scientific article; zbMATH DE number 16729

MaRDI QIDQ3973414zbMATH OpenFDO

Authors Alexander Eizenberg, Mark Freidlin

Publication date 26 June 1992

zbMATH Keywords

boundary value problemsdiffusion processesDirichlet problemssingular perturbationssmall random perturbationstochastic representation for solutions

Mathematics Subject Classification ID

Singular perturbations in context of PDEs (35B25) Boundary value problems for second-order elliptic equations (35J25) Large deviations (60F10) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10)

Review text

[For the entire collection see Zbl 0725.00015.] The Dirichlet problems for a class of singularly perturbed systems of PDE are considered. We use the stochastic representation for solutions of such systems that based on the exit distributions for the Markov process \((X^ \varepsilon_ t,\nu^ \varepsilon_ t)\) on the phase space \(\mathbb{R}^ r\times\{1,\ldots,n\}\), where \(X^ \varepsilon_ t\) satisfies SDE: \[ dX^ \varepsilon_ t = b_{\nu^ \varepsilon_ t}(X^ \varepsilon _ t)dt+\varepsilon\sigma_{ \nu^ \varepsilon_ t}(X^ \varepsilon_ t)dW_ t,\quad \varepsilon>0, \] \(W_ t\) is a Wiener process in \(\mathbb{R}^ r\) and the transition probabilities for \(\nu^ \varepsilon_ t\) have the form: \[ P_{x,k}\{\nu^ \varepsilon_ t=i\}=td_{ki}(x)+o(t),\quad t\downarrow 0. \] The conditions when these solutions converge to the generalized solution of the corresponding degenerate system are found. Some estimates of this convergence are obtained.

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• Singularly perturbed diffusisons: Rapid switchings and fast diffusions.
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