Efficient Importance Sampling of Brownian Motion Avoiding Poissonian Obstacles for Long Time

Abstract

We design and analyze an efficient importance sampling estimator of the probability that, over a long time horizon, a Brownian particle avoids obstacles of a fixed radius placed according to an independent Poisson random field. Donsker and Varadhan identify the exponential decay rate of this probability as the optimal balance between the volume cleared of obstacles and the spectral cost of confinement, and the confinement results of Sznitman and Povel show that the particle survives by localizing its path in a ball of (roughly) deterministic radius but with a random center. This strategy makes direct Monte Carlo exponentially ineffective over long horizons, and makes a practical yet asymptotically optimal sampler non-trivial to design, since the sampler must track the random region swept out by the path. For every fixed dimension \(d\ge2\) and every fixed obstacle radius, we construct a sequential importance sampler that is unbiased and asymptotically optimal. The full algorithm has finite expected total work at every fixed horizon, and both its expected work and the coefficient of variation grow at most subexponentially with the time horizon. The method avoids repeatedly solving eigenvalue problems on the evolving explored regions and suits parallel implementation. Numerical experiments illustrate the efficiency of the method.