Scaling limit for the diffusion exit problem
- Series
- Dissertation Defense
- Time
- Thursday, February 3, 2011 - 15:00 for 1 hour (actually 50 minutes)
- Location
- Skiles 006
- Speaker
- Sergio Angel Almada – School of Mathematics, Georgia Tech
A stochastic differential equation with vanishing martingale term is
studied.
Specifically, given a domain D, the asymptotic scaling properties of both
the exit time from the domain and the exit distribution are considered under
the additional (nonstandard) hypothesis that the initial condition also has
a scaling limit. Methods from dynamical systems are applied to get more
complete estimates than the ones obtained by the probabilistic large
deviation theory.
Two situations are completely analyzed. When there is a unique critical
saddle
point of the deterministic system (the system without random effects), and
when
the unperturbed system escapes the domain D in finite time. Applications to
these results are in order. In particular, the study of 2-dimensional
heteroclinic networks is closed with these results and shows the existence
of possible asymmetries. Also, 1-dimensional diffusions conditioned to rare
events are further studied using these results as building blocks.