We study the mean exit time from a bounded multi-dimensional domain Ω of the stochastic process governed by the overdamped Langevin dynamics. This mean exit time solves the boundary value problem (−ε2Δ+∇V⋅∇)uε=1inΩ,uε=0on∂Ω,ε→0. The function V is smooth enough and has the only minimum at the origin contained in Ω; the minimum can be degenerate. At other points of Ω, the gradient of V is non-zero and the normal derivative of V at the boundary ∂Ω does not vanish. Our main result is a complete asymptotic expansion for uε. The asymptotics for uε involves an exponentially large term, which we find in a closed form. We also construct a power in ε asymptotic expansion such that this expansion and a mentioned exponentially large term approximate uε up to arbitrary power of ε.
Original languageEnglish
Pages (from-to)78-116
Number of pages39
JournalJournal of Differential Equations
Volume269
Issue number8
DOIs
StatePublished - 5 Oct 2020

    Research areas

  • Asymptotics, Equations with small parameter at higher derivatives, Exit time problem, Overdamped Langevin dynamics

ID: 126272906