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Asymptotic Series and Exit Time Probabilities

W. H. Fleming and M. R. James
The Annals of Probability
Vol. 20, No. 3 (Jul., 1992), pp. 1369-1384
Stable URL: http://www.jstor.org/stable/2244647
Page Count: 16
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Since scans are not currently available to screen readers, please contact JSTOR User Support for access. We'll provide a PDF copy for your screen reader.
Asymptotic Series and Exit Time Probabilities
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Abstract

This paper is concerned with accurate asymptotic estimates for exit time probabilities associated with nearly deterministic Markov diffusions. The exit time probabilities are expressed as asymptotic series of WKB type in a small parameter, which measures the strength of the random Brownian motion inputs. This series is valid in certain regions in which the minimum action function u(x,s) is a smooth function of state x and time s. The function u is a solution to the corresponding Hamilton-Jacobi PDE of first order.

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