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

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  • 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.

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