Prof. Haya Kaspi

Statistics

Statistics Laboratory

Overview

Haya Kaspi received her Ph.D. from the School of Operations Research at Cornell University in 1979. After spending a year as a postdoctoral fellow at the Department of Statistics in Princeton University, she joined the Technion, where she is now Professor.
She has made contributions to the general theory of Markov processes and potential theory, regenerative systems and to applications in operations research including, in particular, queueing networks and stochastic optimization. She was awarded the Alon Fellowship and is an IMS Fellow. Prof. Kaspi won the 2011 Ito prize jointly with Nathalie Eisenbaum. She has served on the editorial and advisory boards of Probability Theory and Related Fields, Stochastic Processes and their Applications, and Annals of Probability.

Selected Publications

Kaspi, H. and Rubinovitch, M., "On the stochastic behavior of a buffer with nonidentical input lines", Journal of Stochastic Processes Appl., 3, 73-88, 1975. 

Kaspi, H., "On the symmetric Wiener Hopf factorization for Markov additive processes", Z. Wahrsch. verw. Geb., 59, 179-196, 1982. 

Cinlar, E. and Kaspi, H., "Regenerative systems and Markov additive processes", Seminar on Stochastic Processes, 1982, 123-147, Birkhauser, Boston, 1983. 

Kaspi, H. and Perry, D., "Inventory systems with perishable commodities", Adv. Appl. Prob., 15, 674-685, 1983. 

Kaspi, H., "Storage processes with Markov additive input and output", Math of O.R., Vol. 9, No. 3, 424-440, 1984. 

Kaspi, H. and Perry, D., "Inventory systems for perishable commodities with renewal input and Poisson output". Adv. Appl. Prob., 16, 402-421, 1984. 

Kaspi, H., "Excursions of Markov processes: an approach via Markov additive processes", Z. Wahrsch. verw. Geb., 64, 251-268, 1983. 

Kaspi, H., "On invariant measures and dual excursions of Markov processes", Z. Wahrsch. verw. Geb., 66, 185-204, 1984. 

Kaspi, H., "Excursion laws for Markov processes in classical duality". Ann. of Prob., 13, No. 2, 492-518, 1985. 

Kaspi, H. and Maisonneuve, B., "Predictable local times and exit systems". Seminaire de Probabilites XX, 1984/85, Lecture Notes in Math 1204, 95-100. Springer-Verlag, Berlin-Heidelberg-New York, 1986. 

Kaspi, H., "Random time changes for processes with random birth and death". Ann. of Prob., 16, No. 2, 588-599, 1988. 

Kaspi, H. and Maisonneuve, B., "Regenerative systems on the real line". Ann. of Prob., 16,  No. 3, 1306-1332, 1988. 

Kaspi, H. and Mitro, J.B., "Homogenous Random Measures for Markov Processes in Weak Duality: study via an entrance boundary". Stoch. Proc. Appl, 29, No. 2, 291-308, 1988. 

Kaspi, H. and Perry, D., "On Duality between a non Markovian Continuous Production/Inventory System and a Markovian Dam Process with State Dependent Release, Jump Size and Jump Rate", Journal of Appl. Prob., 27, 835-844, 1989. 

Kaspi, H. and Mandelbaum, A., "Regenerative Closed Queueing Networks", Stochastics and Stochastic Reports, 39, 230-258, 1992. 

Eisenbaum, N. and Kaspi, H., "A Necessary and Sufficient Condition for the Markov Property of the Local Time Process", Ann. of Probability, 21, No. 3, 1591-1598, 1993. 

Kaspi, H. and Mandelbaum, A., "On Harris Recurrence in continuous Time", Math. of O.R., 19, No. 1, 211-222, 1994. 

Kaspi, H. and Mandelbaum, A., "Levy Bandits: Multi-armed Bandits Driven by Levy Processes", Ann. of Appl. Probab., 5, No. 2, 541-565, 1995. 

Eisenbaum, N. and Kaspi, H., "A Counterexample for the Markov Property of Local Time of Diffusions on Graphs". Seminair de Probabilites, XXIX, 260-265. Lecture Notes in Math., 1613. Springer, 1995. 

