Mean first exit times of Ornstein–Uhlenbeck processes in high-dimensional spaces

DOI10.1088/1751-8121/acc559zbMath1509.60114arXiv2208.04029MaRDI QIDQ6042922

Frank Norbert Proske, Hans Kersting, Unnamed Author, Unnamed Author

Publication date: 4 May 2023

Published in: Journal of Physics A: Mathematical and Theoretical (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2208.04029

zbMATH Keywords

asymptoticsBrownian motionOrnstein-Uhlenbeck processfirst-exit timehigh-dimensional limit

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Brownian motion (60J65) Stochastic methods (Fokker-Planck, Langevin, etc.) applied to problems in time-dependent statistical mechanics (82C31)

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• Maximal inequalities for the Ornstein-Uhlenbeck process
• Moderate maximal inequalities for the Ornstein-Uhlenbeck process
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