Thursday, February 3, 2011 - 15:00
1 hour (actually 50 minutes)
A stochastic differential equation with vanishing martingale term is studied. Specifically, given a domain D, the asymptotic scaling properties of both the exit time from the domain and the exit distribution are considered under the additional (nonstandard) hypothesis that the initial condition also has a scaling limit. Methods from dynamical systems are applied to get more complete estimates than the ones obtained by the probabilistic large deviation theory. Two situations are completely analyzed. When there is a unique critical saddle point of the deterministic system (the system without random effects), and when the unperturbed system escapes the domain D in finite time. Applications to these results are in order. In particular, the study of 2-dimensional heteroclinic networks is closed with these results and shows the existence of possible asymmetries. Also, 1-dimensional diffusions conditioned to rare events are further studied using these results as building blocks.