Large deviations results for the exit problem with characteristic boundary

DOI10.1016/0022-247X(90)90389-WzbMath0780.60060MaRDI QIDQ1813266

Martin V. Day

Publication date: 25 June 1992

Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

zbMATH Keywords

large deviationsexit problemsmall random perturbation

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Diffusion processes (60J60) Large deviations (60F10)

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Cites Work

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• A Singular Perturbation Method for the Computation of the Mean First Passage Time in a Nonlinear Filter
• Small Random perturbation of dynamical systems with reflecting boundary
• Large deviations analysis of reflected diffusions and constrained stochastic approximation algorithms in convex sets^†