Scaling Limit for the Diffusion Exit Problem, a Survey

2014/06/22 by Sergio A. Almada Monter, Monter, Sergio A. Almada
Economics, Econometrics and Finance · Mathematics · Physics and Astronomy · #FOS: Mathematics #Probability (math.PR) #Stochastic processes and financial applications #Stochastic processes and statistical mechanics #Theoretical and Computational Physics

paper · pdf · doi:10.48550/arxiv.1406.5764

openalex publication_date 2014/06/22 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

Abstract

In this review, an outline of the so called Freidlin-Wentzell theory and its recent extensions is given. Broadly, this theory studies the exponential rate at which the probabilities of rare events related to random perturbation of ODE decays. The typical situation is when an ODE has several stable equilibria, in which case, the theory predicts the most likely paths in which the randomly perturbed system goes from one equilibria to another. In recent developments I will outline how recent approaches allows to distinguish between paths that are otherwise exponentially equivalent and provide an overview of applications of this theory. In particular, we outline the influence of this theory in Monte Carlo Algorithms and Simulated Annealing schemes.

Citations

• Thermodynamical approach to the traveling salesman problem: An efficient simulation algorithm

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