Scaling limit for the diffusion exit problem in the Levinson case

DOI10.1016/J.SPA.2010.09.002zbMATH Open1266.37020arXiv1006.2766OpenAlexW1973134272MaRDI QIDQ617907FDOQ617907

Sergio Angel Almada Monter, Yuri Bakhtin

Publication date: 14 January 2011

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Abstract: The exit problem for small perturbations of a dynamical system in a domain is considered. It is assumed that the unperturbed dynamical system and the domain satisfy the Levinson conditions. We assume that the random perturbation affects the driving vector field and the initial condition, and each of the components of the perturbation follows a scaling limit. We derive the joint scaling limit for the random exit time and exit point. We use this result to study the asymptotics of the exit time for 1-d diffusions conditioned on rare events.

Full work available at URL: https://arxiv.org/abs/1006.2766

zbMATH Keywords

exit problemsmall noiserare eventLevinson case

Mathematics Subject Classification ID

Diffusion processes (60J60) Generation, random and stochastic difference and differential equations (37H10)

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Cited In (3)

• Universal statistics of incubation periods and other detection times via diffusion models
• Scaling limits for conditional diffusion exit problems and asymptotics for nonlinear elliptic equations
• On Gumbel limit for the length of reactive paths

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