Finite Markov Chains Coupled to General Markov Processes and An Application to Metastability II

Thomas G. Kurtz () and Jason Swanson ()
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Thomas G. Kurtz: University of Wisconsin-Madison
Jason Swanson: University of Central Florida

A chapter in Stochastic Analysis, Filtering, and Stochastic Optimization, 2022, pp 309-337 from Springer

Abstract: Abstract We consider a diffusion given by a small noise perturbation of a dynamical system driven by a potential function with a finite number of local minima. The classical results of Freidlin and Wentzell show that the time this diffusion spends in the domain of attraction of one of these local minima is approximately exponentially distributed and hence the diffusion should behave approximately like aMarkov chain on the local minima. By the work of Bovier and collaborators, the local minima can be associated with the small eigenvalues of the diffusion generator. In Part I of this work [10], by applying a Markov mapping theorem, we used the eigenfunctions of the generator to couple this diffusion to a Markov chain whose generator has eigenvalues equal to the eigenvalues of the diffusion generator that are associated with the local minima and established explicit formulas for conditional probabilities associated with this coupling. The fundamental question now becomes to relate the coupled Markov chain to the approximateMarkov chain suggested by the results of Freidlin andWentzel. In this paper, we take up this question and provide a complete analysis of this relationship in the special case of a double-well potential in one dimension.

Date: 2022
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-030-98519-6_13

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DOI: 10.1007/978-3-030-98519-6_13

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