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The first boundary exit point of a diffusion process with small diffusion
A. D. Venttsel' M. V. Lomonosov Moscow State University
Abstract:
A diffusion process with a drift $b(x)$ and small diffusion sooner or later reaches the boundary of a region containing a stable position of equilibrium of the dynamical system $\dot x_t=b(x_t)$. The first exit point belongs to a small part of the boundary (see [1, 2]). An estimate of the order of the size of this part is given.
Received: 28.02.1977
Citation:
A. D. Venttsel', “The first boundary exit point of a diffusion process with small diffusion”, Mat. Zametki, 22:3 (1977), 411–420; Math. Notes, 22:3 (1977), 720–725
Linking options:
https://www.mathnet.ru/eng/mzm8062 https://www.mathnet.ru/eng/mzm/v22/i3/p411
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Statistics & downloads: |
Abstract page: | 192 | Full-text PDF : | 87 | First page: | 1 |
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