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Exact variational cost for small-noise exit time in a two-slope autoregressive model
Abdurahmon F. Aliev ORCID icon link to view author Abdurahmon F. Aliev details   Akhtam A. Dzhalilov ORCID icon link to view author Akhtam A. Dzhalilov details  

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https://doi.org/10.15559/26-VMSTA314
Pub. online: 4 November 2026      Type: Research Article      Open accessOpen Access

Received
1 August 2026
Accepted
26 October 2026
Published
4 November 2026

Abstract

We determine the quadratic variational cost that yields the large-deviation upper bound for the mean exit time from $(-1,1)$ in the small-noise regime for an autoregressive process driven by a continuous two-slope map f lying strictly below the diagonal on $(0,1)$. The Klebaner–Liptser reduction expresses this constant as an infimum, over all finite horizons, of quadratic path actions. Högnäs and Jung studied several nonlinear and piecewise-linear autoregressive maps and evaluated the corresponding variational problem for the two-slope family in the boundary cases in which one of the slopes vanishes; the case in which both slopes p and q are nonzero was left open. We solve this remaining case over the full admissible parameter range, including the finite-horizon attainment question, and give an exact parameter classification of the cost. We also settle the remaining boundary regimes $q=1$ and $p=0,\hspace{2.5pt}q\gt 1$, as well as the limiting case $f(1)=1$. Together with the earlier boundary formulas, this completes the exact variational analysis of continuous two-slope maps satisfying $f(x)\lt x$ for $0\lt x\lt 1$.

References

Declaration of AI use

The authors used OpenAI’s Codex for text editing and polishing throughout the manuscript. For Proposition 2.7 and Lemmas 6.1–6.5, the proof strategies were supplied by the authors, while Codex assisted with algebraic calculations and simplifications and with writing the corresponding arguments. The authors reviewed and corrected the AI-assisted material and take full responsibility for the paper.
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Keywords
Exit time nonlinear autoregressive process large deviation principle discrete quasipotential piecewise-linear map breakpoint-constrained variational problem

MSC2020
60F10 60J05 39A50 49J21

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