Exit time and invariant measure asymptotics for small noise constrained diffusions
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DOI: 10.1016/j.spa.2011.01.006
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References listed on IDEAS
- Budhiraja, Amarjit & Lee, Chihoon, 2007. "Long time asymptotics for constrained diffusions in polyhedral domains," Stochastic Processes and their Applications, Elsevier, vol. 117(8), pages 1014-1036, August.
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Cited by:
- Amarjit Budhiraja & Jiang Chen & Sylvain Rubenthaler, 2014. "A Numerical Scheme for Invariant Distributions of Constrained Diffusions," Mathematics of Operations Research, INFORMS, vol. 39(2), pages 262-289, May.
- Salins, M., 2021. "Systems of small-noise stochastic reaction–diffusion equations satisfy a large deviations principle that is uniform over all initial data," Stochastic Processes and their Applications, Elsevier, vol. 142(C), pages 159-194.
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Keywords
Large deviations; Constrained diffusions; Skorokhod problem; Polyhedral domains; Small noise asymptotics; Exit time; Exponential leveling; Coupling; Split chains; Pseudo-atom; Lyapunov functions; Quasi-potential; Invariant measures;All these keywords.
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