Continuity of the Explosion Time in Stochastic Differential Equations

DOI10.1080/07362990903136504MaRDI QIDQ3182404zbMATH OpenOpenAlexFDO

Authors Julián Fernández Bonder, Pablo Groisman, J. D. Rossi

Publication date 8 October 2009

Published in Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/07362990903136504

zbMATH Keywords

explosionstochastic differential equations

Mathematics Subject Classification ID

Ordinary differential equations and systems with randomness (34F05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Recommendations

• Explosion time in stochastic differential equations with small diffusion
• On the distribution of explosion time of stochastic differential equations
• Numerical Analysis of Stochastic Differential Equations with Explosions
• scientific article; zbMATH DE number 3930053
• Temps d'explosion d'équations différentielles stochastiques du type Doléans-Dade. (Explosion times for solutions of Doléans-Dade stochastic differential equations)

Cites work

• Complete blow-up after \(T_{\max}\) for the solution of a semilinear heat equation
• scientific article; zbMATH DE number 51724 (Why is no real title available?)
• scientific article; zbMATH DE number 54145 (Why is no real title available?)
• scientific article; zbMATH DE number 3304501 (Why is no real title available?)
• scientific article; zbMATH DE number 3109695 (Why is no real title available?)
• On the Dependence of the Blow-Up Time with Respect to the Initial Data in a Semilinear Parabolic Problem
• On the gap between deterministic and stochastic ordinary differential equations
• Solution of a nonlinear heat equation with arbitrarily given blow-up points
• The problem of blow-up in nonlinear parabolic equations

Cited in

(9)

• Temps d'explosion d'équations différentielles stochastiques du type Doléans-Dade. (Explosion times for solutions of Doléans-Dade stochastic differential equations)
• Uniqueness and explosion time of solutions of stochastic differential equations driven by fractional Brownian motion
• Blow-up of a stable stochastic differential equation
• Time development of explosion of stochastic process with repulsive drift of polynomial growth
• Viscosity characterization of the explosion time distribution for diffusions
• Numerical Analysis of Stochastic Differential Equations with Explosions
• Explosion time in stochastic differential equations with small diffusion
• Small random perturbations of a dynamical system with blow-up
• On the distribution of explosion time of stochastic differential equations

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