On uniform positivity of transition densities of small noise constrained diffusions

DOI10.1214/ECP.V19-2967MaRDI QIDQ743074zbMATH OpenFDO

Authors Amarjit Budhiraja, Zhen-Qing Chen

Publication date 22 September 2014

Published in Electronic Communications in Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1308.3533

zbMATH Keywords

reflectionSkorohod problemconstrained diffusionsexponential levelingDirichlet heat kernel estimatesexit time estimatesFriedlin-Wentzell asymptotics

Mathematics Subject Classification ID

Large deviations (60F10) Diffusion processes (60J60) Continuous-time Markov processes on general state spaces (60J25) Stochastic network models in operations research (90B15) Stochastic stability in control theory (93E15)

Abstract: Constrained diffusions in convex polyhedral domains with a general oblique reflection field, and with a diffusion coefficient scaled by a small parameter, are considered. Using an interior Dirichlet heat kernel lower bound estimate for second order elliptic operators in bounded domains from [13], certain uniform in the scaling parameter lower bounds on transition densities of such constrained diffusions are established. These lower bounds together with results from [1] give, under additional stability conditions, an exponential leveling property, as the scaling parameter approaches zero, for exit times from suitable bounded domains.

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Cited in

(3)

• Exit time and invariant measure asymptotics for small noise constrained diffusions
• Convergence of invariant densities in the small-noise limit
• A practical criterion for positivity of transition densities

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