We develop a methodology for studying ''large deviations type'' questions. Our approach does not require that the large deviations principle holds, and is thus applicable to a larg class of systems. We study a system of queues with exponential servers, which share an arrival stream. Arrivals are...

This discussion paper resulted in a publication in <Stochastic Models</I> (2012). Volume 28(3), pages 478-502.<P> We apply the splitting method to three well-known counting problems, namely 3-SAT, random graphs with prescribed degrees, and binary contingency tables. We present an enhanced version of the splitting method...</p></stochastic>

This discussion paper resulted in a publication in <A href="http://journals.cambridge.org/action/displayAbstract?fromPage=online&aid=8239378&fulltextType=RA&fileId=S026996481000032X">'Probability in the Engineering and Informational Sciences'</A>, 25(2), 157-69.<p>A version of the classical secretary problem is studied, in which one is interested in selecting one of the <I>b</I> best out of a group of <I>n</I> differently ranked persons who are...</i></i></p></a>

This discussion paper resulted in a publication in the <I>Annals of Operations Research </I> (2005). Volume 134, issue 1, pages 119-136.<P> This paper reports simulation experiments, applying the cross entropy method such as the importance sampling algorithm for efficient estimation of rare event...</p></i>

This discussion paper resulted in a publication in the <I>European Journal of Operations Research</I> (2010), pages 1380-1397.<P> There are various importance sampling schemes to estimate rare event probabilities in Markovian systems such as Markovian reliability models and Jackson networks. In this work,...</p></i>

The Cross Entropy method is a well-known adaptive importance sampling method for rare-event probability estimation, which requires estimating an optimal importance sampling density within a parametric class. In this article we estimate an optimal importance sampling density within a wider...

In this paper we describe a Sequential Importance Sampling (SIS) procedure for counting the number of vertex covers in general graphs. The performance of SIS depends heavily on how close the SIS proposal distribution is to a uniform one over a suitably restricted set. The proposed algorithm...

This discussion paper resulted in a publication in the <I>Siam Journal on Matrix Analysis and Applications (2011). Volume 32, issue 3, pages 665-684.<P> A sequence of real numbers (<I>x_n</I>) is Benford if the significands, i.e. the fractionparts in the floating-point representation of (<I>x_n</I>), are distributed...</i></i></p></i>

In: <I>Proceedings Winter Simulation Conference</I>, 9-12 December 2012, pages 387-398.<P> In rare event simulation, we look for estimators such that the relative accuracy of the output is ''controlled'' when the rarity is getting more and more critical. Different robustness properties have been defined...</p></i>

Since Black (1976), the source of the stock price volatility smirk has remained a controversy. The volatility smirk is a side effect of agency conflict. An important distinction is that the smirk occurs in the optimum, even after agency conflict has been resolved. The slope of the smirk is found...