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arXiv · 1710.03293

Malliavin calculus approach to long exit times from an unstable equilibrium

Yuri Bakhtin·Zsolt Pajor-Gyulai
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Abstract

For a one-dimensional smooth vector field in a neighborhood of an unstable equilibrium, we consider the associated dynamics perturbed by small noise. Using Malliavin calculus tools, we obtain precise vanishing noise asymptotics for the tail of the exit time and for the exit distribution conditioned on atypically long exits.

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Yuri Bakhtin, Zsolt Pajor-Gyulai. 2017-10-09. Malliavin calculus approach to long exit times from an unstable equilibrium. https://arxiv.org/abs/1710.03293

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