Home » Stochastic Calculus » Explosions

# Category Archives: Explosions

## No Explosions from Diffusion

Consider the following ODE and SDE:

\[\dot x_t = x^2_t \qquad x_0 >0\]

\[d X_t = X^2_t dt + \sigma |X_t|^\alpha dW_t\qquad X_0 >0\]

where \(\alpha >0\) and \(\sigma >0\).

- Show that \(x_t\) blows up in finite time.
- Find the values of \(\sigma\) and \(\alpha\) so that \(X_t\) does not explode (off to infinity).

[ From Klebaner, ex 6.12]