Nonlinear Lyapunov criteria for stochastic explosive solutions

DOI10.1016/j.spl.2015.11.002zbMath1329.60202OpenAlexW2278399019MaRDI QIDQ899636

Jiamin Xing, Yong Li

Publication date: 30 December 2015

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2015.11.002

zbMATH Keywords

Lyapunov functionBrownian motionstochastic differential equationsexplosive solutions

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Brownian motion (60J65) Ordinary differential equations and systems with randomness (34F05)

Related Items (2)

Explosive solutions for stochastic differential equations driven by Lévy processes ⋮ Explosion in the quasi-Gaussian HJM model

Cites Work

• Stability of regime-switching stochastic differential equations
• Almost sure explosion of solutions to stochastic differential equations
• Diffusion Processes in One Dimension
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