Limiting Exit Location Distributions in the Stochastic Exit Problem

DOI10.1137/S0036139994271753zbMATH Open0874.60072DBLPjournals/siamam/MaierS97arXivadap-org/9407003WikidataQ62796128 ScholiaQ62796128MaRDI QIDQ4337657FDOQ4337657

Daniel L. Stein, Robert S. Maier

Publication date: 26 May 1997

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

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.

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

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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)

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