Viscosity characterization of the explosion time distribution for diffusions (Q502886)

It is shown that ``the tail distribution \(U\) of the explosion time for a multi-dimensional diffusion (and more generally, a suitable function \(\mathcal{U}\) of Feynman-Kac type involving the explosion time) is a viscosity solution of an associated second-order parabolic PDE, provided that the dispersion and drift coefficients [\dots] are continuous.'' This generalizes a result of \textit{I. Karatzas} and \textit{J. Ruf} [Probab. Theory Relat. Fields 164, No. 3--4, 1027--1069 (2016; Zbl 1350.60077)] in the one-dimensional case. It is shown that under appropriate conditions any viscosity solution of the PDE is also a distributional solution. Considering distributional (sub/super) solutions, it is shown that \(\mathcal{U}\) is not greater than any non-negative distributional solution.