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arxiv: 1407.3469 · v3 · pith:PCQZEBR4new · submitted 2014-07-13 · 🧮 math.PR

A solution selection problem with small symmetric stable perturbations

classification 🧮 math.PR
keywords problemselectionsingularsmallstabletimeadaptedalpha
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The zero-noise limit of differential equations with singular coefficients is investigated for the first time in the case when the noise is an $\alpha $-stable process. It is proved that extremal solutions are selected and the respective probability of selection is computed. For this purpose an exit time problem from the half-line, which is of interest in its own right, is formulated and studied by means of a suitable decomposition in small and large jumps adapted to the singular drift.

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