Artículo
Groisman, P.; Rossi, J.D. "Explosion time in stochastic differential equations with small diffusion" (2007) Electronic Journal of Differential Equations. 2007:1-9
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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. © 2007 Texas State University.
Registro:
| Documento: | Artículo |
| Título: | Explosion time in stochastic differential equations with small diffusion |
| Autor: | Groisman, P.; Rossi, J.D. |
| Filiación: | Instituto de Cálculo, FCEyN, Ciudad Universitaria, (1428), Buenos Aires, Argentina Instituto de Matemáticas y Física Fundamental, Consejo Superior de Investigaciones Científicas, Serrano 123, Madrid, Spain Departamento de Matemática, FCEyN UBA, (1428), Buenos Aires, Argentina |
| Palabras clave: | Explosion; Stochastic differential equations |
| Año: | 2007 |
| Volumen: | 2007 |
| Página de inicio: | 1 |
| Página de fin: | 9 |
| Título revista: | Electronic Journal of Differential Equations |
| Título revista abreviado: | Electron. J. Differ. Equ. |
| ISSN: | 10726691 |
| Registro: | https://bibliotecadigital.exactas.uba.ar/collection/paper/document/paper_10726691_v2007_n_p1_Groisman |
Referencias:
- Dávila, J., Fernández Bonder, J., Rossi, J.D., Groisman, P., Sued, M., Numerical analysis of stochastic differential equations with explosions (2005) Stock. Anal. Appl, 23 (4), pp. 809-825
- Doss, H., Liens entre équations différentielles stochastiques et ordinaries. (1977) Ann. Inst. Henri Poincaré, 13 (2), pp. 99-125
- Karatzas, I., Shreve, S.E., Brownian motion and stochastic calculus (1991) Graduate Texts in Mathematics, 113. , of, Springer-Verlag, New York, second edition
- McKean Jr., H.P., Stochastic integrals (1969) Probability and Mathematical Statistics, (5). , Academic Press, New York
- K. Sobczyk and B. F. Spencer, Jr. Random fatigue. Academic Press Inc., Boston, MA, 1992. From data to theory; Sussmann, H.J., On the gap between deterministic and stochastic ordinary differential equations (1978) Ann. Probability, 6 (1), pp. 19-41
Citas:
---------- APA ----------
Groisman, P. & Rossi, J.D. (2007) . Explosion time in stochastic differential equations with small diffusion. Electronic Journal of Differential Equations, 2007, 1-9.Recuperado de https://bibliotecadigital.exactas.uba.ar/collection/paper/document/paper_10726691_v2007_n_p1_Groisman [ ]
---------- CHICAGO ----------
Groisman, P., Rossi, J.D. "Explosion time in stochastic differential equations with small diffusion" . Electronic Journal of Differential Equations 2007 (2007) : 1-9.Recuperado de https://bibliotecadigital.exactas.uba.ar/collection/paper/document/paper_10726691_v2007_n_p1_Groisman [ ]
---------- MLA ----------
Groisman, P., Rossi, J.D. "Explosion time in stochastic differential equations with small diffusion" . Electronic Journal of Differential Equations, vol. 2007, 2007, pp. 1-9.Recuperado de https://bibliotecadigital.exactas.uba.ar/collection/paper/document/paper_10726691_v2007_n_p1_Groisman [ ]
---------- VANCOUVER ----------
Groisman, P., Rossi, J.D. Explosion time in stochastic differential equations with small diffusion. Electron. J. Differ. Equ. 2007;2007:1-9.Available from: https://bibliotecadigital.exactas.uba.ar/collection/paper/document/paper_10726691_v2007_n_p1_Groisman [ ]
