Distribution of the time to explosion for one-dimensional diffusions (Q267030)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Distribution of the time to explosion for one-dimensional diffusions |
scientific article |
Statements
Distribution of the time to explosion for one-dimensional diffusions (English)
0 references
7 April 2016
0 references
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.
0 references
one-dimensional diffusions
0 references
Girsanov theorem
0 references
local martingale
0 references
stochastic differential equations
0 references
pathwise solutions
0 references
Bessel processes
0 references
