On the exponential exit law in the small parameter exit problem
作者:
Martin V. Day,
期刊:
Stochastics
(Taylor Available online 1983)
卷期:
Volume 8,
issue 4
页码: 297-323
ISSN:0090-9491
年代: 1983
DOI:10.1080/17442508308833244
出版商: Gordon and Breach Science Publishers Inc
数据来源: Taylor
摘要:
We consider the diffusiondw in a domainDwhich contains a unique asymptotically stable critical point of the ODE. Using probabilistic estimates we prove the following: 1) The Principle eigenfunction of the differential generator for tghe processx(tconverges to a constant as ε→0, boundedly inDand uniformly on compacts. 2) If τDis the exit time ofx(t) fromD, then λτDconverges in distribution to an exponential random variable with mean 1.(λ is the principle eigenvalue). Both of these results were known previosuly in the special case of a gradient flow:. Our arguments apply in the general non-gradient case.
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