A PDE approach to certain large deviation problems for systems of parabolic equations (Q1822831): Difference between revisions

The authors investigate exponential decay properties as \(\epsilon\) \(\to 0\) for the solution of the linear parabolic system \[ u^{\epsilon}_{k,t}=(\epsilon /2)\sum^{n}_{i,j=1}a^ k_{ij}u^{\epsilon}_{k,x_ ix_ j}+\sum^{n}_{i=1}b^ k_ iu^{\epsilon}_{k,x_ i}+\epsilon^{- 1}\sum^{m}_{l=1}c_{kl}u_ l^{\epsilon}\quad in\quad {\mathbb{R}}^ n\times (0,\infty), \] \[ and\quad u_ k^{\epsilon}=g_ k\quad in\quad {\mathbb{R}}^ n\times \{t=0\}, \] where the \(g_ k: {\mathbb{R}}^ n\to {\mathbb{R}}\) have compact support, \(\sum^{m}_{l=1}c_{kl}=0\) and \((a^ k_{ij})\) is positive definite, \(k=1,...,m.\) Rather than using probabilistic arguments employing large deviations techniques by interpreting the system as the backward equation for a Markov process on \({\mathbb{R}}^ n\times \{1,...,m\}\) switching between the states 1 to m with rates \(\epsilon^{-1}c_{kl}\), they use PDE techniques to establish the exponential rate at which \(u_ k^{\epsilon}\) converges to zero off the support of the common limit u which is given as the solution of a transport equation. The authors provide a representation for the corresponding rate function I(x,t) using the fact that I solves a certain Hamilton-Jacobi PDE.