Advanced Search
Article Contents
Article Contents

The transition point in the zero noise limit for a 1D Peano example

Abstract / Introduction Related Papers Cited by
  • The zero-noise result for Peano phenomena of Bafico and Baldi (1982) is revisited. The original proof was based on explicit solutions to the elliptic equations for probabilities of exit times. The new proof given here is purely dynamical, based on a direct analysis of the SDE and the relative importance of noise and drift terms. The transition point between noisy behavior and escaping behavior due to the drift is identified.
    Mathematics Subject Classification: Primary: 60H10, 34A12; Secondary: 60F99, 60J65.


    \begin{equation} \\ \end{equation}
  • [1]

    R. Bafico and P. Baldi, Small random perturbations of Peano phenomena, Stochastics, 6 (1982), 279-292.doi: 10.1080/17442508208833208.


    V. S. Borkar and K. Suresh Kumar, A new markov selection procedure for degenerate diffusions, J. Theor. Probab., 23 (2010), 729-747.doi: 10.1007/s10959-009-0242-6.


    R. Buckdahn, M. Quincampoix and Y. Ouknine, On limiting values of stochastic differential equations with small noise intensity tending to zero, Bull. Sci. Math., 133 (2009), 229-237.doi: 10.1016/j.bulsci.2008.12.005.


    F. Delarue, F. Flandoli and D. Vincenzi, Noise prevents collapse of Vlasov-Poisson point charges, to appear in Comm. Pure Appl. Math. doi: 10.1002/cpa.21476.


    F. Flandoli, Random Perturbation of PDEs and Fluid Dynamic Models, Lectures from the 40th Probability Summer School held in Saint-Flour, 2010, Lecture Notes in Mathematics, 2015, Springer, Heidelberg, 2011.doi: 10.1007/978-3-642-18231-0.


    F. Flandoli, M. Gubinelli and E. Priola, Well posedness of the transport equation by stochastic perturbation, Invent. Math., 180 (2010), 1-53.doi: 10.1007/s00222-009-0224-4.


    M. Gradinaru, S. Herrmann and B. Roynette, A singular large deviations phenomenon, Ann. Inst. H. Poincaré Probab. Statist., 37 (2001), 555-580.doi: 10.1016/S0246-0203(01)01075-5.


    S. Herrmann, Phénomène de Peano et grandes déviations, C. R. Acad. Sci. Paris Sér. I, Math., 332 (2001), 1019-1024.doi: 10.1016/S0764-4442(01)01983-8.


    I. Karatzas and S. E. Shreve, Brownian Motion and Stochastic Calculus, Springer-Verlag, New York, 1988.doi: 10.1007/978-1-4684-0302-2_2.


    N. V. Krylov and M. Röckner, Strong solutions of stochastic equations with singular time dependent drift, Probab. Theory Related Fields, 131 (2005), 154-196.doi: 10.1007/s00440-004-0361-z.


    H. Kunita, Stochastic differential equations and stochastic flows of diffeomorphisms, Ecole d'été de probabilités de Saint-Flour, XII-1982, Lecture Notes in Math., 1097, Springer, Berlin, 1984, 143-303.doi: 10.1007/BFb0099433.


    L. C. G. Rogers and D. Williams, Diffusions, Markov Processes, and Martingales. Vol. 2. Itô Calculus, Wiley Series in Probability and Mathematical Statistics: Probability and Mathematical Statistics, John Wiley & Sons, Inc., New York, 1987.


    D. W. Stroock and S. R. S. Varadhan, Multidimensional Diffusion Processes, Springer-Verlag, Berlin 1979.


    D. Trevisan, Zero noise limits using local times, Electron. Commun. Probab., 18 (2013), 7 pp.doi: 10.1214/ECP.v18-2587.


    Y. A. Veretennikov, On strong solution and explicit formulas for solutions of stochastic integral equations, Math. USSR Sb., 39 (1981), 387-403.

  • 加载中

Article Metrics

HTML views() PDF downloads(74) Cited by(0)

Access History

Other Articles By Authors



    DownLoad:  Full-Size Img  PowerPoint