Scaling limit for the diffusion exit problem in the Levinson case |
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Authors: | Sergio Angel Almada Monter Yuri Bakhtin |
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Institution: | School of Mathematics, Georgia Tech, Atlanta GA, 30332-0160, USA |
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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. |
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Keywords: | Small noise Exit problem Levinson case Rare event |
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