Limiting Exit Location Distributions in the Stochastic Exit Problem

DOI10.1137/S0036139994271753MaRDI QIDQ4337657zbMATH OpenDBLPWikidataFDO

Authors Robert S. Maier, Daniel L. Stein

Publication date 26 May 1997

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

Full work available at URL https://arxiv.org/abs/adap-org/9407003

zbMATH Keywords

large deviationsfirst passage timestochastic exit problemstochastic analysismatched asymptotic expansionssingular perturbation theoryWentzell-Freidlin theoryexit locationlarge fluctuationsAckerberg-O'Malley resonancesaddle point avoidance

Mathematics Subject Classification ID

Diffusion processes (60J60) Singular perturbations in context of PDEs (35B25) Singular perturbations, turning point theory, WKB methods for ordinary differential equations (34E20)

Abstract: Consider a two-dimensional continuous-time dynamical system, with an attracting fixed point $S$. If the deterministic dynamics are perturbed by white noise (random perturbations) of strength $epsilon$, the system state will eventually leave the domain of attraction $Omega$ of $S$. We analyse the case when, as $epsilono0$, the exit location on the boundary $partialOmega$ is increasingly concentrated near a saddle point $H$ of the deterministic dynamics. We show that the asymptotic form of the exit location distribution on $partialOmega$ is generically non-Gaussian and asymmetric, and classify the possible limiting distributions. A key role is played by a parameter $mu$, equal to the ratio $|lambd{a}_s(H)|/lambd{a}_u(H)$ of the stable and unstable eigenvalues of the linearized deterministic flow at $H$. If $mu<1$ then the exit location distribution is generically asymptotic as $epsilono0$ to a Weibull distribution with shape parameter $2/mu$, on the $O(epsilo{n}^{mu/2})$ length scale near $H$. If $mu>1$ it is generically asymptotic to a distribution on the $O(epsilo{n}^{1/2})$ length scale, whose moments we compute. The asymmetry of the asymptotic exit location distribution is attributable to the generic presence of a `classically forbidden' region: a wedge-shaped subset of $Omega$ with $H$ as vertex, which is reached from $S$, in the $epsilono0$ limit, only via `bent' (non-smooth) fluctuational paths that first pass through the vicinity of $H$. We deduce from the presence of this forbidden region that the classical Eyring formula for the small-$epsilon$ exponential asymptotics of the mean first exit time is generically inapplicable.

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