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...

Descripción completa

Guardado en:
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
Aporte de:
Biblioteca Digital - Facultad de Ciencias Exactas y Naturales (UBA) de Universidad de Buenos Aires

Ejemplares similares

Ejemplares similares