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Conditional exits for small noise diffusions with characteristic boundary. (English) Zbl 0780.60059

An important form of the small noise exit problem of Wentzell and Freidlin is the so-called case of characteristic boundary, for regions whose boundary consists of trajectories of the underlying dynamical system. A useful device for studying this problem is to condition the underlying probability measure so that exit to the boundary occurs more rapidly. The author develops this method, and obtains stochastic differential equations which give an asymptotically correct description of the conditioned process.

MSC:

60H10 Stochastic ordinary differential equations (aspects of stochastic analysis)
34E10 Perturbations, asymptotics of solutions to ordinary differential equations
60J10 Markov chains (discrete-time Markov processes on discrete state spaces)
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