Bernstein-based Approach

Lemma 5.20. Assume that ν is small enough such that the inequality in (5.2.32) holds true. For (ζ(t))_{t∈[0,T0/ν]}, dened as in (5.2.34), we have that

1 2a+

(1−δ0ν)≤ζ(s)≤ 1 2a₋

1

1−γ(1 +δ0ν) for alls∈[0, T0/ν].

Proof. The lower bound is easily derived, and for the upper bound we nd that v^ad(s)≤ 1 +δ0ν

2(a(s)− |b(s)|) = 1 +δ0ν 2a(s)a(s)−|b(s)|

a(s)

≤ 1

2a₋

1−^|b(s)|_a(s)(1 +δ₀ν).

Together with the basic assumption (5.2.6) that shows the claim.

Forν >0 small enough, some arbitrarily smallt∆>0andh >0we will see that

P (

sup

s∈[0,T0/ν]

|y(s)|

pζ(s) > h )

≤ T0

νt∆

exp

−(1−γ)h² 2σ²

1 +O

ky0k ∨ν

h +N h+t∆

, which is only useful, if

max

σ,ky0k, ν < h < 1

N. (5.2.35)

We make this restriction an assumption in order to omit error terms that are not of leading order. From the preceding part, inequality (5.2.24) yields for starting pointt₀= 0

|y(t)| ≤ ky₀ke^−α(t)+ Z t

0

e^−α(t,u)|b(u)||y(u−r)|du +

Z s 0

e^−α(t,u) Nfy²(u) +Ngy²(u−r) +νc0 du +σ

Z t 0

e^−α(t,u)dW(u)

for alls∈[0, T0/ν∧τ_D(x)],

where τ_D(x) := inf{t ≥ 0 : (x(t), νt) ∈/ D} denote the rst time that x leaves D, and c₀ is still the same we dened in (5.2.14). In order to emphasize the martingale part of the stochastic-integral term, let us introduce the notation

M(t) :=

Z t 0

e^α(u)dW(u) for allt∈[0, T₀/ν].

We dene the family of auxiliary events

Et:=

(

ω∈Ω : sup

s∈[0,t]

σe^−α(s)M(s) pζ(s)

+ 1

pζ(s)ky0ke^−α(s) (5.2.36) +

Rs

0 e^−α(s,u)

νc₀+|b(u)|hp

ζ(u) +N h²ζ(u) du

pζ(s) > h

)

for allt∈[0, T0/ν].

(5.2.37) And for given t ∈ [0, T0/ν], we denote the event that the deviationy has left the tube of

radiushat least once over[0, t]by

At:=

( sup

s∈[0,t]

|y(s)|

pζ(s) > h )

for allt∈[0, T0/ν] andτh= inf (

t≥0 : |y(t)|

pζ(t) > h )

, (5.2.38) where both denitions are reasonably dened after the following technical assumption con-cerning a suitable size of the domain:

Assumption 5.21. We lethbe small enough that n

(z, νt) :t∈[0, T0/ν]and|z−x^adν(t)| ≤hp ζ(t)o

⊆D, which informally ensures that we always see y leaving thehp

ζ(·)-tube beforexleaves D.

Lemma 5.22. Under the Assumption 5.21 we nd the following properties of the involved families of sets dened in (5.2.37) and (5.2.38).

a) We have thatA_t⊆E_t for allt≥0, or in other wordsω /∈E_t⇒ω /∈A_t.

b) For an arbitrary integer n∈N, we let0 =t₀ < t₁< . . . < t_n =T₀/ν be a partition of the time interval[0, T0/ν]. Then

P ET₀/ν

=

n−1

X

i=0

P Eti+1∩E_t^c_i .

Proof. a) Pathwise interpretation of the stochastic-integral term is justied through the integrand's nite variation and serves with estimate (5.2.24)

h=

y(τ_h) pζ(τh)

≤ 1 pζ(τh)

e^−α(τh)ky0k +

Z τ_h 0

e^−α(τh,u)

νc0+|b(u)||y(u−r)|+Nfy²(u) +Ngy²(u−r) du +σe^α(τh)

M(τh)

≤ 1 pζ(τh)

e^−α(τh)ky0k +

Z τ_h 0

e^−α(τh,u)

νc0+|b(u)|hp

ζ(u) +Nfh²ζ(u) +Ngh²ζ(u) du +σe^−α(τh)

M(τh)

for allω∈ {τh< T0/ν}.

