Søren Asmussen receives von Neumann Price 2010

2011.01.11 | Lars Madsen

The 2010 John von Neumann Theory Prize is awarded to Søren Asmussen and Peter Glynn for their outstanding contributions in applied probability and the theory of stochastic simulation.

From the explanatory statement of the price committee:
Søren Asmussen has made fundamental contributions in many areas of applied probability and stochastic operations research, including queueing systems, large deviations and rare events, heavy-tailed phenomenon, insurance-risk models, matrix-analytic algorithms and the theory of stochastic simulation. In a 1982 paper, Asmussen described the dynamics of random walks and queues conditional on rare events, thus laying the foundation for simulating these rare events. His 1987 book, Applied Probability and Queues introduced a generation of researchers to the use of exponential changes of measure to analyze rare events and remains required reading for new researchers in queueing theory. In his 1992 paper, “Queueing Simulation in Heavy Traffic” Asmussen proved results quantifying the variance and bias of moment estimates in simulating a single-server queue in heavy traffic. This paper, together with contemporary work by other researchers, placed on a sound footing the till-then folklore associated with the difficulty in getting accurate estimates from simulations of queues in heavy traffic. A 2000 paper co-authored with K. Binswanger and B. Højgaard was the first to provide a rigorous analysis for a rare-event simulation problem in the heavy-tailed setting and to demonstrate that this setting required an entirely different analytical approach. This pioneering paper has inspired a generation of researchers on rare-event simulation analysis with heavy-tailed distribution and opened up applications in telecommunications, reliability, insurance and finance.