Exit-problem for a class of non-Markov processes with path dependency

arXiv2306.08706MaRDI QIDQ6440327FDOQ6440327

Authors: Ashot Aleksian, Aline Kurtzmann, Julian Tugaut 

Publication date: 14 June 2023

Abstract: We study the exit-time of a self-interacting diffusion from an open domain $Gsubsetmathbb{R}^d$. In particular, we consider the equation $d{X}_t=-left(ablaV(X_t)+frac1tin{t}_0^{t}ablaF(X_t-X_s)dsight)dt+sigmad{W}_t.$ We are interested in small-noise ($sigmao0$) behaviour of exit-time from the potentials' domain of attraction. In this work rather weak assumptions on potentials $V$ and $F$, and on domain $G$ are considered. In particular, we do not assume $V$ nor $F$ to be either convex or concave, which covers a wide range of self-attracting and self-avoiding stochastic processes possibly moving in a complex multi-well landscape. The Large Deviation Principle for Self-interacting diffusion with generalized initial conditions is established. The main result of the paper states that, under some assumptions on potentials $V$ and $F$, and on domain $G$, Kramers' type law for the exit-time holds. Finally, we provide a result concerning the exit-location of the diffusion.

Mathematics Subject Classification ID

Large deviations (60F10) Interacting random processes; statistical mechanics type models; percolation theory (60K35) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

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