Proceedings of the 4th workshop

B. Abdous, A. Berred. A local linear estimator of the mean residual life function. 3

R. Castanet, B. Le Saec. A Structural Measure for Coverage of Protocols. 9

A. Durio, Ya. Yu. Nikitin. Comparison of goodness-of-fit tests for simulated data under skew alternatives. 17

S. Ghosh, L. Teschmacher. Comparisons Of Search Designs Using Search Probabilities. 23

N. Flournoy. Recent Advances in Sequential Design. 29

S. Giordano, M. Pagano, S. Tartarelli. Cell Loss Probability Estimation in a Multi-buffer GPS Scheduler. 33

Yu. N. Kashtanov, I. N. Kuchkova. Monte Carlo Method for the Decision of the Integral Equations of the Theory of Elasticity. 41

I. Keller, K. Weber, S. Wurll. Integrated Simulation Environment of the Airline Revenue Management Process. 49

P. J. Laycock, I. G. McHale. The Application of Sum-Stable and Pareto heavy-tailed distributions for Modelling aspects of Risk in the Electricity Supply Industry. 57

A. Martin, S. M. Prigarin, G. Winkler. Numerical Simulation for the Linear Stochastic Wave Equation. 65

M. Meckesheimer, R. R. Barton, T. W. Simpson. Experimental Design Issues for Simultaneous Fitting of Forward and Inverse Metamodels. 71

G. A. Mikhailov, G. Z. Lotova. Weight Monte Carlo methods in the nonstationary radiation transfer theory. 79

E.V.Morozov, I.V.Aminova. On simulation efficiency of weak regenerative queues. 85

T. Oren. Software Agents for Experimental Design in Advanced Simulation Environments. 91

M.-J. Paulo, D. A. M. K. Rasch. A compromise D-optimal experimental Design in a Tree Diameter Growth Problem. 99

K.K. Sabelfeld, I.A. Shalimova. Backward and forward Stochastic Lagrangian models for transport of scalars in turbulent flows. 105

R. G. Sargent. Graphical Displays of Simulation Model Data as Statistical References. 111

M. Ahsanullah, V.B. Nevzorov. Records of the Generalized Extreme Value Distribution. 123

A. J. Alawneh. Steady State Probabilities for Two Parallel Queues. 129

M. H. Alrefaei. A Method for Optimizing Admission Control of a Voice Multihop Radio Network. 135

A. Andronov. Monte Carlo Approximation of Logical System Reliability. 141

G. I. Ankoudinov. Advanced Morphological Approach to Systems Structure Modelling. 147

G. M. Antonova. LPt - search with averaging methodology for system investigation and design. 143

A. G. Bart, D. U. Maday, V. A. Bart. Partly Inverse Functions Method in Survival Analysis. 159

E.E.M. van Berkum, E.J. Habers, P.M. v.d. Ven, J.T.M. Wijnen. Fractional Factorial Designs for multi-step production processes. 165

V. M. Boure. An equilibrium designs in the location problem of detecting facilities. 171

A. V. Burmistrov. Numerical solution of homogeneous stationary diffusion equation by new Monte Carlo method. 174

Yu. Davydov, V. Egorov. Functional limit theorems for induced order statistics with applications. 180

H. Dette, V. B. Melas, S. Biedermann. A functional-algebraic determination of D-optimal designs for trigonometric regression models on a partial circle. 185

G. A. Elkobrosy, El D. E. Afify. On the Moment and Maximum Likelihood Estimators. 193

K.S. Ermakov. On the algorithm of the reverse sphere walk. 198

S. M. Ermakov, I. V. Kaloshin. Iterative Monte Carlo algorithms for solving nonlinear algebraic equations. 201

V. Esaulova. On the Goodness-of-fit Tests Based on L1-Deviations of Kernel and Histogram Density Estimators. 207

A. N. Frolov, A. I. Martikainen. On the asymptotic behaviour of the size of the largest cave in a random field. 212

N. Golyandina. Central Limit Theorem for (n,k)-particle processes solving balance equations. 217

O. N. Granichin. Regression Parameters Estimation Under Arbitrary Noise. 223

S. A. Gusev. Monte Carlo Estimates of Parametric Derivatives of the Solution of a Parabolic Equation Made by Solving Stochastic Differential Equations. 229

D. Guster, N. K. Krivulin. Modeling and Performance Evaluation of Computer Systems Security Operation. 235

A.V.Hagen-Thorn, A.G.Bart, V.M.Kozhanov. The Method of Distributions Deconvolution in Neurophysiological Applications. 241

M. Hamada. Visual Simulation and Analysis of Random Walk in d-Dimensional Lattice. 247

J. Hardwick, Q. F. Stout. Optimal Screening Designs with Flexible Cost Structures. 255

K. Holmstrom, T. Fomina. Computer Simulation for Inorganic Chemical Equilibrium Analysis. 263

S. E. Ignatieva, O. A. Kutsenko, V. P. Memnonov, A. Ph. Sizova. Parallel implementation of the Trajectory Corrected Monte Carlo Simulations. 269

