• Title of article

    Scaling limit for the diffusion exit problem in the Levinson case

  • Author/Authors

    Monter، نويسنده , , Sergio Angel Almada and Bakhtin، نويسنده , , Yuri، نويسنده ,

  • Issue Information
    روزنامه با شماره پیاپی سال 2011
  • Pages
    14
  • From page
    24
  • To page
    37
  • 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 1D diffusions conditioned on rare events.
  • Keywords
    Small noise , Levinson case , Exit problem , Rare event
  • Journal title
    Stochastic Processes and their Applications
  • Serial Year
    2011
  • Journal title
    Stochastic Processes and their Applications
  • Record number

    1578352