{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,3,24]],"date-time":"2026-03-24T17:13:15Z","timestamp":1774372395562,"version":"3.50.1"},"reference-count":20,"publisher":"Association for Computing Machinery (ACM)","issue":"1","license":[{"start":{"date-parts":[[2018,1,23]],"date-time":"2018-01-23T00:00:00Z","timestamp":1516665600000},"content-version":"vor","delay-in-days":0,"URL":"https:\/\/www.acm.org\/publications\/policies\/copyright_policy#Background"}],"funder":[{"name":"NWO","award":["613.001.352"],"award-info":[{"award-number":["613.001.352"]}]}],"content-domain":{"domain":["dl.acm.org"],"crossmark-restriction":true},"short-container-title":["ACM Trans. Model. Comput. Simul."],"published-print":{"date-parts":[[2018,1,31]]},"abstract":"<jats:p>\n            This article focuses on evaluating the probability that both components of a two-dimensional stochastic process will ever, but not necessarily at the same time, exceed some large level\n            <jats:italic>u<\/jats:italic>\n            . An important application is in determining the probability of large delays occurring in two correlated queues. Since exact analysis of this probability seems prohibitive, we focus on deriving asymptotics and on developing efficient simulations techniques. Large deviations theory is used to characterise logarithmic asymptotics. The second part of this article focuses on efficient simulation techniques. Using \u201cnearest-neighbour random walk\u201d as an example, we first show that a \u201cnaive\u201d implementation of importance sampling, based on the decay rate, is not asymptotically efficient. A different approach, which we call\n            <jats:italic>partitioned<\/jats:italic>\n            importance sampling, is developed and shown to be asymptotically efficient. The results are illustrated through various simulation experiments.\n          <\/jats:p>","DOI":"10.1145\/3158667","type":"journal-article","created":{"date-parts":[[2018,1,26]],"date-time":"2018-01-26T13:05:50Z","timestamp":1516971950000},"page":"1-19","update-policy":"https:\/\/doi.org\/10.1145\/crossmark-policy","source":"Crossref","is-referenced-by-count":3,"title":["Estimating Large Delay Probabilities in Two Correlated Queues"],"prefix":"10.1145","volume":"28","author":[{"given":"Ewan Jacov","family":"Cahen","sequence":"first","affiliation":[{"name":"CWI, Amsterdam, NETHERLANDS"}],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Michel","family":"Mandjes","sequence":"additional","affiliation":[{"name":"University of Amsterdam, The Netherlands"}],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Bert","family":"Zwart","sequence":"additional","affiliation":[{"name":"CWI, Amsterdam and Eindhoven University of Technology, NETHERLANDS"}],"role":[{"role":"author","vocabulary":"crossref"}]}],"member":"320","published-online":{"date-parts":[[2018,1,23]]},"reference":[{"key":"e_1_2_1_1_1","unstructured":"E. S. Badila. 2015. Queues and Risk Models. Ph.D. thesis Technische Universiteit Eindhoven.  E. S. Badila. 2015. Queues and Risk Models. Ph.D. thesis Technische Universiteit Eindhoven."},{"key":"e_1_2_1_2_1","doi-asserted-by":"publisher","DOI":"10.1287\/moor.2013.0586"},{"key":"e_1_2_1_3_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.sorms.2011.09.002"},{"key":"e_1_2_1_4_1","doi-asserted-by":"crossref","unstructured":"Jos\u00e9 Blanchet and Michel Mandjes. 2009. Rare event simulation for queues. In Rare Event Simulation Using Monte Carlo Methods Gerardo Rubino and Bruno Tuffin (eds.) chapter 5. John Wiley 8 Sons.   Jos\u00e9 Blanchet and Michel Mandjes. 2009. Rare event simulation for queues. In Rare Event Simulation Using Monte Carlo Methods Gerardo Rubino and Bruno Tuffin (eds.) chapter 5. John Wiley 8 Sons.","DOI":"10.1002\/9780470745403.ch5"},{"key":"e_1_2_1_5_1","unstructured":"Ewan Jacov Cahen Michel Mandjes and Bert Zwart. 2017. Rare event analysis and efficient simulation for a multi-dimensional ruin problem. Probability in the Engineering and Informational Sciences 1--19.  Ewan Jacov Cahen Michel Mandjes and Bert Zwart. 2017. Rare event analysis and efficient simulation for a multi-dimensional ruin problem. Probability in the Engineering and Informational Sciences 1--19."},{"key":"e_1_2_1_6_1","doi-asserted-by":"publisher","DOI":"10.1145\/1147224.1147226"},{"key":"e_1_2_1_7_1","doi-asserted-by":"publisher","DOI":"10.1287\/moor.1070.0259"},{"key":"e_1_2_1_8_1","volume-title":"Springer-Verlag","author":"Dembo A.","year":"1998"},{"key":"e_1_2_1_9_1","doi-asserted-by":"publisher","DOI":"10.1007\/s11134-009-9124-y"},{"key":"e_1_2_1_10_1","doi-asserted-by":"publisher","DOI":"10.1214\/105051607000000122"},{"key":"e_1_2_1_11_1","doi-asserted-by":"crossref","unstructured":"A. Ganesh N. O\u2019Connell and D. Wischik. 2004. Big Queues. Springer.  A. Ganesh N. O\u2019Connell and D. Wischik. 2004. Big Queues. 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Elsevier 291--350.","DOI":"10.1016\/S0927-0507(06)13011-X"},{"key":"e_1_2_1_14_1","doi-asserted-by":"publisher","DOI":"10.1214\/aoap\/1177005358"},{"key":"e_1_2_1_15_1","volume-title":"Queueing and related models","author":"Kella Offer"},{"key":"e_1_2_1_16_1","doi-asserted-by":"publisher","DOI":"10.1145\/1667072.1667078"},{"key":"e_1_2_1_17_1","doi-asserted-by":"publisher","DOI":"10.1007\/s00186-007-0149-x"},{"key":"e_1_2_1_18_1","doi-asserted-by":"publisher","DOI":"10.1023\/B:QUES.0000036397.20364.70"},{"key":"e_1_2_1_19_1","doi-asserted-by":"publisher","DOI":"10.1109\/9.106154"},{"key":"e_1_2_1_20_1","doi-asserted-by":"publisher","DOI":"10.1214\/aos\/1176343541"}],"container-title":["ACM Transactions on Modeling and Computer Simulation"],"original-title":[],"language":"en","link":[{"URL":"https:\/\/dl.acm.org\/doi\/10.1145\/3158667","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/dl.acm.org\/doi\/pdf\/10.1145\/3158667","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2025,6,18]],"date-time":"2025-06-18T02:26:10Z","timestamp":1750213570000},"score":1,"resource":{"primary":{"URL":"https:\/\/dl.acm.org\/doi\/10.1145\/3158667"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2018,1,23]]},"references-count":20,"journal-issue":{"issue":"1","published-print":{"date-parts":[[2018,1,31]]}},"alternative-id":["10.1145\/3158667"],"URL":"https:\/\/doi.org\/10.1145\/3158667","relation":{},"ISSN":["1049-3301","1558-1195"],"issn-type":[{"value":"1049-3301","type":"print"},{"value":"1558-1195","type":"electronic"}],"subject":[],"published":{"date-parts":[[2018,1,23]]},"assertion":[{"value":"2016-12-01","order":0,"name":"received","label":"Received","group":{"name":"publication_history","label":"Publication History"}},{"value":"2017-11-01","order":1,"name":"accepted","label":"Accepted","group":{"name":"publication_history","label":"Publication History"}},{"value":"2018-01-23","order":2,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]}}