An integral inequality and its application to a problem of stabilization by noise (Q1900648)

Does there exist a locally Lipschitz continuous \(b : \mathbb{R} \to (0, \infty)\) such that all solutions of \(\dot y = b(y)\) explode, but such that the stochastic differential equation \(dy = b(y) dt + \sqrt \sigma dW\) is non-explosive? In the present paper the integral inequality \[ \int^\infty_{- \infty} \int^\infty_0 g \left( \int^{x + s}_x b(v)dv \right) ds dx \leq \int^\infty_{-\infty} {1 \over b(v)} dv \int^\infty_0 g(s) ds \] for \(b,g\) nonnegative and \(g (\infty) = 0\) is proved. This is then used, invoking Feller's test for explosion of one-dimensional stochastic differential equation, to obtain a negative answer to the above question. Several extensions and variations are discussed.