Exit time and invariant measure asymptotics for small noise constrained diffusions

Anup Biswas and Amarjit Budhiraja

Stochastic Processes and their Applications, 2011, vol. 121, issue 5, 899-924

Abstract: Constrained diffusions, with diffusion matrix scaled by small ϵ>0, 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 conditions, an “exponential leveling” property that says that, as ϵ→0, the moments of functionals of exit location from B, corresponding to distinct initial conditions, coalesce asymptotically at an exponential rate, is established. It is shown that, with appropriate conditions, difference of moments of a typical exit time functional with a sub-logarithmic growth, for distinct initial conditions in suitable compact subsets of B, is asymptotically bounded. Furthermore, as initial conditions approach 0 at a rate ϵ2 these moments are shown to asymptotically coalesce at an exponential rate.

Keywords: Large deviations; Constrained diffusions; Skorokhod problem; Polyhedral domains; Small noise asymptotics; Exit time; Exponential leveling; Coupling; Split chains; Pseudo-atom; Lyapunov functions; Quasi-potential; Invariant measures (search for similar items in EconPapers)
Date: 2011
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Citations: View citations in EconPapers (2)

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DOI: 10.1016/j.spa.2011.01.006

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