That directly yields the rst claim.

b) As the family (Et_i)i∈{0,1,...,n} is obviously increasing, the events Et_i+1 ∩E_t^c_i, i ∈ {0,1, . . . , n−1}, are pairwise disjoint and together constituteE_T0/ν. That shows the second part.

Then, for arbitraryi∈I:={0, . . . , N−1}, we nd that P

n

E_t^c_i∩Et_i+1

o

≤P (

sup

s∈[ti,ti+1]

σe^−α(s)|M(s)|+ky₀ke^−α(s)+Rs 0e^−α(s,u)

νc₀+|b(u)|h√

ζ(u) +N h²ζ(u)

du

√

ζ(s) > h

) . (5.2.39) We use the following short-hand notations

F(s) :=νc₀ Z s

0

e^−α(s,u)du+e^−α(s)ky0k, G(s) :=

Z s 0

e^−α(s,u)|b(u)|p

ζ(u)du, H(s) :=N

Z s 0

e^−α(s,u)ζ(u)du, V(s) :=

Z s 0

e^−2α(s,u)du for alls∈[0, T₀/ν].

It is easy to see that

(i) The mapping F: [0, T₀/ν]→R is the unique solution of the ODE







F˙(t) =−a(t) +νc₀ fort∈[0, T₀/ν), F(0) =ky0k.

(ii) The mappingG: [0, T₀/ν]→R is the unique solution of







G(t) =˙ −a(t)G(t) +|b(t)|p

ζ(t) fort∈[0, T0/ν), G(0) = 0.

(iii) The mappingH: [0, T0/ν]→R is the unique solution of







H(t) =˙ −a(t)H(t) +N ζ(t) fort∈[0, T0/ν), H(0) = 0.

(iv) The mapping V : [0, T0/ν]→R is the unique solution of







V˙(t) =−2a(t) + 1 fort∈[0, T₀/ν), V(0) = 0.

Lemma 5.23. With the notations from above, we have that

a)

F(s)follows νc0

2a(s) and F(s)≤ ky0k ∨ νc0

2a₋ for alls∈[0, T0/ν].

b) There isν1>0 such that there is a constantδ1>0 independent ofν that fullls all three

below estimates for allν ≤ν1: G(s)follows |b(s)|

a(s)

pζ(s) and G(s)≤ |b(s)|

a(s)

pζ(s) +δ₁ν for alls∈[0, T₀/ν], (5.2.40) H(s)follows Nζ(s)

a(s) and H(s)≤Nζ(s)

a(s)+δ₁ν for alls∈[0, T₀/ν], (5.2.41) V(s)follows 1

2a(s) and V(s)≤ 1 +δ1ν

2a(s) for alls∈[0, T0/ν]. (5.2.42) Proof. This is due to Fenichel's theory, which ensures the existence of ν-adiabatic solutions that follow the respective slow manifolds in a distance of order O(ν). The assertions of the lemma follow from the fact that solution paths can not intersect in case of ordinary dierential equations. In (5.2.42) we have additionally used thata(·)≤a+over[0, T0/ν]. Without loss of generality, from now on, we assume thatν₀=ν₁ and δ₀=δ₁, whereν₀, δ₀ are dened in (5.2.32).

Lemma 5.24. Let t∆ = sup_i∈I|ti+1−ti| denote the maximum step width of the partition 0 =t₀< . . . < t_n=T₀/ν. Let further

µ₁:=

(d_f+d_g)δ+N δ²ν sup

(z,u)∈D

|f_xx(z, u)|+ sup

(z,u)∈D

|f_xt(z, u)|, µ2:=µ1+

(df+dg)δ+N δ²ν sup

(z,u)∈D

|gxx(z, u)|+ sup

(z,u)∈D

|gxt(z, u)|.

