Sharp Estimate of the Mean Exit Time of a Bounded Domain in the Zero White Noise Limit

B. Nectoux

2020, v.26, Issue 3, 403-422


We prove a sharp asymptotic formula for the mean exit time from a bounded domain $D\subset \mathbb R^d$ for the overdamped Langevin dynamics $$d X_t = -\nabla f(X_t) d t + \sqrt{2\ve} \ d B_t$$
when $\ve \to 0$ and in the case when $D$ contains a unique non degenerate minimum of $f$ and $\pa_{\mbf n}f>0$ on $\pa D$, where $\mbf n$ is the unit outward normal vector to $D$.
This formula was actually first derived in~\cite{matkowsky-schuss-77} using formal computations and we thus provide, in the reversible case, the first proof of it.
As a direct consequence, we obtain when $\ve \to 0$, a sharp asymptotic estimate of the smallest eigenvalue of the operator
$$L_{\ve}=-\ve \Delta +\nabla f\cdot \nabla$$
associated with Dirichlet boundary conditions on $\pa D$. The approach does not require $f|_{\partial
D}$ to be a Morse function.
The proof is based on results from~\cite{Day2,Day4} and a formula for the mean exit time from $D$ introduced in~\cite{BEGK, BGK}.

Keywords: potential theory, metastability, mean exit time, overdamped Langevin process, principal eigenvalue


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