SOME RESULTS ON THE PROBLEM OF EXIT FROM A DOMAIN

被引:9
作者
BOBROVSKY, BZ
ZEITOUNI, O
机构
[1] TECHNION ISRAEL INST TECHNOL,DEPT ELECT ENGN,IL-32000 HAIFA,ISRAEL
[2] TEL AVIV UNIV,DEPT ELECT ENGN SYST,IL-69978 TEL AVIV,ISRAEL
关键词
EXIT PROBLEM; LARGE DEVIATIONS; CHARACTERISTIC BOUNDARY; 2-DIMENSIONAL DIFFUSIONS; ASYMPTOTIC EXPANSIONS;
D O I
10.1016/0304-4149(92)90124-9
中图分类号
O21 [概率论与数理统计]; C8 [统计学];
学科分类号
020208 ; 070103 ; 0714 ;
摘要
The problem of exit from a domain of attraction of a stable equilibrium point in the presence of small noise is considered for a class of two-dimensional systems. It is shown that for these systems, the exit measure is 'skewed' in the sense that if S denotes the saddle point in the quasipotential towards which the exit measure collapses as the noise intensity goes to zero, then there exists an epsilon-dependent neighborhood-DELTA of S such that lim P(exit in DELTA)/\DELTA\ = 0. Thus, the most probable exit point is not S but is rather skewed aside by epsilon(gamma) for some gamma. The behaviour of such skewness, which was predicted by asymptotic expansions, depends on the ratio of normal to tangential forces around the saddle point.
引用
收藏
页码:241 / 256
页数:16
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