English

Sharp estimate of the mean exit time of a bounded domain in the zero white noise limit

Analysis of PDEs 2018-07-11 v5

Abstract

We prove a sharp asymptotic formula for the mean exit time from a bounded domain DRdD\subset \mathbb R^d for the overdamped Langevin dynamics dXt=f(Xt)dt+2\ve dBtd X_t = -\nabla f(X_t) d t + \sqrt{2\ve} \ d B_t when \ve0\ve \to 0 and in the case when DD contains a unique non degenerate minimum of ff and \pa\mbfnf>0\pa_{\mbf n}f>0 on \paD\pa D. This formula was actually first derived in~\cite{matkowsky-schuss-77} using formal computations and we thus provide, in the reversible case, the first proof of it. As a direct consequence, we obtain when \ve0\ve \to 0, a sharp asymptotic estimate of the smallest eigenvalue of the operator L\ve=\veΔ+fL_{\ve}=-\ve \Delta +\nabla f\cdot \nabla associated with Dirichlet boundary conditions on \paD\pa D. The approach does not require fDf|_{\partial D} to be a Morse function. The proof is based on results from~\cite{Day2,Day4} and a formula for the mean exit time from DD introduced in~\cite{BEGK, BGK}.

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Cite

@article{arxiv.1710.07510,
  title  = {Sharp estimate of the mean exit time of a bounded domain in the zero white noise limit},
  author = {Boris Nectoux},
  journal= {arXiv preprint arXiv:1710.07510},
  year   = {2018}
}

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17 pages