On the conditional distributions and the efficient simulations of exponential integrals of Gaussian random fields

Abstract

In this paper, we consider the extreme behavior of a Gaussian random field f (t) living on a compact set T. In particular, we are interested in tail events associated with the integral ΣT ef(t) dt.We construct a (non-Gaussian) random field whose distribution can be explicitly stated. This field approximates the conditional Gaussian random field f (given that ΣT ef(t) dt exceeds a large value) in total variation. Based on this approximation, we show that the tail event of ΣT ef(t) dt is asymptotically equivalent to the tail event of supT γ(t) where γ(t) is a Gaussian process and it is an affine function of f (t) and its derivative field. In addition to the asymptotic description of the conditional field, we construct an efficient Monte Carlo estimator that runs in polynomial time of log b to compute the probability P(ΣT ef(t) dt > b) with a prescribed relative accuracy. © 2014 Institute of Mathematical Statistics.