Many problems across the sciences compare two stochastic processes through the sequences they generate. Reinforcement learning asks what a new policy would return from the trajectories of an old one; molecular simulation asks how much more a ligand binds from samples of the unbound state; climate attribution asks how a heat wave shifted under warming; and language-model post-training asks what a deployed agent will do from logged interactions. In every case, one quantity would answer all these questions at once: the ratio of the two probability laws over their generated sequences, the trajectory density ratio. This ratio exists only under strong conditions. When one process reaches states the other cannot, the ratio does not exist; when their overlap is thin, its variance grows without control with the sequence length; and when they concentrate on different lower-dimensional sets, the ratio is undefined altogether. Weak support of this kind is the norm for sequence data, not a sampling accident, and its price is paid in identifiability rather than in noise alone. This survey organizes the field around a three-level diagnosis of weak support and a map of the nine retreats that methods take when the full ratio is out of reach, from direct estimation and reweighting through staged decomposition, stationarization, and partial-identification bounds to smoothing, transport couplings, operator spectra, and direct estimation of a single functional. Each retreat keeps part of what the ratio offers and pays for the rest, and each application domain has standardized the retreat its data force. The survey closes with open problems: testable diagnostics at every level, partial identification at the trajectory level, a rate theory of time-amplified error, and benchmarks with ground truth.

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