Title

Comparison between solutions of SDEs and ODEs

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

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