The estimation of these quantites arises in many research areas such as in physics and engineering problems. In network analysis such as in advanced telecommunication systems studies X traditionally represents the length of service centers in an open/closed queueing network processing jobs. In this context these two quantities () represent repectively the probability of bu er-over ows and the distribution of the queueing process in this over ow regime. Several numerical methods have been proposed in the literature to estimate the entrance probability into a rare set. We refer the reader to the excellent paper Glasserman et al. (1999) which contains a precise review on these methods as well as a detailed.
