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Unpredictability of an exit time

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  • Brassesco, S.

Abstract

We consider a process u[var epsilon](x,t), for x in a bounded interval, t [greater-or-equal, slanted] 0 and [var epsilon] a small parameter, given as the solution of a nonlinear heat equation perturbed by a space-time white noise multiplied by [var epsilon]. The nonlinear part is the derivative of a one-well polynomial, with a nondegenerate minimum at 0. We study, in the limit as [var epsilon] goes to zero, the time required by u[var epsilon] to escape from the unitary ball (in the sup norm), when it is close to the null function at time zero. We prove that, when conveniently normalized, this time has an exponential limit distribution. The proof is based on a coupling constructed by Mueller (1993), and answers a question posed by Martinelli et al. in (1989).

Suggested Citation

  • Brassesco, S., 1996. "Unpredictability of an exit time," Stochastic Processes and their Applications, Elsevier, vol. 63(1), pages 55-65, October.
    • Handle: RePEc:eee:spapps:v:63:y:1996:i:1:p:55-65
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    References listed on IDEAS

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    1. Brassesco, Stella, 1991. "Some results on small random perturbations of an infinite dimensional dynamical system," Stochastic Processes and their Applications, Elsevier, vol. 38(1), pages 33-53, June.
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    Cited by:

    1. Groisman, Pablo & Saglietti, Santiago & Saintier, Nicolas, 2018. "Metastability for small random perturbations of a PDE with blow-up," Stochastic Processes and their Applications, Elsevier, vol. 128(5), pages 1558-1589.

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    1. Groisman, Pablo & Saglietti, Santiago & Saintier, Nicolas, 2018. "Metastability for small random perturbations of a PDE with blow-up," Stochastic Processes and their Applications, Elsevier, vol. 128(5), pages 1558-1589.

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