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Exit-problem for a class of non-Markov processes with pat...
Ashot Aleksian, Aline Kurtzmann, Julian Tugaut · 2023-06-15 · via math.PR updates on arXiv.org

We study the exit-time of a self-interacting diffusion from an open domain $G \subset \mathbb{R}^d$. In particular, we consider the equation $d{X_t} = - \left( \nabla V(X_t) + \frac{1}{t}\int_0^t\nabla F (X_t - X_s)d{s} \right) d{t} + σd{W_t}.$ We are interested in the small-noise ($σ\to 0$) behaviour of the exit-time from the potentials' domain of attraction. In this work rather weak assumptions on the potentials $V$ and $F$, and on the domain $G$ are considered. In particular, we do not assume $V$ nor $F$ to be either convex or concave, which covers a wide range of self-attracting and self-repelling stochastic processes possibly moving in a complex multi-well landscape. The Large Deviation Principle for the Self-interacting diffusion with generalized initial conditions is established. The main result of the paper states that, under some assumptions on the potentials $V$ and $F$, and on the domain $G$, the Kramers' type law for the exit-time holds. Finally, we provide a result concerning the exit-location of the diffusion.