Yuri Bakhtin, Hong-Bin Chen
For a smooth vector field in a neighborhood of a critical point with all positive eigenvalues of the linearization, we consider the associated dynamics perturbed by white noise. Using Malliavin calculus tools, we obtain polynomial asymptotics for probabilities of atypically long exit times in the vanishing noise limit.
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We consider exit problems for small white noise perturbations of a dynamical system generated by a vector field, and a domain containing a critical point with all positive eigenvalues of linearization. We prove that, in the vanishing noise limit, the probability of exit through a generic set on the boundary is asymptotically polynomial in the noise strength, with exponent depending on the mutual position of the set and the flag of the invariant manifolds associated with the top eigenvalues. Furthermore, we compute the limiting exit distributions conditioned on atypical exit events of polynomia…
We consider the exit problem for a one-dimensional system with random switching near an unstable equilibrium point of the averaged drift. In the infinite switching rate limit, we show that the exit time satisfies a limit theorem with a logarithmic deterministic term and a random correction converging in distribution. Thus this setting is in the universality class of the unstable equilibrium exit under small white-noise perturbations.
Exit-problem for a class of non-Markov processes with path dependency
本文研究了一类具有路径依赖性的自相互作用扩散过程在开域中的退出时间问题，在较弱的势函数假设下建立了大偏差原理，并证明了退出时间满足 Kramers 型定律，最后给出了扩散退出位置的结果。
In this paper we develop a metastability theory for a class of stochastic reaction-diffusion equations exposed to small multiplicative noise. We consider the case where the unperturbed reaction-diffusion equation features multiple asymptotically stable equilibria. When the system is exposed to small stochastic perturbations, it is likely to stay near one equilibrium for a long period of time, but will eventually transition to the neighborhood of another equilibrium. We are interested in studying the exit time from the full domain of attraction (in a function space) surrounding an equilibrium a…
For a one-dimensional smooth vector field in a neighborhood of an unstable equilibrium, we consider the associated dynamics perturbed by small noise. Using Malliavin calculus tools, we obtain precise vanishing noise asymptotics for the tail of the exit time and for the exit distribution conditioned on atypically long exits.
A dynamical system perturbed by white noise in a neighborhood of an unstable fixed point is considered. We obtain the exit asymptotics in the limit of vanishing noise intensity. This is a refinement of a result by Kifer (1981).
Exit game with private information
针对竞争与不确定下的战略退出决策难题，研究了参与者不知对手退出价值的随机退出博弈，基于一般一维扩散收益流构建了含状态变量与后验信念的显式均衡策略，并证明其在对称贝叶斯均衡子类中唯一。
We study the long-time behavior of the probability density Q_t of the first exit time from a bounded interval [-L,L] for a stochastic non-Markovian process h(t) describing fluctuations at a given point of a two-dimensional, infinite in both directions Gaussian interface. We show that Q_t decays when t \to \infty as a power-law $^{-1 - α}, where αis non-universal and proportional to the ratio of the thermal energy and the elastic energy of a fluctuation of size L. The fact that αappears to be dependent on L, which is rather unusual, implies that the number of existing moments of Q_t depends on …
In this paper we consider a diffusion process obtained as a small random perturbation of a dynamical system attracted to a stable equilibrium point. The drift and the diffusive perturbation are assumed to evolve slowly in time. We describe the asymptotics of the time it takes the process to exit a given domain and the limiting distribution of the exit point.
For a one-dimensional smooth vector field in a neighborhood of an unstable equilibrium, we consider the associated dynamics perturbed by small noise. We give a revealing elementary proof of a result proved earlier using heavy machinery from Malliavin calculus. In particular, we obtain precise vanishing noise asymptotics for the tail of the exit time and for the exit distribution conditioned on atypically long exits.
A dynamical system driven by non-Gaussian Lévy noises of small intensity is considered. The first exit time of solution orbits from a bounded neighborhood of an attracting equilibrium state is estimated. For a class of non-Gaussian Lévy noises, it is shown that the mean exit time is asymptotically faster than exponential (the well-known Gaussian Brownian noise case) but slower than polynomial (the stable Lévy noise case), in terms of the reciprocal of the small noise intensity.
The relevant quasipotential near an equilibrium point is determined by a new linear matrix equation, with less unknowns than an existing (possibly nonlinear) one. This also assures the asymptotic fulfillment of the Fokker-Planck equation, even globally due to the second term in the noise strength. An auxiliary result for the exit problem is derived as well.
