Exit time and invariant measure asymptotics for small noise constrained diffusions
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References listed on IDEAS
- Budhiraja, Amarjit & Lee, Chihoon, 2007. "Long time asymptotics for constrained diffusions in polyhedral domains," Stochastic Processes and their Applications, Elsevier, vol. 117(8), pages 1014-1036, August.
- Borkar, V. S., 2003. "Dynamic programming for ergodic control with partial observations," Stochastic Processes and their Applications, Elsevier, vol. 103(2), pages 293-310, February.
- Dupuis, Paul & Ramanan, Kavita, 2002. "A time-reversed representation for the tail probabilities of stationary reflected Brownian motion," Stochastic Processes and their Applications, Elsevier, vol. 98(2), pages 253-287, April.
More about this item
KeywordsLarge deviations; Constrained diffusions; Skorokhod problem; Polyhedral domains; Small noise asymptotics; Exit time; Exponential leveling; Coupling; Split chains; Pseudo-atom; Lyapunov functions; Quasi-potential; Invariant measures;
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