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 deviations; exit problem; small random perturbation

Mathematics Subject Classification ID

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

60J60: Diffusion processes

60F10: Large deviations

Related Items

Cycling and skewing of exit measures for planar systems, Local action functionals for randomly perturbed dynamical systems on long time intervals^∗, Some results on the problem of exit from a domain

Cites Work

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• Diffusion Across Characteristic Boundaries with Critical Points
• Large Deviations Estimates for Systems with Small Noise Effects, and Applications to Stochastic Systems Theory
• Recent progress on the small parameter exit problem^†
• Boundary Local Time and Small Parameter Exit Problems with Characteristic Boundaries
• 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^†