Exit asymptotics for small diffusion about an unstable equilibrium

Research output: Contribution to journalArticlepeer-review

Abstract

A dynamical system perturbed by white noise in a neighborhood of an unstable fixed point is considered. We obtain the exit asymptotics in the limit of vanishing noise intensity. This is a refinement of a result by Kifer (1981).

Original languageEnglish (US)
Pages (from-to)839-851
Number of pages13
JournalStochastic Processes and their Applications
Volume118
Issue number5
DOIs
StatePublished - May 2008

Keywords

  • Exit problem
  • Small diffusion
  • Unstable equilibrium

ASJC Scopus subject areas

  • Statistics and Probability
  • Modeling and Simulation
  • Applied Mathematics

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