Exit-Problem for a Class of Non-Markov Processes With Path Dependency: Proof of the Main Theorem

Written by classpath | Published 2025/03/06
Tech Story Tags: class-path | non-markov-processes | path-dependency | exit-problem | large-deviation-principle | what-is-the-ldp | the-ldp-explained | the-sid-explained

TLDRGiven the results of Lemmas 3.2 and 3.5, we expect our process to spend most of its time near a with σ small enough.via the TL;DR App

Table of Links

Abstract and 1 Introduction

1.1 State of the art

1.2 Some remarks on dynamics and initial condition

1.3 Outline of the paper

1.4 List of notations

2 Large Deviation Principle

2.1 Establishing the LDP for the SID

2.2 Results related to the LDP

2.3 Compactness results

3 Exit-time

3.1 Auxiliary results

3.2 Proof of the main theorem

3.3 Proofs of auxiliary lemmas

4 Generalization and References

3.2 Proof of the main theorem

3.2.1 Kramers’ law

Given the results of Lemmas 3.2 and 3.5, we expect our process to spend most of its time near a with σ small enough. In order to have more information about this behaviour, we introduce the following stopping times

That gives us:

Therefore, by induction in k, we get:

By Markov’s inequality, we get:

We remark that by Lemmas 3.1, 3.5 and derivations above, we have

This concludes the proof.

3.2.2 Exit-location

This paper is available on arxiv under CC BY-SA 4.0 DEED license.

Authors:

(1) Ashot Aleksian, Université Jean Monnet, Institut Camille Jordan, 23, rue du docteur Paul Michelon, CS 82301, 42023 Saint-Étienne Cedex 2, France;

(2) Aline Kurtzmann, Université de Lorraine, CNRS, Institut Elie Cartan de Lorraine UMR 7502, Vandoeuvre-lès-Nancy, F-54506, France;

(3) Julian Tugaut, Université Jean Monnet, Institut Camille Jordan, 23, rue du docteur Paul Michelon, CS 82301, 42023 Saint-Étienne Cedex 2, France.


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Published by HackerNoon on 2025/03/06