On the distribution of explosion time of stochastic differential equations

MaRDI QIDQ740943zbMATHFDO

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

Publication date 9 September 2014

Published in Boletín de la Sociedad Matemática Mexicana. Third Series (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1305.2870

zbMATH Keywords

comparison theoremsstochastic differential equationsexplosion timeOsgood criterioniterated logarithm theorem for martingalesItō's formula

Mathematics Subject Classification ID

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

Abstract: In this paper we use the It^o's formula and comparison theorems to study the blow-up in finite time of stochastic differential equations driven by a Brownian motion. In particular, we obtain an extension of Osgood criterion, which can be applied to some nonautonomous stochastic differential equations with additive Wiener integral noise. In most cases we are able to provide with a method to figure out the distribution of the explosion time of the involved equation.

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Cited in

(11)

• Continuity of the Explosion Time in Stochastic Differential Equations
• Explosion time in stochastic differential equations with small diffusion
• A generalization of Osgood's test and a comparison criterion for integral equations with noise
• scientific article; zbMATH DE number 3994830 (Why is no real title available?)
• Probabilistic Investigations on the Explosion of Solutions of the KAC Equation with Infinite Energy Initial Distribution
• Distribution function of the blow up time of the solution of an anticipating random fatigue equation
• Some Feller and Osgood type criteria for semilinear stochastic differential equations
• Explosion and asymptotic behavior of nonlinear Itô type stochastic integrodifferential equations
• Viscosity characterization of the explosion time distribution for diffusions
• A deterministic model for the distribution of the stopping time in a stochastic equation and its numerical solution
• Distribution of the time to explosion for one-dimensional diffusions

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