuraman: Scheduling, Discrete Optimization and its Applications, and Applied Probability
  • Yongzhao Shao: Probability, Stochastic Optimization, Empirical Processes and their Applications, Limit Theorems, Statistical Estimation
  • Karl Sigman: Queueing Theory, Stability Theory, Point Processes, Risk Theory
  • Suresh Sundaresan: Fixed Income Markets, Term Structure Theory, Auctions, Design and Valuation of Debt Contracts, Derivative Markets and Risk Management
  • Garrett van Ryzin: Queueing Systems and Control, Stochastic Optimization, Logistics and Yield Management Applications
  • Ward Whitt: Stochastic processes, Queueing networks, Telecommunication applications
  • Henryk Wozniakowski: Computer Science, Complexity of Continuous Problems, Financial Computations
  • David D. Yao: Stochastic Models, Queues and Queueing Networks, Discrete Event Systems, Manufacturing and Telecommunication Applications
  • Assaf Zeevi: Stochastic Modeling and Statistics, and their applications to problems arising in service operations, Revenue Management and Financial Services
  • Yuan Zhong: Stochastic Models

Postdoctoral Fellows

  • Reade Ryan: (PhD, Courant, NYU, 1996) Stochastic differential equations, Long range dependence
  • Andrew Lim: (2000), stochastic differential equations, mathematical finance/financial engineering
  • Wonjae Chang: (2001) 

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