Then

inf

i∈{0,...,n−1} inf

s∈[ti,t_i+1)

a(ti+1)

a(s) ≥1−νµ1

a₋ t∆, (5.2.43)

i∈{0,...,n−1}inf inf

s∈[t_i,t_i+1)

a(s)− |b(s)|

a(ti)− |b(ti)| ≥1− νµ2

a₋(1−γ)t∆, (5.2.44) inf

i∈{1,...,n}exp −2α(ti, ti+1)

≥1−2a+t∆. (5.2.45) Proof. Theν-adiabatic solutionx^adν is a solution of the replacement system and therefore, for each t∈(0, T0/ν)we nd that

d

dtx^adν(t) =f(x^adν(t), νt) +g(x^adν(t), νt)

=f(x^?(t) +x^adν(t)−x^?(t), νt) +g(x^?(t) +x^adν(t)−x^?(t), νt)

=fx(x^?(t), νt)(x^adν(t)−x^?(t)) +gx(x^?(t), νt)(x^adν(t)−x^?(t)) +Rf(x^adν(t)−x^?(t), νt) +Rg(x^adν(t)−x^?(t), νt).

Due to assumption (5.2.2), we obtain that

d dtx^adν(t)

≤d_fδν+d_gδν+N δ²ν² for allt∈(0, T₀/ν). (5.2.46) For the dierential of a(·)we observe that for all u∈(0, T0/ν),

d

dua(u) = d

dufx(x^adν(u), νu) =fxx(x^adν(u), νu)dx^adν(u)

du +νfxt(x^adν(u), νu). (5.2.47)

Altogether, we have that a(t_i+1)

a(s) ≥1− 1 a₋

Z t_i+1 s

d

dua(u)du≥1−νµ₁

a₋ t∆ for alls∈[ti, ti+1], i∈I.

The second inequality can be seen as follows. First, observe that a(t_i)− |b(t_i)|=a(t_i)

1−|b(t_i)|

a(ti)

≥a₋(1−γ) for alli∈I.

And, as(−1)(|b(ti)| − |b(s)|)≤ |b(ti)−b(s)|, we have that a(s)− |b(s)|

a(t_i)− |b(ti)| = 1−a(ti)− |b(ti)| −a(s) +|b(s)|

a(t_i)− |b(ti)|

≥1−a(t_i)−a(s) +|b(t_i)−b(s)|

a−(1−γ) for alls∈[t_i, t_i+1], i∈I. (5.2.48) Then, for alls∈[ti, ti+1], i∈I we have that

b(t_i)−b(s) = Z ti

s

db(u) du du

= Z t_i

s

gxx(x^adν(u), νu)dx^adν(u) du du+

Z t_i s

gxt(x^adν(u), νu)νdu.

Then, an application of (5.2.46) provides for alls∈[ti, ti+1], i∈I that

|b(ti)−b(s)| ≤t∆ν sup

(z,u)∈D|gxx(z, u)| (df+dg)δ+N δ²ν

+ sup

(z,u)∈D|gxt(z, u)|

! . (5.2.49) And analogously with the help of (5.2.47), we nd for alls∈[ti, ti+1], i∈I that

a(ti)−a(s) = Z t_i

s

da(u) du du

= Z t_i

s

fxx(x^adν(u), νu)dx^adν(u) du du+

Z t_i s

fxt(x^adν(u), νu)νdu.

And therefore, using (5.2.46) we nd that

|a(t_i)−a(s)| ≤t_∆ν sup

(z,u)∈D

|f_xx(z, u)| (d_f+d_g)δ+N δ²ν

+ sup

(z,u)∈D

|f_xt(z, u)|

!

for alls∈[ti, ti+1], i∈I.

(5.2.50) From estimates (5.2.49) and (5.2.50) we reveive for alls∈[ti, ti+1], i∈I that

a(ti)−a(s) +|b(ti)−b(s)|

≤t∆ν sup

(z,u)∈D|fxx(z, u)| (df+dg)δ+N δ²ν

+ sup

(z,u)∈D|fxt(z, u)|

!

+t_∆ν sup

(z,u)∈D|gxx(z, u)| (d_f+d_g)δ+N δ²ν

+ sup

(z,u)∈D|gxt(z, u)|

! ,

which is the claim when plugged into (5.2.48).

For the third inequality, we use that e^−z≥1−zfor arbitraryz∈R and that

α(ti+1, ti) = Z t_i+1

t_i

a(u)du≤a+t∆ for alli∈I.

Theorem 5.25. Lett_∆ be given as in Lemma 5.24 and assume thatν is small enough such that the estimate onv^adin (5.2.32) and the inequalities of part b) of Lemma 5.23 hold true.

