In a probabilistic model, a rare event is an event with a very small probability of
occurrence. The forecasting of rare events is a formidable task but is important in
many areas. For instance a catastrophic failure in a transport system or in a nuclear
power plant, the failure of an information processing system in a bank, or in the
communication network of a group of banks, leading to financial losses. Being able to
evaluate the probability of rare events is therefore a critical issue.
Monte Carlo Methods, the simulation of corresponding models, are used to analyze rare
events. This book sets out to present the mathematical tools available for the efficient
simulation of rare events. Importance sampling and splitting are presented along with an
exposition of how to apply these tools to a variety of fields ranging from performance
and dependability evaluation of complex systems, typically in computer science or in
telecommunications, to chemical reaction analysis in biology or particle transport in
physics.

Graduate students, researchers and practitioners who wish to learn and apply rare event
simulation techniques will find this book beneficial.

http://www.amazon.com/Event-Simulation-using-Monte-Methods/dp/0470772697

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