First exit times of solutions of stochastic differential equations driven by multiplicative Lévy noise with heavy tails

DOI10.1142/S0219493711003413zbMATH Open1235.60069arXiv1205.6115MaRDI QIDQ3174004FDOQ3174004

Ilya Pavlyukevich

Publication date: 11 October 2011

Published in: Stochastics and Dynamics (Search for Journal in Brave)

Abstract: In this paper we study first exit times from a bounded domain of a gradient dynamical system $dot{Y}_t=-ablaU(Y_t)$ perturbed by a small multiplicative L'evy noise with heavy tails. A special attention is paid to the way the multiplicative noise is introduced. In particular we determine the asymptotics of the first exit time of solutions of It^o, Stratonovich and Marcus canonical SDEs.

Full work available at URL: https://arxiv.org/abs/1205.6115

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zbMATH Keywords

stochastic differential equationfirst exit timestochastic integralLévy process

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic integrals (60H05)

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Cited In (14)

• Coupling distances between Lévy measures and applications to noise sensitivity of SDE
• Cutoff thermalization for Ornstein-Uhlenbeck systems with small Lévy noise in the Wasserstein distance
• Directed transport induced by spatially modulated Lévy flights
• Metastability in a class of hyperbolic dynamical systems perturbed by heavy-tailed Lévy type noise
• On the Calibration of Lévy Driven Time Series with Coupling Distances and an Application in Paleoclimate
• Stochastic resonance with multiplicative heavy-tailed Lévy noise: Optimal tuning on an algebraic time scale
• Bistable behaviour of a jump-diffusion driven by a periodic stable-like additive process
• The first exit problem of reaction-diffusion equations for small multiplicative L\'evy noise
• First exit times of SDEs driven by stable Lévy processes
• Large deviations for Lévy diffusions in the small noise regime
• First exit times of non-linear dynamical systems in \(\mathbb R^{d}\) perturbed by multifractal Lévy noise
• The Kramers problem for SDEs driven by small, accelerated Lévy noise with exponentially light jumps
• The first passage problem for stable linear delay equations perturbed by power law Lévy noise
• The Exit Problem from a Neighborhood of the Global Attractor for Dynamical Systems Perturbed by Heavy-Tailed Lévy Processes

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