Then, for h >0, we have that

P (

sup

s∈[0,T0/ν]

|y(s)|

pζ(s) > h )

≤ T₀ νt∆

exp

−(1−γ) h² 2σ²

1 +R(ν,ky0k, h, t∆)

,

where R(ν,ky0k, h, t∆) =O_ky

0k∨ν

h +N h+t_∆ . Proof. Rearranging terms in (5.2.39) yields

P n

E_ti∩E_ti+1o

≤P (

sup

s∈[ti,ti+1)

σ|M(s)|> h− sup

s∈[ti,ti+1)

1 pζ(s)

F(s) +G(s)h+H(s)h² !

· inf

u∈[ti,t_i+1)e^α(u)p ζ(u)

) . So, we can apply the concentration result for stochastic integrals with deterministic inte-grands from [BG06, Lemma B.1.3 (Bernstein-type inequality)]. That leads to

P

Et_i∩E_t^c_i+1

≤exp















−

h− sup

s∈[ti,ti+1)

√1 ζ_s

F(s) +G(s)h+H(s)h²

!

u∈[tinf_i,t_i+1)e^α(u)p ζ(u)

!²

2σ² Z ti+1

0

e^2α(u)du















≤exp















−

h− sup

s∈[ti,t_i+1)

1 pζ(s)

F(s) +G(s)h+H(s)h²

! inf

u∈[ti,t_i+1)

pζ(u)

!²

2σ² Z t_i+1

0

e^{−2α(ti+1,u)}du sup

u∈[t_i,t_i+1]

e^2α(ti+1,u)















≤exp















−

h− sup

s∈[ti,t_i+1)

1 pζ(s)

F(s) +G(s)h+H(s)h²

! pζ(ti)

!2

2σ² Z t_i+1

0

e^{−2α(ti+1,u)}du e^2α(ti+1,ti)















= exp



− 1

2σ²V(ti+1) h− sup

s∈[ti,t_i+1]

ζ(s)⁻¹² F(s) +G(s)h+H(s)h²

!² ζ(ti) e^2α(ti+1,ti)



.

We introduce the auxiliary notation

q_i:= 1

2σ²V(t_i+1) h− sup

s∈[ti,ti+1]

ζ(s)⁻¹² F(s) +G(s)h+H(s)h²

!2

ζ(ti) e^2α(ti+1,ti) for alli∈I.

And rst, for all i∈I, we obtain for the terms that are not contained in the outer squared parantheses

q_i⁽¹⁾:= 1 2σ²V(ti+1)

ζ(t_i)

e^2α(ti+1,ti) ≥ 1 2σ²

a(t_i+1) a(ti)− |b(ti)|

1−δ₁ν

1 +δ1ν(1−2a₊t_∆)

= 1 2σ²

a(ti+1) a(ti)− |b(ti)|

1 +O(ν+t∆)

, (5.2.51) where we use rst that ζ(t_i)≥ _2(a(t ¹

i)−|b(ti)|)(1−δ₁ν) from (5.2.32), (5.2.34), second that V(s)≤ ^1+δ_2a(s)^1ν from (5.2.42), and third the estimate (5.2.45). And for the terms that appear inside the squared parantheses of q_i applying the estimates of Lemma 5.23, we achieve for alli∈I that

q⁽²⁾_i := h− sup

s∈[t_i,t_i+1]

F(s) +G(s)h+H(s)h² pζ(s)

!²

(5.2.52)

≥ h− sup

s∈[ti,ti+1)

(|b(s)|

a(s)h+ 1 pζ(s)

ky0k ∨ νc₀ 2a₋

+N

pζ(s)

a(s) h²+νδ1

h+h² pζ(s)

)!²

=h² 1− sup

s∈[ti,ti+1)

(|b(s)|

a(s) +1 h

1 pζ(s)

ky0k ∨ νc₀ 2a−

+N

pζ(s)

a(s) h²+νδ₁h+h² pζ(s)

!)!²

=h² inf

s∈[ti,t_i+1)

1−|b(s)|

a(s) 2







 1−

√1 ζ(s)

ky₀k ∨_2a^νc0

−

+N

√

ζ(s)

a(s) h²+νδ₁√^h+h2

ζ(s)

h

1−^|b(s)|_a(s)









2

.

