Scaling limit for the diffusion exit problem in the Levinson case

DOI10.1016/J.SPA.2010.09.002MaRDI QIDQ617907zbMATH OpenOpenAlexFDO

Authors Sergio Angel Almada Monter, Yuri Bakhtin

Publication date 14 January 2011

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

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)

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.

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Cites work

• scientific article; zbMATH DE number 192908 (Why is no real title available?)
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• scientific article; zbMATH DE number 936521 (Why is no real title available?)
• Diffusion Processes Depending on a Small Parameter
• Small noise limit for diffusions near heteroclinic networks
• The first boundary value problem for \(\epsilon\Delta u+A(x,y)u_x+B(x,y)u_y+C(x,y)u =D(x,y)\) for small \(\epsilon\)

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(4)

• Scaling limits for conditional diffusion exit problems and asymptotics for nonlinear elliptic equations
• Scaling limits and exit law for multiscale diffusions
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