Abstract

Rare event simulation has attracted a great deal of attention since the first devel- opment of Monte Carlo techniques on computers, at Los Alamos during the production of the first nuclear bomb. It has found numerous applications in fields such as physics, biology, telecommunications, transporting systems, and insur- ance risk analysis. Despite the amount of work on the topic in the last sixty years, there are still domains needing to be explored because of new applications. A typical illustration is the area of telecommunications, where, with the advent of the Internet, light-tailed processes traditionally used in queuing networks now have to be replaced by heavy-tailed ones, and new developments of rare event simulation theory are required. Surprisingly, we found that not much was written on the subject, in fact only one book was devoted to it, with a special focus on large deviations theory. The idea of writing this book therefore started from a collaborative project managed in France by Institut National de Recherche en Informatique et Automatique (INRIA) in 2005–2006 (see http://www.irisa.fr/armor/Rare/), with groups of researchers from INRIA, the University of Nice, the CWI in the Netherlands, Bamberg University in Germany, and the University of Montréal in Canada. In order to cover the broad range of applications in greater depth, we decided to request contributions from authors who were not members of the project. This book is the result of that effort. As editors, we would like to thank the contributors for their effort in writing the chapters of this book. We are also grateful to John Wiley & Sons staff members, in particular Susan Barclay and Heather Kay, for their assistance and patience.