Distribution of the time to explosion for one-dimensional diffusions

(2016) Distribution of the time to explosion for one-dimensional diffusions Probability Theory and Related Fields, 164 (3-4). pp. 1027-1069. ISSN 0178-8051

Copy

We study the distribution of the time to explosion for one-dimensional diffusions. We relate this question to the computation of expectations of suitable nonnegative local martingales. Moreover, we characterize the distribution function of the time to explosion as the minimal solution to a certain Cauchy problem for an appropriate parabolic differential equation; this leads to alternative characterizations of Feller’s criterion for explosions. We discuss in detail several examples for which it is possible to obtain analytic expressions for the corresponding distribution of the time to explosion, using the methodologies developed in the paper

Item Type	Article
Copyright holders	© 2015 Springer
Keywords	Explosion, Girsanov theorem, local martingale, pathwise solutions of SDEs, minimal solutions of Cauchy problems for parabolic PDEs, Bessel processes
Departments	Mathematics
DOI	10.1007/s00440-015-0625-9
Date Deposited	11 Oct 2017 09:29
URI	https://researchonline.lse.ac.uk/id/eprint/84575

Explore Further

QA Mathematics

http://www.lse.ac.uk/Mathematics/people/Johannes-Ruf.aspx (Author)
https://link.springer.com/journal/440 (Official URL)

Full text not available from this repository.

Atom

BibTeX

OpenURL ContextObject in Span

OpenURL ContextObject

Dublin Core

MPEG-21 DIDL

Data Cite XML

EndNote

HTML Citation

METS

MODS

RIOXX2 XML

Reference Manager

Refer

ASCII Citation

Export

Downloads