Robustness and Approximation of Escape Times and Large Deviations Estimates for Systems with Small Noise Effects

DOI10.1137/0144012zbMATH Open0538.60032OpenAlexW1978083605MaRDI QIDQ3324740FDOQ3324740

Harold J. Kushner

Publication date: 1984

Published in: SIAM Journal on Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/0144012

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zbMATH Keywords

singular perturbationsvariational problems

Mathematics Subject Classification ID

Large deviations (60F10) Stochastic approximation (62L20) Stochastic systems in control theory (general) (93E03)

Cited In (10)

• Some results on the problem of exit from a domain
• Escape statistics for systems driven by dichotomous noise. I: General theory.
• Estimations de grandes déviations pour des systèmes où apparaissent un bruit gaussien et un bruit non gaussien. (Large deviations estimations for systems with Gaussian and non-Gaussian noise)
• Large Deviations Estimates for Systems with Small Noise Effects, and Applications to Stochastic Systems Theory
• Asymptotic behavior of constrained stochastic approximations via the theory of large deviations
• Small noise asymptotics for a stochastic growth model
• Colored noise modelling in the reliability evaluation of electric power systems
• Discovering mean residence time and escape probability from data of stochastic dynamical systems
• Numerical methods for controlled and uncontrolled multiplexing and queueing systems
• Escape dynamics: a continuous-time approximation

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