Dynamical system models with delayed dynamics and small noise arise in a variety of applications in science and engineering. In many applications, stable equilibrium or periodic behavior is critical to a well functioning system. Sufficient conditions for the stability of equilibrium points or periodic orbits of certain deterministic dynamical systems with delayed dynamics are known and it is of interest to understand the sample path behavior of such systems under the addition of small noise. We consider a small noise stochastic delay differential equation (SDDE) with coefficients that depend o…
We consider a class of exit time stochastic control problems for diffusion processes with discounted criterion, where the controller can utilize a given amount of resource, called "fuel". In contrast to the vast majority of existing literature, concerning the "finite fuel" problems, it is assumed that the intensity of fuel consumption is bounded. We characterize the value function of the optimization problem as the unique continuous viscosity solution of the Dirichlet boundary value problem for the correspondent Hamilton-Jacobi-Bellman (HJB) equation. Our assumptions concern the HJB equations,…
In this work, we analyse the metastability of non-reversible diffusion processes $$dX_t=\boldsymbol{b}(X_t)dt+\sqrt h\,dB_t$$ on a bounded domain $Ω$ when $\mathbf{b}$ admits the decomposition $\mathbf{b}=-(\nabla f+\mathbf{\ell})$ and $\nabla f \cdot \mathbf{\ell}=0$. In this setting, we first show that, when $h\to 0$, the principal eigenvalue of the generator of $(X_t)_{t\ge 0}$ with Dirichlet boundary conditions on the boundary $\partialΩ$ of $Ω$ is exponentially close to the inverse of the mean exit time from $Ω$, uniformly in the initial conditions $X_0=x$ within the compacts of $Ω$. The …
We consider a dynamic mean-field ferromagnetic model in the low-temperature regime in the neighborhood of the zero magnetization state. We study the random time it takes for the system to make a decision, i.e., to exit the neighborhood of the unstable equilibrium and approach one of the two stable equilibrium points. We prove a limit theorem for the distribution of this random time in the thermodynamic limit.
Metastable confinement of particle systems near linearly stable McKean-Vlasov equilibria
该研究建立通用亚稳性原理，证明局部指数稳定的McKean-Vlasov平衡点可使粒子系统被指数长时间约束，方法不依赖梯度流结构或可逆性。
Threatening excursions in large population quasi-stationary birth and death systems. On a question of Antonio Galves
研究大规模种群多物种生灭过程在准平稳分布下的灭绝前典型轨迹，通过大偏差和团簇时间尺度分析，证明了出口时间和记录值的渐近泊松分布。
Consider a Markov process ω_t at equilibrium and some event C (a subset of the state-space of the process). A natural measure of correlations in the process is the pairwise correlation \Pr[ω_0,ω_t \in C] - \Pr[ω_0 \in C]^2. A second natural measure is the probability of the continual occurrence event \{ω_s \in C, \forall s\in [0,t]\}. We show that for reversible Markov chains, and any event C, pairwise decorrelation of the event C implies a decay of the probability of the continual occurrence event \{ω_s \in C, \forall s \in [0,t]\} as t\to\infty. We provide examples showing that our results a…
Importance sampling for stochastic reaction-diffusion equations in the moderate deviation regime
本文提出一种可证明高效的重要性采样方案，用于估计小噪声随机反应扩散方程的解从稳定平衡点标定邻域退出的概率，通过中等偏差缩放和线性化近似，并结合随机控制与变分方法证明了其在零噪声极限和预渐近情况下的良好表现。
We study a stochastic system of interacting neurons and its metastable properties. The system consists of $N$ neurons, each spiking randomly with rate depending on its membrane potential. At its spiking time, the neuron potential is reset to $0$ and all other neurons receive an additional amount $h/N$ of potential. In between successive spike times, each neuron looses potential at exponential speed. We study this system in the supercritical regime, that is, for sufficiently high values of the synaptic weight $h.$ Under very mild conditions on the spiking rate function, is has been shown in Dua…
We examine a Coulomb gas consisting of $n$ identical repelling point charges at an arbitrary inverse temperature $β$, subjected to a suitable external field. We prove that the gas is effectively localized to a small neighbourhood of the "droplet" -- the support of the equilibrium measure determined by the external field. More precisely, we prove that the distance between the droplet and the vacuum is with very high probability at most proportional to $$\sqrt{\dfrac {\log n}{βn}}.$$ This order of magnitude is known to be "tight" when $β=1$ and the external field is radially symmetric. In additi…
We consider the mean-field game where each agent determines the optimal time to exit the game by solving an optimal stopping problem with reward function depending on the density of the state processes of agents still present in the game. We place ourselves in the framework of relaxed optimal stopping, which amounts to looking for the optimal occupation measure of the stopper rather than the optimal stopping time. This framework allows us to prove the existence of the relaxed Nash equilibrium and the uniqueness of the associated value of the representative agent under mild assumptions. Further…
We discuss importance sampling schemes for the estimation of finite time exit probabilities of small noise diffusions that involve escape from an equilibrium. A factor that complicates the analysis is that rest points are included in the domain of interest. We build importance sampling schemes with provably good performance both pre-asymptotically, that is, for fixed size of the noise, and asymptotically, that is, as the size of the noise goes to zero, and that do not degrade as the time horizon gets large. Simulation studies demonstrate the theoretical results.
Non-Equilibrium Dynamics and First-Passage Properties of Stochastic Processes: From Brownian Motion to Active Particles
本文研究非平衡随机过程的动力学及第一通过性质，重点探讨活性粒子系统，推导出精确的平均第一通过时间表达式，并探讨随机重置与切换扩散模型的特性。
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