Related papers: Exit time asymptotics for dynamical systems with f…

We use the mean exit time to quantify macroscopic dynamical behaviors of stochastic dynamical systems driven by tempered L\'evy fluctuations, which are solutions of nonlocal elliptic equations. Firstly, we construct a new numerical scheme…

The timing of strategic exit is one of the most important but difficult business decisions, especially under competition and uncertainty. Motivated by this problem, we examine a stochastic game of exit in which players are uncertain about…

The objective of this dissertation is to prove a scaling limit for the exit of a domain problem of a small noise system with underlying hyperbolic dynamics. In this case, Large Deviation kind of estimates fail to provide a complete picture…

In this note, by an elementary use of Girsanov's transform we show that the exit time for either a biased random walk or a drifted Brownian motion on a symmetric interval is stochastically monotone with respect to the drift parameter. In…

We study small random perturbations by additive white-noise of a spatial discretization of a reaction-diffusion equation with a stable equilibrium and solutions that blow up in finite time. We prove that the perturbed system blows up with…

In this paper, we study boundary-value problems describing the exit distribution of finite-velocity random motions from prescribed domains. For the standard telegraph process, with and without drift, we derive the Dirichlet problems…

The mean exit time escaping basin of attraction in the presence of white noise is of practical importance in various scientific fields. In this work, we propose a strategy to control mean exit time of general stochastic dynamical systems to…

Dynamical system models with delayed dynamics and small noise arise in a variety of applications in science and engineering. In many applications, stable equilibrium or periodic behavior is critical to a well functioning system. Sufficient…

Freidlin and Wentzell characterized the logarithmic asymptotics of the exit time from a basin of attraction for a finite dimensional diffusion with small noise. After that, several authors studied the same properties for exit problems…

For a class of linear switched systems in continuous time a controllability condition implies that state feedbacks allow to achieve almost sure stabilization with arbitrary exponential decay rates. This is based on the Multiplicative…

We have shown how the intrinsic properties of a noise process can set an upper bound for the time derivative of entropy in a nonequilibrium system. The interplay of dissipation and the properties of noise processes driving the dynamical…

We study small random perturbations by additive space-time white noise of a reaction-diffusion equation with a unique stable equilibrium and solutions which blow up in finite time. We show that for initial data in the domain of attraction…

We consider the rates of noise-induced switching between the stable states of dissipative dynamical systems with delay and also the rates of noise-induced extinction, where such systems model population dynamics. We study a class of systems…

We analyze the asymptotic behavior for a system of fully nonlinear parabolic and elliptic quasi variational inequalities. These equations are related to robust switching control problems introduced in [3]. We prove that, as time horizon…

We consider the first exit time of a nonnegative Harris-recurrent Markov process from the interval $[0,A]$ as $A\to\infty$. We provide an alternative method of proof of asymptotic exponentiality of the first exit time (suitably…

Stochastic homogenization is achieved for a class of elliptic and parabolic equations describing the lifetime, in large domains, of stationary diffusion processes in random environment which are small, statistically isotropic perturbations…

To characterize local finite-time properties associated with transient chaos in open dynamical systems, we introduce an escape rate and fractal dimensions suitable for this purpose in a coarse-grained description. We numerically illustrate…

We apply the theory of continuous time random walks to study some aspects of the extreme value problem applied to financial time series. We focus our attention on extreme times, specifically the mean exit time and the mean first-passage…

In one-dimensional random walks, the waiting time for each direction transitions is the same, even in the presence of bias, as a consequence of the microscopic-reversibility. We study the symmetry breaking of forward/ backward transition…

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…