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

DOI10.1142/S0219493711003413MaRDI QIDQ3174004zbMATH OpenFDO

Authors Ilya Pavlyukevich

Publication date 11 October 2011

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

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

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)

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.

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Cited in

(15)

• Coupling distances between Lévy measures and applications to noise sensitivity of SDE
• First exit times for Lévy-driven diffusions with exponentially light jumps
• Cutoff thermalization for Ornstein-Uhlenbeck systems with small Lévy noise in the Wasserstein distance
• Directed transport induced by spatially modulated Lévy flights
• The exit problem from a neighborhood of the global attractor for dynamical systems perturbed by heavy-tailed Lévy processes
• Metastability in a class of hyperbolic dynamical systems perturbed by heavy-tailed Lévy type noise
• Bistable behaviour of a jump-diffusion driven by a periodic stable-like additive process
• 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
• Stochastic resonance with multiplicative heavy-tailed Lévy noise: optimal tuning on an algebraic time scale
• On the calibration of Lévy driven time series with coupling distances and an application in paleoclimate
• The first exit problem of reaction-diffusion equations for small multiplicative 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

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