Scaling limits for the exit problem for conditioned diffusions via Hamilton-Jacobi equations
- Series
- Stochastics Seminar
- Time
- Thursday, September 12, 2013 - 15:05 for 1 hour (actually 50 minutes)
- Location
- Skiles 005
- Speaker
- Yuri Bakhtin – GaTech
The classical Freidlin--Wentzell theory on small random
perturbations of dynamical
systems operates mainly at the level of large deviation estimates. In many
cases it would be interesting
and useful to supplement those with central limit theorem type results. We
are able to describe a class of situations where a Gaussian scaling limit
for the exit point of conditioned diffusions holds. Our main tools are
Doob's h-transform and new gradient estimates for Hamilton--Jacobi
equations. Joint work with Andrzej Swiech.