Scaling limits and exit law for multiscale diffusions

DOI10.3233/ASY-131207MaRDI QIDQ5417067zbMATH OpenOpenAlexFDO

Authors Sergio Angel Almada, Konstantinos Spiliopoulos

Publication date 15 May 2014

Published in Asymptotic Analysis (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1207.5482

zbMATH Keywords

conditional rare eventexit problemGaussian correctionmultiscale dynamicssmall noise

Mathematics Subject Classification ID

Multiple scale methods for ordinary differential equations (34E13) Ordinary differential equations and systems with randomness (34F05) Generation, random and stochastic difference and differential equations (37H10) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Abstract: In this paper we study the fluctuations from the limiting behavior of small noise random perturbations of diffusions with multiple scales. The result is then applied to the exit problem for multiscale diffusions, deriving the limiting law of the joint distribution of the exit time and exit location. We apply our results to the first order Langevin equation in a rough potential, studying both fluctuations around the typical behavior and the conditional limiting exit law, conditional on the rare event of going against the underlying deterministic flow.

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Cited in

(5)

• Large deviations for interacting multiscale particle systems
• Scaling limits for conditional diffusion exit problems and asymptotics for nonlinear elliptic equations
• Fluctuation analysis and short time asymptotics for multiple scales diffusion processes
• Scaling limit for the diffusion exit problem in the Levinson case
• Quantitative fluctuation analysis of multiscale diffusion systems via Malliavin calculus

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