455 research outputs found
Asymptotic Exit Location Distributions in the Stochastic Exit Problem
Consider a two-dimensional continuous-time dynamical system, with an
attracting fixed point . If the deterministic dynamics are perturbed by
white noise (random perturbations) of strength , the system state
will eventually leave the domain of attraction of . We analyse the
case when, as , the exit location on the boundary
is increasingly concentrated near a saddle point of the
deterministic dynamics. We show that the asymptotic form of the exit location
distribution on is generically non-Gaussian and asymmetric,
and classify the possible limiting distributions. A key role is played by a
parameter , equal to the ratio of the stable
and unstable eigenvalues of the linearized deterministic flow at . If
then the exit location distribution is generically asymptotic as
to a Weibull distribution with shape parameter , on the
length scale near . If it is generically
asymptotic to a distribution on the length scale, whose
moments we compute. The asymmetry of the asymptotic exit location distribution
is attributable to the generic presence of a `classically forbidden' region: a
wedge-shaped subset of with as vertex, which is reached from ,
in the limit, only via `bent' (non-smooth) fluctuational paths
that first pass through the vicinity of . We deduce from the presence of
this forbidden region that the classical Eyring formula for the
small- exponential asymptotics of the mean first exit time is
generically inapplicable.Comment: This is a 72-page Postscript file, about 600K in length. Hardcopy
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A comparison between MMAE and SCEM for solving singularly perturbed linear boundary layer problems
In this study, we propose an efficient method so-called Successive Complementary Expansion Method (SCEM), that is based on generalized asymptotic expansions, for approximating to the solutions of singularly perturbed two-point boundary value problems. In this easy-applicable method, in contrast to the well-known method the Method of Matched Asymptotic Expansions (MMAE), any matching process is not
required to obtain uniformly valid approximations. The key point: A uniformly valid approximation is adopted first, and complementary functions are obtained imposing the corresponding boundary conditions. An illustrative and two numerical experiments are provided to show the implementation and numerical properties of the present method. Furthermore, MMAE results are also obtained in order to compare the
numerical robustnesses of the methods.No sponso
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