Risk-neutral limit of adaptive importance sampling of random stopping times

Abstract

We discuss importance sampling of exit problems that involve unbounded stopping times; examples are mean first passage times, transition rates or committor probabilities in molecular dynamics. The naive application of variance minimization techniques can lead to pathologies here, including proposal measures that are not absolutely continuous to the reference measure or importance sampling estimators that formally have zero variance, but that produce infinitely long trajectories. We illustrate these issues with simple examples and discuss a possible solution that is based on a risk-sensitive optimal control framework of importance sampling.