Asymptotic analysis of mean exit time for dynamical systems with a single well potential

DOI10.1016/J.JDE.2020.04.045MaRDI QIDQ2189767zbMATH OpenOpenAlexFDO

Authors Yanyan Li

Publication date 16 June 2020

Published in Journal of Differential Equations (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1906.04715

zbMATH Keywords

asymptoticsequations with small parameter at higher derivativesexit time problemoverdamped Langevin dynamics

Mathematics Subject Classification ID

Singular perturbations in context of PDEs (35B25) Asymptotic expansions of solutions to PDEs (35C20) Boundary value problems for second-order elliptic equations (35J25)

Abstract: We study the exit time from a bounded multi-dimensional domain $Omega$ of the stochastic process $mathbf{Y}_{v}arepsilon=mathbf{Y}_{v}arepsilon(t,a)$, $tgeqslant0$, $ainmathcalA$, governed by the overdamped Langevin dynamics �egin{equation*} dmathbf{Y}_varepsilon =-

abla V(mathbf{Y}_varepsilon) dt +sqrt{2}varepsilon, dmathbf{W}, qquad mathbf{Y}_varepsilon(0,a)equiv xinOmega end{equation*} where $varepsilon$ is a small positive parameter, $mathcalA$ is a sample space, $mathbfW$ is a $n$-dimensional Wiener process. The exit time corresponds to the first hitting of $partialOmega$ by the trajectories of the above dynamical system and the expectation value of this exit time solves the boundary value problem �egin{equation*} (-varepsilon^2Delta + abla Vcdot

abla)u_varepsilon=1quad ext{in}quadOmega,qquad u_varepsilon=0quad ext{on}quadpartialOmega. end{equation*} We assume that the function $V$ is smooth enough and has the only minimum at the origin (contained in $Omega$); the minimum can be degenerate. At other points of $Omega$, the gradient of $V$ is non-zero and the normal derivative of $V$ at the boundary $partialOmega$ does not vanish as well. Our main result is a complete asymptotic expansion for $u_{v}arepsilon$ as well as for the lowest eigenvalue of the considered problem and for the associated eigenfunction. The asymptotics for $u_{v}arepsilon$ involves a term exponentially large $varepsilon$; we find this term in a closed form. Apart of this term, we also construct a power in $varepsilon$ asymptotic expansion such that this expansion and a mentioned exponentially large term approximate $u_{v}arepsilon$ up to arbitrarily power of $varepsilon$. We also discuss some probabilistic aspects of our results.

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Cited in

(5)

• Small eigenvalues of the Witten Laplacian with Dirichlet boundary conditions: the case with critical points on the boundary
• Mean exit time for the overdamped Langevin process: the case with critical points on the boundary
• Sharp estimate of the mean exit time of a bounded domain in the zero white noise limit
• Approximation of the mean escape time for a tilted periodic potential
• Repartition of the quasi-stationary distribution and first exit point density for a double-well potential

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