![](images/spacer.gif) |
|
|
| | | | | |
|
|
|
|
|
Semiclassical analysis and a new result for Poisson-Lévy excursion measures
|
Ian M Davies, Swansea University |
Abstract
The Poisson-Lévy excursion measure for the diffusion process with small noise
satisfying the Itô equation
dXε = b(Xε(t))dt +
√ε dB(t)
is studied and the asymptotic behaviour in ε is investigated. The leading
order term is obtained exactly and it is shown that at an equilibrium point there are
only two possible forms for this term - Lévy or Hawkes—Truman. We also compute
the next to leading order term and demonstrate the remarkable fact that it is identically zero.
|
Full text: PDF
Pages: 1283-1306
Published on: August 14, 2008
|
Bibliography
- Lévy, Paul. Processus stochastiques et mouvement brownien.(French) Suivi d'une note de M. Loève. Deuxième édition revue et augmentée Gauthier-Villars & Cie, Paris 1965 vi+438 pp. MR0190953 (32 #8363)
- Hawkes, J.; Truman, A. Statistics of local time and excursions for the Ornstein-Uhlenbeck process. Stochastic analysis (Durham, 1990), 91--101, London Math. Soc. Lecture Note Ser., 167, Cambridge Univ. Press, Cambridge, 1991. MR1166408 (93f:60117)
- Truman, A.; Williams, D. Excursions and Itô Calculus in Nelson's Stochastic Mechanics, ``Recent Developments in Quantum Mechanics", (Kluwer Academic Publishers, Netherlands, 1991)
- Davies, Ian; Truman, Aubrey. Laplace asymptotic expansions of conditional Wiener integrals and generalized Mehler kernel formulas. J. Math. Phys. 23 (1982), no. 11, 2059--2070. MR0680002 (85d:81045a)
- Davies,I. M; Truman, A. Semiclassical analysis and a new result in in excursion theory, in ``Probability Theory and Mathematical Statistics, Proceedings of the Seventh Vilnius Conference (1998)'', edited by B. Grigelionis et al, (Utrecht: VSP, Vilnius: TEV, 1999), 701 -- 706
- Olver, F. W. J. Asymptotics and special functions.Computer Science and Applied Mathematics.Academic Press [A subsidiary of Harcourt Brace Jovanovich, Publishers], New York-London, 1974. xvi+572 pp. MR0435697 (55 #8655)
|
|
|
|
|
|
|
| | | | |
Electronic Journal of Probability. ISSN: 1083-6489 |
|