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Constrained diffusions 1 Coupling 1 Exit time 1 Exponential leveling 1 Invariant measures 1 Large deviations 1 Lyapunov functions 1 Polyhedral domains 1 Pseudo-atom 1 Quasi-potential 1 Skorokhod problem 1 Small noise asymptotics 1 Split chains 1
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Biswas, Anup 1 Budhiraja, Amarjit 1
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Stochastic Processes and their Applications 1
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Exit time and invariant measure asymptotics for small noise constrained diffusions
Biswas, Anup; Budhiraja, Amarjit - In: Stochastic Processes and their Applications 121 (2011) 5, pp. 899-924
Constrained diffusions, with diffusion matrix scaled by small ϵ0, in a convex polyhedral cone G⊂Rk, are considered. Under suitable stability assumptions small noise asymptotic properties of invariant measures and exit times from domains are studied. Let B⊂G be a bounded domain. Under...
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