An intermediate regime for exit phenomena driven by non-Gaussian Levy noises
Dynamical Systems
2008-08-08 v1 Probability
Abstract
A dynamical system driven by non-Gaussian L\'evy 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 L\'evy 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 L\'evy noise case), in terms of the reciprocal of the small noise intensity.
Cite
@article{arxiv.0808.1085,
title = {An intermediate regime for exit phenomena driven by non-Gaussian Levy noises},
author = {Zhihui Yang and Jinqiao Duan},
journal= {arXiv preprint arXiv:0808.1085},
year = {2008}
}
Comments
Stochastics and Dynamics, to appear, Vol 8, No 3, 2008