Weak noise and non-hyperbolic unstable fixed points: sharp estimates on transit and exit times

DOI10.3150/14-BEJ643zbMATH Open1336.60111arXiv1307.4255OpenAlexW2140310991MaRDI QIDQ888481FDOQ888481

Authors: Giambattista Giacomin, Mathieu Merle 

Publication date: 30 October 2015

Published in: Bernoulli (Search for Journal in Brave)

Abstract: We consider certain one dimensional ordinary stochastic differential equations driven by additive Brownian motion of variance $varepsilo{n}^2$. When $varepsilon=0$ such equations have an unstable non-hyperbolic fixed point and the drift near such a point has a power law behavior. For $varepsilon>0$ small, the fixed point property disappears, but it is replaced by a random escape or transit time which diverges as $varepsilonsearrow0$. We show that this random time, under suitable (easily guessed) rescaling, converges to a limit random variable that essentially depends only on the power exponent associated to the fixed point. Such random variables, or laws, have therefore a universal character and they arise of course in a variety of contexts. We then obtain quantitative sharp estimates, notably tail properties, on these universal laws.

Full work available at URL: https://arxiv.org/abs/1307.4255

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zbMATH Keywords

stochastic differential equationsmartingale theoryexit timestransit timesunstable non-hyperbolic fixed pointsSchrödinger equation

Mathematics Subject Classification ID

Functional limit theorems; invariance principles (60F17) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Martingales with continuous parameter (60G44)

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