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arXiv:1906.04715 [math.AP]AbstractReferencesReviewsResources

Asymptotic analysis of exit time for dynamical systems with a single well potential

D. Borisov, O. Sultanov

Published 2019-06-11Version 1

We study the exit time from a bounded multi-dimensional domain $\Omega$ of the stochastic process $\mathbf{Y}_\varepsilon=\mathbf{Y}_\varepsilon(t,a)$, $t\geqslant 0$, $a\in \mathcal{A}$, governed by the overdamped Langevin dynamics \begin{equation*} d\mathbf{Y}_\varepsilon =-\nabla V(\mathbf{Y}_\varepsilon) dt +\sqrt{2}\varepsilon\, d\mathbf{W}, \qquad \mathbf{Y}_\varepsilon(0,a)\equiv x\in\Omega \end{equation*} where $\varepsilon$ is a small positive parameter, $\mathcal{A}$ is a sample space, $\mathbf{W}$ is a $n$-dimensional Wiener process. The exit time corresponds to the first hitting of $\partial\Omega$ by the trajectories of the above dynamical system and the expectation value of this exit time solves the boundary value problem \begin{equation*} (-\varepsilon^2\Delta +\nabla V\cdot \nabla)u_\varepsilon=1\quad\text{in}\quad\Omega,\qquad u_\varepsilon=0\quad\text{on}\quad\partial\Omega. \end{equation*} We assume that the function $V$ is smooth enough and has the only minimum at the origin (contained in $\Omega$); the minimum can be degenerate. At other points of $\Omega$, the gradient of $V$ is non-zero and the normal derivative of $V$ at the boundary $\partial\Omega$ does not vanish as well. Our main result is a complete asymptotic expansion for $u_\varepsilon$ as well as for the lowest eigenvalue of the considered problem and for the associated eigenfunction. The asymptotics for $u_\varepsilon$ involves a term exponentially large $\varepsilon$; we find this term in a closed form. Apart of this term, we also construct a power in $\varepsilon$ asymptotic expansion such that this expansion and a mentioned exponentially large term approximate $u_\varepsilon$ up to arbitrarily power of $\varepsilon$. We also discuss some probabilistic aspects of our results.

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