Scaling limits for conditional diffusion exit problems and asymptotics for nonlinear elliptic equations (Q2790736)

The authors provide a contribution to the large deviation principle of the Freidlin-Wentzell theory of exit problems for diffusion processes with results of the classical central limit theorem kind. They describe a class of situations where conditioning on exit through unlikely locations leads to a Gaussian scaling limit for the exit distribution. The results are based on the application of the Doob's \(h\)-transform and new asymptotic convergence gradient estimates for elliptic nonlinear partial differential equations. The latter techniques particularly allow to reduce the problem to the Levinson case. The authors also present a rigorous and general discussion of the \(h\)-transform in a separate section.