Asymptotic analysis of first-passage problems (Q1369589)

A two-dimensional Stratonovich stochastic dynamical system with small white noise excitation is examined in a domain inside the basin of attraction of an asymptotically stable equilibrium point of the corresponding deterministic system. A method for finding such a domain by using a Lyapunov function of the deterministic system is discussed. Using the mean first-passage time to the boundary of the domain as indicative of the stability of the stochastic system, a WKB singular perturbation scheme is employed to approximate the solution of the Fokker-Planck-Kolmogorov equation for the probability density function of the solution of the stochastic system, which in turn is used to approximate the mean first passage time. Three examples are given in which the results generated by this method agree closely with simulation results.