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. Electronic Journal of Differential Equations, 2007(140), pp. 1-9.
Rights
Attribution 4.0 International