An example of explosion of a stochastic differential equation with random initial condition

MaRDI QIDQ4641979zbMATH OpenFDO

Authors Liliana Peralta, Jorge A. Leon, José Villa Morales

Publication date 18 May 2018

zbMATH Keywords

Brownian motionstochastic differential equationsblow up timeforward integralsItô integralssubstitution formula for forward integral

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Blow-up in context of PDEs (35B44) PDEs with randomness, stochastic partial differential equations (35R60)

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(4)

• Explosion and asymptotic behavior of nonlinear Itô type stochastic integrodifferential equations
• Distribution function of the blow up time of the solution of an anticipating random fatigue equation
• Temps d'explosion d'équations différentielles stochastiques du type Doléans-Dade. (Explosion times for solutions of Doléans-Dade stochastic differential equations)
• An example of blowup produced by equal diffusions

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