Freidlin-Wentzell type exit-time estimates for time-inhomogeneous diffusions and their applications
Abstract
This paper investigates the exit-time problem for time-inhomogeneous diffusion processes. The focus is on the small-noise behavior of the exit time from a bounded positively invariant domain. We demonstrate that, when the drift and diffusion terms are uniformly close to some time-independent functions, the exit time grows exponentially both in probability and in as a parameter that controls the noise tends to zero. We also characterize the exit position of the time-inhomogeneous process. Additionally, we investigate the impact of relaxing the uniform closeness condition on the exit-time behavior. As an application, we extend these results to the McKean-Vlasov process. Our findings improve upon existing results in the literature for the exit-time problem for this class of processes.
Cite
@article{arxiv.2501.11797,
title = {Freidlin-Wentzell type exit-time estimates for time-inhomogeneous diffusions and their applications},
author = {Ashot Aleksian and Stéphane Villeneuve},
journal= {arXiv preprint arXiv:2501.11797},
year = {2025}
}
Comments
37 pages, 4 figures