English

Zero noise limit for multidimensional SDEs driven by a pointy gradient

Probability 2019-09-20 v1

Abstract

The purpose of the article is to address the limiting behavior of the solutions of stochastic differential equations driven by a pointy dd-dimensional gradient as the intensity of the underlying Brownian motion tends to 00. By pointy gradient, we here mean that the drift derives from a potential that is C1,1{\mathcal C}^{1,1} on any compact subset that does not contain the origin. As a matter of fact, the corresponding deterministic version of the differential equation may have an infinite number of solutions when initialized from 0Rd0_{{\mathbb R}^d}, in which case the limit theorem proved in the paper reads as a selection theorem of the solutions to the zero noise system. Generally speaking, our result says that, under suitable conditions, the probability that the particle leaves the origin by going through regions of higher potential tends to 11 as the intensity of the noise tends to 00. In particular, our result extends the earlier one due to Bafico and Baldi for the zero noise limit of one dimensional stochastic differential equations.

Keywords

Cite

@article{arxiv.1909.08702,
  title  = {Zero noise limit for multidimensional SDEs driven by a pointy gradient},
  author = {François Delarue and Mario Maurelli},
  journal= {arXiv preprint arXiv:1909.08702},
  year   = {2019}
}
R2 v1 2026-06-23T11:19:42.175Z