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
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