Viscosity characterization of the explosion time distribution for diffusions

DOI10.3150/15-BEJ752MaRDI QIDQ502886zbMATH OpenOpenAlexFDO

Authors Yinghui Wang

Publication date 11 January 2017

Published in Bernoulli (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1407.5102, https://projecteuclid.org/euclid.bj/1475001363

zbMATH Keywords

Feynman-Kac formulaviscosity solutiondiffusionsminimal solutionparabolic PDEdistributional solutionexplosion time

Mathematics Subject Classification ID

Diffusion processes (60J60) Viscosity solutions to PDEs (35D40) Second-order parabolic equations (35K10)

Abstract: We show that the tail distribution $U$ of the explosion time for a multidimensional diffusion (and more generally, a suitable function $mathscrU$ of the Feynman-Kac type involving the explosion time) is a viscosity solution of an associated parabolic partial differential equation (PDE), provided that the dispersion and drift coefficients of the diffusion are continuous. This generalizes a result of Karatzas and Ruf (2013), who characterize $U$ as a classical solution of a Cauchy problem for the PDE in the one-dimensional case, under the stronger condition of local H"older continuity on the coefficients. Furthermore, we show that $mathscrU$ is dominated by any nonnegative classical supersolution of this Cauchy problem, and that $mathscrU$ is the smallest lower-semicontinuous viscosity supersolution of that PDE with an appropriate boundary condition, provided it is a classical solution. We also consider another notion of weak solvability, that of the distributional (sub/super)solution, and show that $mathscrU$ is no greater than any nonnegative distributional supersolution of the relevant PDE. Finally, we establish the joint continuity of $mathscrU$ in the one-dimensional case.

Recommendations

• Distribution of the time to explosion for one-dimensional diffusions
• scientific article; zbMATH DE number 1087325
• Explosion time in stochastic differential equations with small diffusion
• Continuity of the Explosion Time in Stochastic Differential Equations
• On the distribution of explosion time of stochastic differential equations

Cited in

(2)

• On the equivalence of viscosity and distribution solutions of second-order PDEs with Neumann boundary conditions
• Distribution of the time to explosion for one-dimensional diffusions

This page was built for publication: Viscosity characterization of the explosion time distribution for diffusions

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q502886)