Path Properties of Rare Events

Abstract

Simulation of rare events can be costly with respect to time and computational resources. For certain processes it may be more efficient to begin at the rare event and simulate a kind of reversal of the process. This approach is particularly well suited to reversible Markov processes, but holds much more generally. This more general result is formulated precisely in the language of stationary point processes, proven, and applied to some examples. An interesting question is whether this technique can be applied to Markov processes which are substochastic, i.e. processes which may die if a graveyard state is ever reached. First, some of the theory of substochastic processes is developed; in particular a slightly surprising result about the rate of convergence of the distribution pi(n) at time n of the process conditioned to stay alive to the quasi-stationary distribution, or Yaglom limit, is proved. This result is then verified with some illustrative examples. Next, it is demonstrated with an explicit example that on infinite state spaces the reversal approach to analyzing both the rate of convergence to the Yaglom limit and the likely path of rare events can fail due to transience.