Comparison between solutions of SDEs and ODEs

P. Sundar

Stochastic Processes and their Applications, 1988, vol. 30, issue 1, 165-169

Abstract: A ratio-limit comparison between [xi]t, the solution of an SDE driven by a semimartingale, and Ht, the solution of an associated ODE, is proved on the set where limt-->[infinity][xi]t=[infinity]. Sufficient conditions in terms of the driving processes and the coefficients are obtained for limt-->[infinity][xi]t to be [infinity].

Keywords: stochastic; differential; equations; ordinary; differential; equations; martingales (search for similar items in EconPapers)
Date: 1988
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