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Zero noise limit for multidimensional SDEs driven by a pointy gradient

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arxiv 1909.08702 v1 pith:QEAUQL5P submitted 2019-09-18 math.PR

classification math.PR
keywords noisedifferentialgradientlimitpointysolutionstendszero
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abstract

The purpose of the article is to address the limiting behavior of the solutions of stochastic differential equations driven by a pointy $d$-dimensional gradient as the intensity of the underlying Brownian motion tends to $0$. By pointy gradient, we here mean that the drift derives from a potential that is ${\mathcal C}^{1,1}$ on any compact subset that does not contain the origin. As a matter of fact, the corresponding deterministic version of the differential equation may have an infinite number of solutions when initialized from $0_{{\mathbb R}^d}$, in which case the limit theorem proved in the paper reads as a selection theorem of the solutions to the zero noise system. Generally speaking, our result says that, under suitable conditions, the probability that the particle leaves the origin by going through regions of higher potential tends to $1$ as the intensity of the noise tends to $0$. In particular, our result extends the earlier one due to Bafico and Baldi for the zero noise limit of one dimensional stochastic differential equations.

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Reviewed papers in the Pith corpus that reference this work. Sorted by Pith novelty score. Full citation record

  1. Zero-noise selection and Large Deviations in $L^\infty_t L^p_x$ for the stochastic transport equation beyond DiPerna-Lions

    math.PR 2025-06 conditional novelty 8.0 of 10

    Rough transport noise selects the unique DiPerna-Lions solution in the zero-noise limit and yields a large deviations principle in the non-separable space L^∞_t L^p_x.

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