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Semiclassical Analysis and a New Result for Poisson-Lévy Excursion Measures


 
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1. Title Title of document Semiclassical Analysis and a New Result for Poisson-Lévy Excursion Measures
 
2. Creator Author's name, affiliation, country Ian M Davies; Swansea University
 
3. Subject Discipline(s)
 
3. Subject Keyword(s) excursion measures, asymptotic expansions
 
3. Subject Subject classification 60H10;41A60
 
4. Description Abstract The Poisson-Levy excursion measure for the diffusion process with small noise satisfying the Ito equation $$ dX^{\varepsilon} = b(X^{\varepsilon}(t))dt + \sqrt\varepsilon\,dB(t) $$ is studied and the asymptotic behaviour in $\varepsilon$ is investigated. The leading order term is obtained exactly and it is shown that at an equilibrium point there are only two possible forms for this term - Levy or Hawkes-Truman. We also compute the next to leading order.
 
5. Publisher Organizing agency, location
 
6. Contributor Sponsor(s)
 
7. Date (YYYY-MM-DD) 2008-08-14
 
8. Type Status & genre Peer-reviewed Article
 
8. Type Type
 
9. Format File format PDF
 
10. Identifier Uniform Resource Identifier http://ejp.ejpecp.org/article/view/513
 
10. Identifier Digital Object Identifier 10.1214/EJP.v13-513
 
11. Source Journal/conference title; vol., no. (year) Electronic Journal of Probability; Vol 13
 
12. Language English=en
 
14. Coverage Geo-spatial location, chronological period, research sample (gender, age, etc.)
 
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