Olympia Hadjiliadis

Associate Professor

Department of Mathematics

Brooklyn College

and

Department of Mathematics &

Department of Computer Science

Graduate Center

City University of New York.

My research interests are in the broad areas of statistical surveillance and sequential detection. In particular, I am interested in quickest detection of abrupt changes as applied to finance, signal processing, decentralized detection, network security, computer vision and quality control. I am also interested in optimal stopping and stochastic optimization problems in the context of dynamic programming and financial engineering.

A little bit about myself: I was born in Athens, Greece in 1976. All my undergraduate studies were completed in Toronto, Canada, where I studied Statistics. I then completed a Master's degree in Mathematics with specialization in Statistics and Finance at the University of Waterloo in Waterloo, Canada. I worked as an intern for Citibank Canada and as an Associate Financial Engineer at Algorithmics Inc. in Toronto, Canada. I finally completed my PhD at the Department of Statistics of Columbia University in 2005 with distinction. For a title and abstract of my thesis please refer to the link underneath:

PHD THESIS

PHD Advisor: Professor Jan Vecer

http://www.stat.columbia.edu/~vecer

Mentor: Professor George V. Moustakides

http://www.ssp.ece.upatras.gr/moustakides/

Postdoctoral advisor: Dean H. V. Poor

http://www.ee.princeton.edu/people/Poor.php

Here is my CV;

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PUBLICATIONS

PEER-REVIEWED PROCEEDINGS

BOOKS

FUNDING

SUBMITTED WORK

GRADUATE STUDENTS

CONTACT INFORMATION

CONFERENCES

Publications

"A comparison of 2-CUSUM stopping rules for quickest detection of two-sided alternatives in a Brownian motion model", O. Hadjiliadis, G. Hernandez-del-Valle, and I. Stamos, Sequential Analysis, issue 1, vol. 28, pp 92-114, (2009) [pdf].

"On the best 2-CUSUM rules for quickest detection of two-sided alternatives in a Brownian motion model", O. Hadjiliadis and H. V. Poor, Theory of Probability and its Applications (Teoriya Veroyatnostei i ee Primeneniya 2008), issue 3, vol. 53, pp. 610-622, (2009) [pdf].

"Optimal and Asymptotically Optimal CUSUM rules for change point detection in the Brownian Motion model with multiple alternatives", O. Hadjiliadis and G. V. Moustakides, Theory of Probability and its Applications (Teoriya Veroyatnostei i ee Primeneniya 2005), issue 1, vol.50, pp. 131-144, (2006) [pdf].

"Drawdowns preceding rallies in a Brownian motion model ", O. Hadjiliadis, J. Vecer, Quantitative Finance, issue 5, vol. 6, pp. 403-409, (2006) [pdf].

"Optimality of the 2-CUSUM drift equalizer rules for detecting two-sided alternatives in the Brownian motion model", O. Hadjiliadis, Journal of Applied Probability, issue 4, vol.42, pp. 1183-1193, (2005) [pdf].

"Drawdowns and rallies in a finite time horizon", H. Zhang and O. Hadjiliadis, accepted by Methodology and Computing in Applied Probability, special issue, (2009) [pdf].

“Formulas for stopped diffusion processes with stopping times based on drawdowns and drawups”, L. Pospisil, J. Vecer and O. Hadjiliadis, Stochastic Processes and its Applications, issue 8, vol. 119, pp. 2563-2578 (2009) [pdf].

“One-shot schemes for decentralized quickest change detection”, O. Hadjiliadis, H. Zhang and H. V. Poor , IEEE Transactions on Information Theory, issue 7, vol. 55, pp. 3346-3359. (2009) [pdf].

Peer-Reviewed Proceedings

“Quickest Detection in coupled systems”, O. Hadjiliadis, T. Schaefer and H. V. Poor , accepted by the 48^th IEEE Conference on Decisions and Control, (2009) [pdf]

“One shot schemes in discrete and continuous time models”, O. Hadjiliadis, H. Zhang, H. V. Poor, Proceedings of the

2nd International Workshop on Sequential Methodologies, Troyes, France, June 15^th –June 17^th, 2009 <Invited Session>

“One shot schemes for decentralized quickest detection”, O. Hadjiliadis, H. Zhang, H.V. Poor, Proceedings of the 11th International Conference on Information Fusion, Cologne Germany, June 30^th – July 3^rd, 2008 [pdf]. <Invited Session>

“Drawdowns and Rallies in games of finite horizon”, O. Hadjiliadis, International Workshop in Applied Probablity, Compiѐgne France, July 7^th – July 10^th, 2008 <Invited Session>.

“On a collision local time formula”, O. Hadjiliadis, International Workshop in Applied Probablity, Compiѐgne France, July 7^th – July 10^th, 2008 [pdf].

“A comparison of 2-CUSUM stopping rules for quickest detection of two-sided alternatives in a Brownian motion model”, O. Hadjiliadis, G. Hernandez-del-Valle and I. Stamos, International Workshop in Applied Probability Compiѐgne France, July 7^th – July 10^th, 2008

[pdf]

“Robust online change-point detection in video sequences”, Tsechpenakis, G. and Metaxas, D. and Hadjiliadis O. and Neidle C., 2006 IEEE Proceedings, 2nd IEEE Workshop on Vision for Human Computer Interaction (V4HCI), in conjunction with the IEEE Conference on Computer Vision and Pattern Recognition (CVPR’06), New York, NY [pdf].

Books

"Quickest Detection", H. V. Poor and O. Hadjiliadis, Cambridge University Press UK. Available on amazon.

Funding

Internal grants:

1) PSC-CUNY 39 (2008-09),

2) PSC-CUNY 40 (2009-10),

3) CUNY Collaborative grant with T. Schaefer (2008-09).

Title: Multi-dimensional quickest detection

External grants:

1) NSF DMS-IGMS # 0929317, 1 year, $100,000 (Start date: 09-01-09)

Title: Sequential Detection and Classification in 3D Computer Vision.

2) NSF CCF-MSC # 0916452, 3 years, $380,000 with I. Stamos (Start date: 09-01-09).

Title: Sequential Classification and Detection via Markov Models in Point Clouds of Urban Scenes.

3) NSA MSP- Probability # 081103, Young Investigator’s award, 1+1 years, $15,000+ $15,000 (Start date 02-01-10).

Title: Quickest detection in correlated multi-sensor systems.

Submitted Work

“Formulas for the Laplace transform of stopping times based on drawdowns and drawups”, H. Zhang and O. Hadjiliadis, submitted 04-24-09 [pdf]

Graduate Students

Advisor of PhD student Hongzhong Zhang, hzhang3 (at) gc.cuny.edu, Mathematics PhD program Graduate Center. https://wfs.gc.cuny.edu/HZhang3/web/

Contact Information

1314N Ingersoll Hall

Department of Mathematics,

Brooklyn College, C.U.N.Y.

Brooklyn NY 11209

Phone: (718) 951-5000 ext. 2718

ohadjili (at) princeton.edu

ohadjiliadis (at) brooklyn.cuny.edu

8^th Northeast Probability seminar