Sharp Asymptotic Estimates for Expectations, Probabilities, and Mean First Passage Times in Stochastic Systems with Small Noise

no code implementations • 8 Mar 2021 • Tobias Grafke, Tobias Schäfer, Eric Vanden-Eijnden

Freidlin-Wentzell theory of large deviations can be used to compute the likelihood of extreme or rare events in stochastic dynamical systems via the solution of an optimization problem.

Statistical Mechanics Optimization and Control Probability Fluid Dynamics