{
  "id": "1205.6115",
  "version": "v1",
  "published": "2012-05-28T13:57:50.000Z",
  "updated": "2012-05-28T13:57:50.000Z",
  "title": "First exit times of solutions of stochastic differential equations driven by multiplicative Levy noise with heavy tails",
  "authors": [
    "Ilya Pavlyukevich"
  ],
  "comment": "19 pages, 2 figures",
  "journal": "Stochastics and Dynamics, Vol. 11, Nos. 2-3 (2011) 495-519",
  "doi": "10.1142/S0219493711003413",
  "categories": [
    "math.PR"
  ],
  "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.",
  "revisions": [
    {
      "version": "v1",
      "updated": "2012-05-28T13:57:50.000Z"
    }
  ],
  "analyses": {
    "subjects": [
      "60H10",
      "60G51",
      "60H05"
    ],
    "keywords": [
      "stochastic differential equations driven",
      "multiplicative levy noise",
      "heavy tails",
      "study first exit times"
    ],
    "tags": [
      "journal article"
    ],
    "note": {
      "typesetting": "TeX",
      "pages": 19,
      "language": "en",
      "license": "arXiv",
      "status": "editable",
      "adsabs": "2012arXiv1205.6115P"
    }
  }
}