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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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