Exit-time of an inhomogeneous diffusion

We investigate the exit problem for a diffusion which drift is not time-homogeneous. More precisely, we study this problem for a McKean-Vlasov diffusion, that corresponds to the probabilistic interpretation of the granular media equation. This problem has already been solved in previous articles when the confining potential is uniformly strictly convex. Two different methods have been used. However, these two methods do not extend to the non-convex case. Consequently, here, we proceed in another way: by making a coupling with another McKean-Vlasov diffusion with a uniformly strictly convex confining potential. We present the result in a simple case, the one in which the interacting potential is linear. However, the result can be extended in a more general setting.

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Source https://hal.science/hal-00987805
Author Tugaut, Julian
Maintainer CCSD
Last Updated May 5, 2026, 12:00 (UTC)
Created May 5, 2026, 12:00 (UTC)
Identifier hal-00987805
Language en
Rights https://about.hal.science/hal-authorisation-v1/
contributor Probabilités, statistique, physique mathématique (PSPM) ; Institut Camille Jordan (ICJ) ; École Centrale de Lyon (ECL) ; Université de Lyon-Université de Lyon-Université Claude Bernard Lyon 1 (UCBL) ; Université de Lyon-Institut National des Sciences Appliquées de Lyon (INSA Lyon) ; Université de Lyon-Institut National des Sciences Appliquées (INSA)-Institut National des Sciences Appliquées (INSA)-Université Jean Monnet - Saint-Étienne (UJM) ; Université Jean Monnet (EPSCPE) (UJM EPE)-Université Jean Monnet (EPSCPE) (UJM EPE)-Centre National de la Recherche Scientifique (CNRS)-École Centrale de Lyon (ECL) ; Université de Lyon-Université de Lyon-Université Claude Bernard Lyon 1 (UCBL) ; Université de Lyon-Institut National des Sciences Appliquées de Lyon (INSA Lyon) ; Université de Lyon-Institut National des Sciences Appliquées (INSA)-Institut National des Sciences Appliquées (INSA)-Université Jean Monnet - Saint-Étienne (UJM) ; Université Jean Monnet (EPSCPE) (UJM EPE)-Université Jean Monnet (EPSCPE) (UJM EPE)-Centre National de la Recherche Scientifique (CNRS)
creator Tugaut, Julian
date 2014-05-06T00:00:00
harvest_object_id 76b77cf1-45be-4e07-8157-a9301ca4a4ae
harvest_source_id 3374d638-d20b-4672-ba96-a23232d55657
harvest_source_title test moissonnage SELUNE
metadata_modified 2026-04-23T00:00:00
set_spec type:UNDEFINED