Limiting Exit Location Distributions in the Stochastic Exit Problem

@article{Maier1997LimitingEL,
  title={Limiting Exit Location Distributions in the Stochastic Exit Problem},
  author={Robert S. Maier and Daniel L. Stein},
  journal={SIAM Journal of Applied Mathematics},
  year={1997},
  volume={57},
  pages={752-790}
}
Considera two-dimensionalcontinuous-timedynamicalsystem,with an attractingfixed point . If the deterministicdynamicsareperturbedby white noise(randomperturbations)of strength , the systemstate will eventually leave the domainof attraction of . We analysethe casewhen,as , the exit locationon theboundary is increasinglyconcentratedneara saddlepoint of thedeterministicdynamics.We show using formal methodsthat the asymptoticform of the exit locationdistribution on is genericallynon-Gaussianand… CONTINUE READING

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