First exit times of solutions of stochastic differential equations driven by multiplicative Levy noise with heavy tails

Abstract

In this paper we study first exit times from a bounded domain of a gradient dynamical system $\dot Y_t=-\nabla U(Y_t)$ perturbed by a small multiplicative L\'evy noise with heavy tails. A special attention is paid to the way the multiplicative noise is introduced. In particular we determine the asymptotics of the first exit time of solutions of It\^o, Stratonovich and Marcus canonical SDEs.Comment: 19 pages, 2 figure