Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
10527249 | Stochastic Processes and their Applications | 2014 | 7 Pages |
Abstract
This paper is concerned with the problem of explosive solutions for a class of stochastic differential equations. Our main results are presented as two theorems. Theorem 1 is concerned with the existence of explosive solutions with positive probability under certain sufficient conditions. With some additional mild conditions, it is shown in Theorem 2 that the explosion will occur almost surely. The methods of auxiliary functions and cycles are used in the proofs. Several remarks about their applications are given.
Keywords
Related Topics
Physical Sciences and Engineering
Mathematics
Mathematics (General)
Authors
Pao-Liu Chow, Rafail Khasminskii,