Pablo Groisman, Julio D. Rossi
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.
Submitted June 21, 2007. Published October 19, 2007.
Math Subject Classifications: 60H10, 60G17, 34F05
Key Words: Explosion; stochastic differential equations.
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Pablo Groisman Instituto de Cálculo, FCEyN Universidad de Buenos Aires, Pabellón II Ciudad Universitaria (1428), Buenos Aires, Argentina email: pgroisma@dm.uba.ar http://mate.dm.uba.ar/~pgroisma |
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Julio D. Rossi Instituto de Matemáticas y Física Fundamental Consejo Superior de Investigaciones Científicas Serrano 123, Madrid, Spain email: jrossi@dm.uba.ar http://mate.dm.uba.ar/~jrossi |
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