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On explosion time in stochastic differential equations driven by fractional Brownian motion
- Publication Year :
- 2024
-
Abstract
- In this article, we study the explosion time of the solution to autonomous stochastic differential equations driven by the fractional Brownian motion with Hurst parameter $H>1/2$. With the help of the Lamperti transformation, we are able to tackle the case of non-constant diffusion coefficients not covered in the literature. In addition, we provide an adaptive Euler-type numerical scheme for approximating the explosion time.<br />Comment: 21 pages
- Subjects :
- Mathematics - Probability
65C30, 65L20, 60H10, 60G22
Subjects
Details
- Database :
- arXiv
- Publication Type :
- Report
- Accession number :
- edsarx.2410.00581
- Document Type :
- Working Paper