A Kramers' type law for self-interacting diffusions

Pierre Del Moral 1 Aline Kurtzmann 2 Julian Tugaut 3
1 CQFD - Quality control and dynamic reliability
IMB - Institut de Mathématiques de Bordeaux, Inria Bordeaux - Sud-Ouest
3 PSPM - Probabilités, statistique, physique mathématique
ICJ - Institut Camille Jordan [Villeurbanne]
Abstract : We study the exit time of a domain for a self-interacting diffusion, where the Brownian motion is replaced by σBt for a constant σ. We first show that the rate of convergence previously obtained for a convex confinment potential V and a convex interaction potential does not depend on σ. Then, we show a Kramers' type law for the first exit-time from a domain (satisfying classical hypotheses).
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Submitted on : Monday, October 22, 2018 - 5:03:55 PM
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  • HAL Id : hal-01901145, version 1


Pierre Del Moral, Aline Kurtzmann, Julian Tugaut. A Kramers' type law for self-interacting diffusions. 2018. ⟨hal-01901145⟩



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