On the distribution of explosion time of stochastic differential equations (Q740943)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | On the distribution of explosion time of stochastic differential equations |
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On the distribution of explosion time of stochastic differential equations (English)
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9 September 2014
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In this paper, the authors study the distribution of the explosion time of nonlinear stochastic differential equations by using Itō's formula and comparison theorems. An extension of the Osgood criterion in the nonautonomous case is also obtained.
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stochastic differential equations
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explosion time
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iterated logarithm theorem for martingales
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Itō's formula
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comparison theorems
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Osgood criterion
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