On the rare-event simulations of diffusion processes pertaining to a chain of distributed systems with small random perturbations

TL;DR

This paper develops an efficient importance sampling method for rare-event simulation of diffusion processes in distributed systems with small random perturbations, leveraging large deviations and stochastic control theory.

Contribution

It introduces a novel importance sampling estimator with exponential variance decay for rare events in distributed diffusions satisfying Hörmander conditions.

Findings

Provides an importance sampling estimator with exponential variance decay.

Establishes a connection between large deviations and stochastic control for distributed systems.

Derives solvability conditions for associated Hamilton-Jacobi-Bellman equations.

Abstract

In this paper, we consider an importance sampling problem for a certain rare-event simulations involving the behavior of a diffusion process pertaining to a chain of distributed systems with random perturbations. We also assume that the distributed system formed by $n$-subsystems -- in which a small random perturbation enters in the first subsystem and then subsequently transmitted to the other subsystems -- satisfies an appropriate H\"{o}rmander condition. Here we provide an efficient importance sampling estimator, with an exponential variance decay rate, for the asymptotics of the probabilities of the rare events involving such a diffusion process that also ensures a minimum relative estimation error in the small noise limit. The framework for such an analysis basically relies on the connection between the probability theory of large deviations and the values functions for a family of stochastic control problems associated with the underlying distributed system, where such a connection provides a computational paradigm -- based on an exponentially-tilted biasing distribution -- for constructing efficient importance sampling estimators for the rare-event simulation. Moreover, as a by-product, the framework also allows us to derive a family of Hamilton-Jacobi-Bellman for which we also provide a solvability condition for the corresponding optimal control problem.