Explosion time in stochastic differential equations with small diffusion

Date

2007-10-19

Authors

Groisman, Pablo
Rossi, Julio D.

Journal Title

Journal ISSN

Volume Title

Publisher

Texas State University-San Marcos, Department of Mathematics

Abstract

We consider solutions of a one dimensional stochastic differential equations that explode in finite time. We prove that, under suitable hypotheses, the explosion time converges almost surely to the one of the ODE governed by the drift term when the diffusion coefficient approaches zero.

Description

Keywords

Explosion, Stochastic differential equations

Citation

Groisman, P., & Rossi, J. D. (2007). Explosion time in stochastic differential equations with small diffusion. <i>Electronic Journal of Differential Equations, 2007</i>(140), pp. 1-9.

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Attribution 4.0 International

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