On the Distribution of Explosion Time of Stochastic Differential Equations
Probability
2013-05-14 v1
Abstract
In this paper we use the It\^o's formula and comparison theorems to study the blow-up in finite time of stochastic differential equations driven by a Brownian motion. In particular, we obtain an extension of Osgood criterion, which can be applied to some nonautonomous stochastic differential equations with additive Wiener integral noise. In most cases we are able to provide with a method to figure out the distribution of the explosion time of the involved equation.
Keywords
Cite
@article{arxiv.1305.2870,
title = {On the Distribution of Explosion Time of Stochastic Differential Equations},
author = {Jorge A. León and Liliana Peralta Hernández and José Villa-Morales},
journal= {arXiv preprint arXiv:1305.2870},
year = {2013}
}
Comments
17 pages