Explosion time in stochastic differential equations with small diffusion

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. © 2007 Texas...

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Detalles Bibliográficos
Autores principales: Groisman, P., Rossi, J.D.
Formato: JOUR
Materias:
Explosion
Stochastic differential equations
Acceso en línea:http://hdl.handle.net/20.500.12110/paper_10726691_v2007_n_p1_Groisman
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Biblioteca Digital - Facultad de Ciencias Exactas y Naturales (UBA) de Universidad de Buenos Aires
id todo:paper_10726691_v2007_n_p1_Groisman
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spelling todo:paper_10726691_v2007_n_p1_Groisman2023-10-03T16:02:48Z Explosion time in stochastic differential equations with small diffusion Groisman, P. Rossi, J.D. Explosion Stochastic differential equations 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. © 2007 Texas State University. Fil:Groisman, P. Universidad de Buenos Aires. Facultad de Ciencias Exactas y Naturales; Argentina. Fil:Rossi, J.D. Universidad de Buenos Aires. Facultad de Ciencias Exactas y Naturales; Argentina. JOUR info:eu-repo/semantics/openAccess http://creativecommons.org/licenses/by/2.5/ar http://hdl.handle.net/20.500.12110/paper_10726691_v2007_n_p1_Groisman
institution Universidad de Buenos Aires
institution_str I-28
repository_str R-134
collection Biblioteca Digital - Facultad de Ciencias Exactas y Naturales (UBA)
topic Explosion
Stochastic differential equations
spellingShingle Explosion
Stochastic differential equations
Groisman, P.
Rossi, J.D.
Explosion time in stochastic differential equations with small diffusion
topic_facet Explosion
Stochastic differential equations
description 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. © 2007 Texas State University.
format JOUR
author Groisman, P.
Rossi, J.D.
author_facet Groisman, P.
Rossi, J.D.
author_sort Groisman, P.
title Explosion time in stochastic differential equations with small diffusion
title_short Explosion time in stochastic differential equations with small diffusion
title_full Explosion time in stochastic differential equations with small diffusion
title_fullStr Explosion time in stochastic differential equations with small diffusion
title_full_unstemmed Explosion time in stochastic differential equations with small diffusion
title_sort explosion time in stochastic differential equations with small diffusion
url http://hdl.handle.net/20.500.12110/paper_10726691_v2007_n_p1_Groisman
work_keys_str_mv AT groismanp explosiontimeinstochasticdifferentialequationswithsmalldiffusion
AT rossijd explosiontimeinstochasticdifferentialequationswithsmalldiffusion
_version_ 1807320921573163008

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