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

zbMATH Open1390.60212MaRDI QIDQ4641979FDOQ4641979

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

Publication date: 18 May 2018

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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)

Cited In (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
• An example of blowup produced by equal diffusions
• Temps d'explosion d'équations différentielles stochastiques du type Doléans-Dade. (Explosion times for solutions of Doléans-Dade stochastic differential equations)

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