Document Type
Article
Publication Date
1-1-1988
Abstract
A ratio-limit comparison between ξt, the solution of an SDE driven by a semimartingale, and Ht, the solution of an associated ODE, is proved on the set where limt→∞ξt=∞. Sufficient conditions in terms of the driving processes and the coefficients are obtained for limt→∞ξt to be ∞. © 1988.
Publication Source (Journal or Book title)
Stochastic Processes and their Applications
First Page
165
Last Page
169
Recommended Citation
Sundar, P. (1988). Comparison between solutions of SDEs and ODEs. Stochastic Processes and their Applications, 30 (1), 165-169. https://doi.org/10.1016/0304-4149(88)90082-8
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