Almost sure explosion of solutions to stochastic differential equations

DOI10.1016/J.SPA.2013.09.006zbMATH Open1284.60132OpenAlexW1974975963MaRDI QIDQ2434496FDOQ2434496

Authors: Pao-Liu Chow, R. Z. Khas'minskiĭ 

Publication date: 6 February 2014

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spa.2013.09.006

Recommendations

• Nonlinear Lyapunov criteria for stochastic explosive solutions
• On sufficient conditions for nonexplosion of solutions to stochastic differential equations
• Existence of explosive solutions to some nonlinear parabolic Itô equations
• On non-explosion for the solution of a stochastic differential equation
• scientific article; zbMATH DE number 3930053

zbMATH Keywords

stochastic differential equationLyapunov functioncycleexplosive solutionsItō's formula

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic integral equations (60H20)

Cites Work

• Title not available (Why is that?)
• Title not available (Why is that?)
• Stability of regime-switching stochastic differential equations
• Diffusion Processes in One Dimension
• Title not available (Why is that?)
• Regularization and Stabilization of Randomly Switching Dynamic Systems
• Method of Lyapunov functions for analysis of absorption and explosion in Markov chains

Cited In (12)

• Dynamics analysis of a stochastic SIRVI epidemic model with weak immunity
• Non-explosion by Stratonovich noise for ODEs
• Probabilistic Investigations on the Explosion of Solutions of the KAC Equation with Infinite Energy Initial Distribution
• Blow-up for stochastic reaction-diffusion equations with jumps
• Title not available (Why is that?)
• Finite time blowup in \(L^2\) sense of solutions to SPDEs with Bernstein functions of the Laplacian
• Explosion in the quasi-Gaussian HJM model
• Nonlinear Lyapunov criteria for stochastic explosive solutions
• Numerical Analysis of Stochastic Differential Equations with Explosions
• On sufficient conditions for nonexplosion of solutions to stochastic differential equations
• Explosion and non-explosion for the continuous-time frog model
• Explosive solutions for stochastic differential equations driven by Lévy processes

This page was built for publication: Almost sure explosion of solutions to stochastic differential equations

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2434496)