Dr Seva Shneer

Teaching Time Series Analysis (for MSc/Diploma in Actuarial Science, MSc in Financial Mathematics and MSc in Quantitative Risk Management)

My research interests are: ·       

• Stability and Performance Analysis of Queueing and Communication Networks
• Rare Events and Large Deviations

•  Large deviations for random walks under subexponentiality: the big-jump domain (jointly with D. Denisov and T. Dieker, 2008). Annals of Probability, 36, 5, 1946-1991. Available at http://arxiv.org/PS_cache/math/pdf/0703/0703265v3.pdf
•  A random multiple-access protocol with spatial interactions (jointly with C. Bordenave and S. Foss, 2009). Journal of Applied Probability, 46, 3, 844-865. Available at http://arxiv.org/PS_cache/math/pdf/0612/0612583v2.pdf 
• Instability of MaxWeight Scheduling (jointly with S. Borst and P. van de Ven, 2009). Proceedings 28th IEEE International Conference on Computer Communications (INFOCOM). Available at http://alexandria.tue.nl/openaccess/Metis222119.pdf 
• A unified approach to the heavy-traffic analysis of the maximum of random walks (jointly with V. Wachtel, 2009). EURANDOM report 2009-005; To appear in Theory of Probabilities and Its Applications. Available at http://arxiv.org/PS_cache/arxiv/pdf/0902/0902.2185v1.pdf
• Stability analysis of stochastic networked control systems (jointly with T. Donkers, M. Heemels, D. Bernardini, A. Bemporad, 2010). 2010 American Control Conference. Available at http://www.dct.tue.nl/donkers/2010ACC_NCS_Stochastic_Stability.pdf

I graduated from Novosibirsk State University in 2003 and came to Heriot-Watt University as a PhD student in October 2003. My PhD thesis (entitled “Rare events and stability for random walks and stochastic communication systems” and supervised by Sergey Foss) was defended in September 2006 and awarded a MacFarlane prize.  

After obtaining the PhD degree I went to Eindhoven, the Netherlands where first held a Postdoc position at EURANDOM and then became an Assistant Professor at the Department of Mathematics and Computer Science at Eindhoven University of Technology.  

 I also spent half a year as a Senior Researcher at EPFL (Ecole Polytechnique Federale de Lausanne, Switzerland) before joining the Department of Actuarial Mathematics and Statistics at Heriot-Watt University in December 2010.