Wednesday 24 September

8h30: Registration starts.

9h15-9h30: Opening: Gerardo Rubino & Bruno Tuffin (INRIA, France).

9h30 - 10h30 Session Importance Sampling (1). Chair: P. Dupuis.

• Computing Large Deviations for Continuous State Space Markov Chains. Peter W. Glynn (Stanford University, USA)
• Rare-Event Simulation and Counting Problems. Jose Blanchet (Columbia University, USA), Daniel Rudoy (Harvard University, USA)

10h30 - 11h00 break

11h00 - 12h30 Session "Importance Sampling (2)". Chair: P.T. de Boer.

• Ant Colony Optimized Importance Sampling: Principles, Applications and Challenges. Poul E. Heegaard (Norwegian University of Science and Technology, Norway) and Werner Sandmann (University of Bamberg, Germany)
• Importance sampling algorithms for first-passage times probabilities in the infinite-server queue. Ad Ridder (Vrije Universiteit Amsterdam, The Netherlands)
• Simplicity and Efficiency of Importance Sampling for a Tandem Queue with Server Slow-down. D.I. Miretskiy, W.R.W. Scheinhardt, M.R.H. Mandjes (the Netherlands)

12h30 - 14h00 lunch at the "Club des Professeurs

14h00 - 15h30 Session "Reliability and Biology Applications". Chair: W. Sandmann.

• Sensitivity of the RVR Monte Carlo method to cutset's strategy. Hector Cancela (Universidad de la Republica, Uruguay), Mohamed El Khadiri (Saint-Nazaire Institute of Technology, France)
• Splitting in Source-Terminal Network Reliability Estimation. H. Cancela (Univ. of the Republic, Uruguay), L. Murray (Univ. of Rosario, Argentina), and G. Rubino, (INRIA Rennes, France)
• Rare event simulation for T cells recognizing foreign antigens. Florian Lipsmeier, Ellen Baake

15h30 - 16h00 break

16h00 - 18h30 Session "Splitting/RESTART". Chair: V. Melas.

• Recent Advances in RESTART Simulation. José Villén-Altamirano (Universidad Politécnica de Madrid, Spain), Manuel Villén-Altamirano (Telefónica I+D, Spain)
• Splitting Methods for Rare Event Simulation in Large Scale Stochastic Hybrid Systems. Henk Blom (NLR, Amsterdam, The Netherlands), Jaroslav Krystul (Twente University, The Netherlands), Francois Le Gland (INRIA Rennes, France) Pascal Lezaud (ENAC, Toulouse, France)
• The design and analysis of a generalized DPR algorithm for rare event simulation. Thomas Dean (University of Oxford, UK)
• Rare event simulation for a static distribution. F. Cerou (INRIA Rennes, France), P. Del Moral (INRIA Bordeaux, France) T. Furon (INRIA Rennes, France) A. Guyader (Université de Haute Bretagne, France)
• A Two-Step branching splitting model under cost constraint for rare event analysis. A. Lagnoux (Université Paul Sabatier Toulouse, France)

Thursday 25 September

8h30-9h30: Keynote address: Paul Dupuis (Brown University, USA)
Subsolutions for the Design and Analysis of Rare Event Monte Carlo
Keynotes'abstracts

Chair: Gerardo Rubino (INRIA, France)

9h30 - 10h30 Session "Simulation of paths and random walks" Chair: V. Nicola.

• Bisection ideas in end-point conditioned Markov process simulation. Soren Asmussen, Asger Hobolth (Aarhus University, Denmark)
• Rare-event Simulation for Multidimensional Regularly Varying Random Walks. Jose Blanchet (Columbia University, USA), J. Liu (Harvard University, USA)

10h30 - 11h00 break

11h00 - 12h30 Session "Non-Markovian Models". Chair: P. Heegaard.

• RESTART Simulation of Colored Stochastic Petri Nets. Armin Zimmermann (Technische Universit¨at Berlin, Germany)
• The Effect of Rare Events on the Evaluation and Decoding of Hidden non-Markovian Models. Claudia Krull, Graham Horton (Otto-von-Guericke-University Magdeburg, Germany)
• Extension of heuristics for simulating population overflow in Jackson tandem queuing networks to non-Markovian tandem queuing networks. Tatiana S. Zaburnenko, Pieter-Tjerk de Boer, Boudewijn R.H.M. Haverkort (University of Twente, Enschede, The Netherlands)

12h30 - 14h00 lunch at the "Club des Professeurs

14h00 - 16h00 Session "Importance Sampling and Queuing Networks". Chair: M. Pagano.

• Importance Sampling for a Markov Modulated Queuing Network. Devin Sezer ( Middle East Technical University, Turkey)
• Reversibility-based construction of asymptotically optimal importance sampling schemes for the simulation of Jackson networks. Victor F. Nicola, Tatiana S. Zaburnenko (University of Twente, Enschede, The Netherlands)
• Importance Sampling for Two Queuing Systems with Discontinuous Service Policies. Paul Dupuis, Kevin Leder and Hui Wang (Brown University, USA)
• Asymptotically Optimal Importance Sampling for Jackson Networks with a Tree Topology.Devin Sezer ( Middle East Technical University, Turkey)

16h00 - 16h30 break

16h30 : Visit of Dinan

20h00: Banquet in Dinan

Friday 26 September

8h30-9h30: Keynote address: Viatcheslav B. Melas (St.Petersburg State University, Russia).
On the mathematical theory for RESTART/Splitting methodology.
Keynotes'abstracts

Chair: Bruno Tuffin (INRIA, France).

9h30 - 10h30 Session "Regeneration for Rare event Simulation". Chair: F. Le Gland.

• A regenerative modification of the multilevel splitting. Alexandra Borodina and Evsey Morozov (Institute of Applied Mathematical Research and Petrozavodsk University, Russia)
• Regenerative estimator of the overflow probability in a tandem network. Irina Dyudenko, Evsey Morozov (Institute of Applied Mathematical Research and Petrozavodsk University, Russia), Michele Pagano (University of Pisa, Italy)

10h30 - 11h00 break

11h00 - 12h00 Session "Finance and Insurance Risk". Chair: J. Blanchet.

• Estimating Operational Risk Capital for Rare Events Using Quasi Random Numbers. Christoph Hartz, Tina Yener (University of Munich, Germany)
• Optional reinsurance with ruin probability target. Arthur Charpentier (CREM-Université de Rennes 1, France)

12h00 - 13h30 lunch at the "Club des Professeurs

13h30 - 15h00 Session "Other Techniques for or in rare event simulation". Chair: H. Cancela.

• Bayesian model for rare events recognition with use of logical decision functions class. Vladimir Berikov, Gennady Lbov (Sobolev Institute of mathematics, Novosibirsk, Russia)
• Rare event probability estimation through a kriging Algorithm. R. Pastel (ENSTA, France), J.Morio and H. Piet-Lahanier (ONERA, France)
• Asymptotic Robustness of Estimators in Rare-Event Simulation. P. L'Ecuyer (Université de Montreal, Canada), J. Blanchet (Harvard University, USA), B. Tuffin (INRIA, France), P.W. Glynn. (Stanford University, USA)

15h00 - 15h30 break

15h30 - 16h00 closing