Limit set of inhomogeneous Ornstein-Uhlenbeck processes, destabilization and annealing

Paolo Baldi

Stochastic Processes and their Applications, 1986, vol. 23, issue 1, 153-167

Abstract: We consider the Diffusion Process obtained by perturbing a dynamical system having a single equilibrium point x, by a fixed time-inhomogeneous Gaussian process whose intensity tends to 0 at infinity. We establish criteria for the exit time from a neighborhood of x to be a.s. finite by linking this fact with the structure of the limit set at infinity. We are also able to compute this limit set for inhomogeneous Ornstein-Uhlenbeck processes associated to linear systems. An application is given to simulated annealing.

Keywords: perturbed; dynamical; system; limit; set; exit; time; Ornstein-Uhlenbeck; process (search for similar items in EconPapers)
Date: 1986
References: Add references at CitEc
Citations:

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/0304-4149(86)90022-0
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:spapps:v:23:y:1986:i:1:p:153-167

Ordering information: This journal article can be ordered from
http://http://www.elsevier.com/wps/find/supportfaq.cws_home/regional
https://shop.elsevie ... _01_ooc_1&version=01

Access Statistics for this article

Stochastic Processes and their Applications is currently edited by T. Mikosch

More articles in Stochastic Processes and their Applications from Elsevier
Bibliographic data for series maintained by Catherine Liu ().