[PDF][PDF] Explosion time in stochastic differential equations with small diffusion.
P Groisman, JD Rossi - Electronic Journal of Differential Equations (EJDE …, 2007 - eudml.org
Electronic Journal of Differential Equations (EJDE)[electronic only], 2007•eudml.org
We consider solutions of a one dimensional stochastic differential equations that explode in
finite time. We prove that, under suitable hypotheses, the explosion t ime converges almost
surely to the one of the ODE governed by the drift term when the diffusion coefficient
approaches zero.
finite time. We prove that, under suitable hypotheses, the explosion t ime converges almost
surely to the one of the ODE governed by the drift term when the diffusion coefficient
approaches zero.
Abstract
We consider solutions of a one dimensional stochastic differential equations that explode in finite time. We prove that, under suitable hypotheses, the explosion t ime converges almost surely to the one of the ODE governed by the drift term when the diffusion coefficient approaches zero.
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