Asymptotics for time-changed diffusions
نویسندگان
چکیده
منابع مشابه
Long time asymptotics for constrained diffusions in polyhedral domains
We study long time asymptotic properties of constrained diffusions that arise in the heavy traffic analysis of multiclass queueing networks. We first consider the classical diffusion model with constant coefficients, namely a semimartingale reflecting Brownian motion (SRBM) in a d-dimensional positive orthant. Under a natural stability condition on a related deterministic dynamical system [P. D...
متن کاملExit Time and Invariant Measure Asymptotics for Small Noise Constrained Diffusions
Constrained diffusions, with diffusion matrix scaled by small > 0, in a convex polyhedral cone G ⊂ R, are considered. Under suitable stability assumptions small noise asymptotic properties of invariant measures and exit times from domains are studied. Let B ⊂ G be a bounded domain. Under conditions, an “exponential leveling” property that says that, as → 0, the moments of functionals of exit lo...
متن کاملLarge-time asymptotics for nonlinear diffusions: the initial-boundary value problem
In this paper we investigate the large-time behavior of solutions to the first initial-boundary value problem for the non-linear diffusion ut = (u )xx, m > 0. In particular, we prove exponential decay of u(x, t) towards its own steady state in L1-norm for long times and we give an explicit upper bound for the rate of decay. The result is based on a new application of entropy estimates, and on d...
متن کاملLarge-time and small-ball asymptotics for quadratic functionals of Gaussian diffusions
Using asymptotic analysis of the Laplace transform, we establish almost sure divergence of certain integrals and derive logarithmic asymptotic of small ball probabilities for quadratic forms of Gaussian diffusion processes. The large time behavior of the quadratic forms exhibits little dependence on the drift and diffusion matrices or the initial conditions, and, if the noise driving the equati...
متن کاملAsymptotics of extreme statistics of escape time in 1,2 and 3-dimensional diffusions
The first of N identical independently distributed (i.i.d.) Brownian trajectories that arrives to a small target, sets the time scale of activation, which in general is much faster than the arrival to the target of only a single trajectory. Analytical asymptotic expressions for the minimal time is notoriously difficult to compute in general geometries. We derive here asymptotic laws for the pro...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Theory of Probability and Mathematical Statistics
سال: 2018
ISSN: 0094-9000,1547-7363
DOI: 10.1090/tpms/1021