E. I. Jilinskaia, T. J. Marx, S. J. Norton. Estimation of precision of Health-Care Cost analysis using multiple sampling methods. 275

V. Kalashnikov. Stability bounds for ruin probabilities in risk models. 281

N. D. Kan, V. B. Nevzorov. On the convergence rates to asymptotic distributions for the coupon collector's problem. 287

V. B.Khristinich. Modeling of near–equilibrium relaxation flows. 292

A. V. Kolnogorov. An Optimal a Priori Learning Stage for the Two-Armed Bandit Problem. 300

N. K. Krivulin. Products of Random Matrices and Queueing System Performance Evaluation. 306

N. K. Krivulin, V. B. Nevzorov. Evaluation of the Mean Interdeparture Time in Tandem Queueing Systems. 312

G. Z. Lotova. On Monte Carlo methods for estimating the time dependence during the process of radiation transfer. 318

R. N. Makarov. Solving boundary value problem for one nonlinear elliptic equation by the Monte Carlo method. 324

O. A. Makhotkin, A.V. Voytishek. Usage of piece–constant interpolations in the double—sided Monte Carlo technique. 330

M. B. Malyutov, I. I. Tsitovich. Sequential detection of an abrupt change in a Markov chain distribution. 336

M. A. Marchenko. Use of importance sampling in calculation of probability of boundary non-achievement. 340

G. A. Mikhailov, A. V. Burmistrov. The Monte Carlo method for conjugate stationary diffusion equation. 345

G. A. Mikhailov, V. L. Lukinov. Monte Carlo solution of the finite-difference problem for the multidimensional biharmonic equation. 351

V. Nekrutkin, K. Romkin. Propagation of chaos for Kac particle systems and equations of Boltzmann type. 355

V. A. Ogorodnikov, A. V. Protasov. On One Algorithm of Random Fields Modeling on the Basis of the Variational Methods of Data Assimilation. 361

Yu. M. Paramonov. P-set Function Application for Specified Life Nonination. 366

M.-J. Paulo, A. Otten. Optimal Bayesian Design Applied to Volume Yield and Optimal Cutting Time Prediction. 372

A. N. Pepelyshev. Locally optimal designs for the Monod model. 381

A. Yu. Ponomareva, M. K. Tchirkov. On reduction of periodically nonstationary stochastic automata. 388

A. Yu. Ponomareva, M. K. Tchirkov. On a system of reduced forms of periodically nonstationary stochastic automata. 396

S. M. Prigarin. On Numerical Solvability of Boundary Value Problems for Linear Stochastic Differential Equations. 401

E.V. Prozorova. The influence of the dispersion in the Bolzmann equation. 407

D. Rusaityte. Stability of ruin probability in risk model with Markov Modulation and random investments. 412

O. V. Rusakov. A Construction of Memory for the Fractal Ornstein-Uhlenbeck Process: the Case of 0<H<1/2. 419

V. V. Rykov. On optimal control of the system with heterogeneous servers. 424

K.K. Sabelfeld, A.A. Kolodko. Stochastic Lagrangian model for spatially inhomogeneous Smoluchowski equation. 430

E.V. Sedunov, J.A. Choutova. On the Problem of ja-Optimal Binary Masks for Density Estimation of Flow of Particles. 435

V. V. Shakhov. Some results of D-optimal Discrete Design. 440

E. V. Shkarupa. The conditional optimization in C – space of the frequencies polygon method for iterative solution of the nonlinear integral equation. 443

V. D. Shpak. Analitical-Statistical Estimatirs for Ordinary Terminating Renewal Process. 449

N. Simonov. Nonlinear Monte Carlo Estimators for Parabolic Equation. 455

V. A. Sirenek, A. I. Ponikarovski. For the Solution of a Three-Dimensional Equation of Wave Diffusion by Monte Carlo Method. 459

A. Steland. On Jump-Preserving Sequential Control for Certain Mixing Processes with Applications in Finance and Econometrics. 465

A. Stepanov. Presentation for record values and maximum. 470

Yu. A. Sushkov, A. Sh. Abakarov, Synthesis of change structure systems. 472

A. S. Tikhomirov. Speed of Convergence for Random Search Method. 475

T.M. Tovstik, I. A. Vinogradova, V. A. Myshenskaya. On the Simulation of the Gaussian Random Field on the Ellipsoid and Cylinder Surface. 478

S. A. Ukhinov. Estimation of special parametric derivatives for transfer equation with polarization. 483

O. S. Ukhinova. Stochastic Simulation of a Class of Heterogeneous Gaussian Fields. 488

S. Vives, M. Salicru, J. Ocana. Confidence Intervals for Diversity Indexes. 494

A. V. Voytishek, T. E. Mezentseva. Practical use of multilevel algorithms. 502

J. H. Walker, D. Grima. Calculating Probabilities for a Medical Decision Making Semi-Markov Model. 508

Vladimir Kalashnikov (Obitury notice.) 515

Contents by topic. 518

Author Index