Distribution of the time to explosion for one-dimensional diffusions (Q267030)
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| Language | Label | Description | Also known as |
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| English | Distribution of the time to explosion for one-dimensional diffusions |
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Distribution of the time to explosion for one-dimensional diffusions (English)
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7 April 2016
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The object of this paper is the distribution of the time to explosion for one-dimensional diffusions. The authors connect the distribution function of the time to explosion with a weak solution for an appropriate parabolic stochastic differential equation. This gives an alternative characterisation of Feller's criterion for explosion.
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one-dimensional diffusions
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Girsanov theorem
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local martingale
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stochastic differential equations
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pathwise solutions
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Bessel processes
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