Distribution of the time to explosion for one-dimensional diffusions

DOI10.1007/s00440-015-0625-9zbMath1350.60077arXiv1303.5899OpenAlexW2056974231MaRDI QIDQ267030

Ioannis Karatzas, Johannes Ruf

Publication date: 7 April 2016

Published in: Probability Theory and Related Fields (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1303.5899

zbMATH Keywords

stochastic differential equationsBessel processesone-dimensional diffusionsGirsanov theoremlocal martingalepathwise solutions

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Diffusion processes (60J60) Ordinary differential equations and systems with randomness (34F05) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) PDEs with randomness, stochastic partial differential equations (35R60)

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