Exit time and invariant measure asymptotics for small noise constrained diffusions
Constrained diffusions, with diffusion matrix scaled by small ϵ>0, in a convex polyhedral cone G⊂Rk, are considered. Under suitable stability assumptions small noise asymptotic properties of invariant measures and exit times from domains are studied. Let B⊂G be a bounded domain. Under conditions, an “exponential leveling” property that says that, as ϵ→0, the moments of functionals of exit location from B, corresponding to distinct initial conditions, coalesce asymptotically at an exponential rate, is established. It is shown that, with appropriate conditions, difference of moments of a typical exit time functional with a sub-logarithmic growth, for distinct initial conditions in suitable compact subsets of B, is asymptotically bounded. Furthermore, as initial conditions approach 0 at a rate ϵ2 these moments are shown to asymptotically coalesce at an exponential rate.
If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Volume (Year): 121 (2011)
Issue (Month): 5 ()
|Contact details of provider:|| Web page: http://www.elsevier.com/wps/find/journaldescription.cws_home/505572/description#description|
|Order Information:|| Postal: http://http://www.elsevier.com/wps/find/supportfaq.cws_home/regional|
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- 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.
- 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.
When requesting a correction, please mention this item's handle: RePEc:eee:spapps:v:121:y:2011:i:5:p:899-924. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Shamier, Wendy)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.