Using that 1−sup_s∈[t

i,t_i+1)|b(s)|/a(s)≥1−γon the one hand, and that 1− sup

s∈[ti,t_i+1)

|b(s)|

a(s) = inf

s∈[ti,ti+1)

a(s)− |b(s)|

a(s) on the other hand, yields

1− sup

s∈[ti,ti+1)

|b(s)|

a(s)

!²

≥(1−γ) inf

s∈[ti,ti+1)

a(s)− |b(s)|

a(s) for alli∈I.

And also we apply1−sup_{s∈[ti,ti+1)}|b(s)|/a(s)≥1−γin the denominator in the parantheses on the right-hand side to nd that

q_i⁽²⁾≥h²(1−γ) inf

s∈[ti,ti+1)

a(s)− |b(s)|

a(s) 1−

ky0k∨_2a−^νc0

√

ζ(s) +N

√

ζ(s)

a(s) h²+νδ1√h+h² ζ(s)

h(1−γ)

!2

for alli∈I.

Recombining q_i⁽¹⁾ andq⁽²⁾_i allows for everyi∈Ito write

q_i≥h²(1−γ) 2σ² inf

s∈[ti,ti+1)

a(ti+1) a(s)

a(s)− |b(s)|

a(t_i)− |b(ti)|

1 +O(ν+t_∆)

· 1−

ky0k∨_2a^νc0

√ −

ζ(s) +N

√

ζ(s)

a(s) h²+νδ₁√^h+h2

ζ(s)

h(1−γ)

!2

.

Then, the auxiliaries from Lemma 5.24 are applicable and both additional factors, that can be derived from the inmum, each of them1 +O(νt∆), get absorbed in the Laudau symbol.

The former inmum may then be taken to act on the minuend in the parantheses, on which it becomes a supremum. We obtain that

qi≥h²(1−γ) 2σ²

1 +O(ν+t∆)

1− sup

s∈[t_i,t_i+1)

ky0k∨_2a^νc0

√ −

ζ(s) +N

√

ζ(s)

a(s) h²+νδ₁√^h+h2

ζ(s)

h(1−γ)

!²

for alli∈I.

Then, due to Lemma 5.2.6, ζ(·) and ζ⁻¹ are bounded above by something of order 1. Therefore, we have that

q_i ≥h²(1−γ) 2σ²

1 +O(ν+t_∆) 1 +O

ky₀k ∨ν

h +N h+ν h

²

=h²(1−γ) 2σ²

1 +O

ky0k ∨ν

h +N h+t∆+ν

for alli∈I.

Applying Lemma 5.24 yields

P Et_i∩E_t^c_i+1,

≤exp

−(1−γ)h² 2σ²

1 +O

ky0k ∨ν

h +N h+t∆

for alli∈ {1, . . . , n}.

And so, consequently, we have shown that

P E_T0/ν

≤ T0

νt_∆exp

−(1−γ) h² 2σ²

1 +O

ky0k ∨ν

h +N h+t∆

.

So far, the result features several degrees of freedom. And of course, there is no ultimately convenient way to deminish generality in order to enhance clearity. The below remark suggest a relatively concrete instance of relations between parameters.

Remark 5.26. a) Remember that assumption (5.2.35) demands max

σ,ky₀k, ν < h <1. Further, the usefulness of the result of the theorem depends on small terms in the Landau symbol. One way to achieve that is the following: For arbitrary α, β ∈ (0,1), we let ν =t∆=σ^α implying that ky0k =O(σ^α). Further, we let h= ˜hσ^αβ, where ˜hdenotes some neither small nor big constant. Then, the result of Theorem 5.25 reads

P(E_T0/ν)≤exp −(1−γ)

˜h² 2σ^2(1−αβ)

1 +O

σ^α(1−β)+N σ^αβ

+ 2α|logσ|+ logT₀

! .

b) Reaching for the smallest possible hfor which Theorem 5.25 provides useful results, we observe the most unpleasant term ^ky0_h^k∨ν allows for a careful choice ofhof orderν such that the term R(ν,ky0k, h, t∆) = O ^ky0_h^k∨ν +N h+t∆

remains strictly smaller than 1/2 for instance. Then, σ of order _|log^ν_ν| is sucient to have the overall early-escape probability small.

Im Dokument Concentration Inequalities for Nonautonomous Stochastic Delay Differential Equations (Seite 105-115)