Scaling Limits and Exit Law for Multiscale Diffusions

Sergio A. Almada Monter; Konatantinos Spiliopoulos

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arXiv · 1207.5482

Scaling Limits and Exit Law for Multiscale Diffusions

Sergio A. Almada Monter·Konatantinos Spiliopoulos

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Abstract

In this paper we study the fluctuations from the limiting behavior of small noise random perturbations of diffusions with multiple scales. The result is then applied to the exit problem for multiscale diffusions, deriving the limiting law of the joint distribution of the exit time and exit location. We apply our results to the first order Langevin equation in a rough potential, studying both fluctuations around the typical behavior and the conditional limiting exit law, conditional on the rare event of going against the underlying deterministic flow.

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Sergio A. Almada Monter, Konatantinos Spiliopoulos. 2012-07-23. Scaling Limits and Exit Law for Multiscale Diffusions. https://arxiv.org/abs/1207.5482

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