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On the Distribution of Explosion Time of Stochastic Differential Equations

In this paper we use the Itô's formula and comparison theorems to study the blow-up in finite time of stochastic differential equations driven by a Brownian motion. In particular, we obtain an extension of Osgood criterion, which can be applied to some nonautonomous stochastic differential equations with additive Wiener integral noise. In most cases we are able to provide with a method to figure out the distribution of the explosion time of the involved equation.

preprint2013arXivOpen access
Jorge A. LeónLiliana Peralta HernándezJosé Villa-Morales
math.PR
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Jorge A. LeónLiliana Peralta HernándezJosé Villa-Morales

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