Some results on the problem of exit from a domain
The problem of exit from a domain of attraction of a stable equilibrium point in the presence of small noise is considered for a class of two-dimensional systems. It is shown that for these systems, the exit measure is 'skewed' in the sense that if S denotes the saddle point in the quasipotential towards which the exit measure collapses as the noise intensity goes to zero, then there exists an [var epsilon] dependent neighborhood [Delta] of S such that lim P(exit in [Delta])/|[Delta]|=0. Thus, the most probable exit point is not S but is rather skewed aside by [var epsilon][gamma] for some [gamma]. The behaviour of such skewness, which was predicted by asymptotic expansions, depends on the ratio of normal to tangential forces around the saddle point.
Year of publication: |
1992
|
---|---|
Authors: | Bobrovsky, Ben-Zion ; Zeitouni, Ofer |
Published in: |
Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 41.1992, 2, p. 241-256
|
Publisher: |
Elsevier |
Keywords: | exit problem large deviations characteristic boundary two-dimensional diffusions asymptotic expansions |
Saved in:
Online Resource
Saved in favorites
Similar items by person
-
A sharp estimate for cover times on binary trees
Ding, Jian, (2012)
-
Recursive identification in continuous-time stochastic processes
Levanony, David, (1994)
-
Altman, Eitan, (1994)
- More ...