First exit times of solutions of stochastic differential equations driven by multiplicative Levy noise with heavy tails

Ilya Pavlyukevich

doi:10.1142/s0219493711003413

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arXiv · 1205.6115

First exit times of solutions of stochastic differential equations driven by multiplicative Levy noise with heavy tails

Ilya Pavlyukevich

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Abstract

In this paper we study first exit times from a bounded domain of a gradient dynamical system $\dot Y_t=-\nabla U(Y_t)$ perturbed by a small multiplicative Lévy noise with heavy tails. A special attention is paid to the way the multiplicative noise is introduced. In particular we determine the asymptotics of the first exit time of solutions of Itô, Stratonovich and Marcus canonical SDEs.

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BibTeX RIS

Ilya Pavlyukevich. 2012-05-28. First exit times of solutions of stochastic differential equations driven by multiplicative Levy noise with heavy tails. https://doi.org/10.1142/s0219493711003413

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