کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
1156836 958880 2011 14 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Scaling limit for the diffusion exit problem in the Levinson case
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات ریاضیات (عمومی)
پیش نمایش صفحه اول مقاله
Scaling limit for the diffusion exit problem in the Levinson case
چکیده انگلیسی

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.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Stochastic Processes and their Applications - Volume 121, Issue 1, January 2011, Pages 24–37
نویسندگان
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