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.
Original language | English (US) |
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Pages (from-to) | 24-37 |
Number of pages | 14 |
Journal | Stochastic Processes and their Applications |
Volume | 121 |
Issue number | 1 |
DOIs | |
State | Published - Jan 2011 |
Keywords
- Exit problem
- Levinson case
- Rare event
- Small noise
ASJC Scopus subject areas
- Statistics and Probability
- Modeling and Simulation
- Applied Mathematics