TITLE:  A Stochastic-Network Approach to Modeling Contagion Dynamics

ABSTRACT:

Stochastic network has been a useful and effective tool in studying diverse engineering and service systems such as semiconductor wafer fab’s, supply chains, call centers and the Internet.  Here we present two novel applications of stochastic network in (a) resiliency studies of critical urban infrastructures (such as the water distribution system and the power grid), and (b) systemic risk analysis of financial networks. In both applications, the interdependence and interactions within the system are characterized by a dynamic complementarity problem, also known as Skorohod problem; and the cascading effect of a “shock” or extreme event can be analytically (or computationally) captured by the solution to the Skorohod problem.

Bio:

David Yao is the Piyasombatkul Family Professor of Industrial Engineering and Operations Research at Columbia University. He is the founding chair of the Financial and Business Analytics Center at Columbia Data Science Institute. Author/co-author of some 200 scientific publications, he is a principal investigator of over thirty grants and contracts from government agencies and industrial sources, and a holder of eight U.S. patents.  His honors and awards include the Presidential Young Investigator Award from the National Science Foundation, Guggenheim Fellowship from the John Simon Guggenheim Foundation, Franz Edelman Award from the Institute for Operations Research and Management Sciences, SIAM Outstanding Paper Prize from the Society for Industrial and Applied Mathematics, Outstanding Technical Achievement Award from IBM Research, Great Teacher Award from the Society of Columbia Graduates, and the IBM Faculty Award. He is an IEEE Fellow, an INFORMS Fellow, and a member of the National Academy of Engineering.