Kaspi, H. and Kella, O. "Stability of Feed-Forward Fluid Networks with Levy Input". J. Appl. Probab., 33, 513-522, 1996. 

Eisenbaum, N. and Kaspi, H., "A Necessary and Sufficient Condition for the Markov Property of the Local Time Process of Markov Processes with Values on Graphs". Stochastic Processes and Their Applications, 64, 153-172, 1996. 

Kaspi, H., Kella, O. and Perry, D., "Dam Processes with State Dependent Batch Sizes and Intermittent Production Processes with State Dependent Rates". Queueing Systems, 24, 37-57, 1996. 

Kaspi, H. and Mandelbaum, A., "Multi Armed Bandits in Discrete and Continuous Time". Ann. Appl. Probab., Vol. 8, No. 4, 1270-1290, 1998. 

Gilboa, I. Herer, Y., Kaspi, H. and Raz, Z., "Optimal Design of the Inspection Buffer for an Unreliable Process". Int. J. Prod. Res., Vol. 38, No. 1, 187-205, 1999. 

Kaspi, H. and Rosen, J., "p-Variation for Families of Local Times on Lines". Seminaire de Probabilites, XXXIV, 1999. Pp. 171-184 in Lecture Notes in Mathematics 1728, Springer, 2000. 

Barlow, M., Burdzy, K., Kaspi, H. and Mandelbaum, A., "Variably Skewed Brownian Motion", Electronic Communications in Probability, 15, 57-66, 2000. 

Eisenbaum, N., Kaspi, H., Marcus, M.B., Rosen, J. and Shi, Z., "A Ray Knight Theorem for Symmetric Markov Processes", Ann. of Probab., 28 (4), 1781-1796, 2000. 

Barlow, M., Burdzy, K., Kaspi, H. and Mandelbaum, A., "Coalescence of Skew Brownian Motions", Seminaire de Probabilities, XXXV, 202-206, LNM 1755, Springer, 2001. 

Kaspi, H. and Rubinovitch, M., "Regenerative sets and their applications to Markov storage systems". In O. Boxma and R. Syski (eds.), Liber Amicorum for J.W. Cohen, 413-427. 

Kaspi, H. and Rubinovitch, M., "A Limit Theorem on the Output of G1/M/ Queues. In Queueing and Related Models, Bhat and Basawa, Editors, 105-111, Clarendon Press, Oxford 1992. 

Kaspi, H. and Maisonneuve, B., "Stationary regenerative systems". In: Semi-Markov Models: Theory and Applications, 13-22, Plenum,1986. 

Kaspi, H., Mandelbaum, A. and Vanderbei, R., "Bandit processes: control, analysis and characterization". In Scheduling Theory and Its Applications, pp. 337-347, Wiley, 1995. 

Burdzy, K. and Kaspi, H. (2003), "Lenses in skew Brownian flows". Annals of Probab. 32(4), 3085-3115, (2004). 

Eisenbaum, N. and Kaspi, H. (2006), "A characterization of the infinite divisible square Gaussian processes", Annals of Probab. 34(2), 728-742.

Eisenbaum, N. and Kaspi, H. (2007), "On the continuity of local times of Borel right processes, Annals of Probab. 35(3), 915-934.

Eisenbaum, N. and Kaspi, H. (2009), "On Permanental processes", Stoch. Proc.and their Appl. 119(5), 1401-1415.

Kaspi, H. and Ramanan, K. (2011),  "Law of Large Number limit of many servers queues, Annals. Appl. Probab. 21(1), 33-114.

Research

Probability and Stochastic Processes, Markov Processes, Stochastic Systems Analysis
Markov processes and regenerative systems.
Properties of local times of Markov processes, permanental processes associated with local times.
Fluid and diffusion limits of queueing systems using measure-valued processes.
Multi-armed bandits in discrete and continuous time.
Statistics Laboratory

Contact Info

Room 515 Bloomfield Building
+972-4-829-4506

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