Capacities and efficient computation of first-passage probabilities

Abstract

A reversible diffusion process is initialized at position x 0 and run until it first hits any of several targets. What is the probability that it terminates at a particular target? We propose a computationally efficient approach for estimating this probability, focused on those situations in which it takes a long time to hit any target. In these cases, direct simulation of the hitting probabilities becomes prohibitively expensive. On the other hand, if the timescales are sufficiently long, then the system will essentially "forget" its initial condition before it encounters a target. In these cases the hitting probabilities can be accurately approximated using only local simulations around each target, obviating the need for direct simulations. In empirical tests, we find that these local estimates can be computed in the same time it would take to compute a single direct simulation, but that they achieve an accuracy that would require thousands of direct simulation runs.