Category Archives: One Dimensional Diffusions

Exit Through Boundary II

Consider the following one dimensional SDE.
dX_t&= \mu dt+ \sin( X_t )^\alpha dW(t)\\
Consider the equation for \(\alpha >0\) and \(\mu \in \mathbf{R}\). On what interval do you expect to find the solution at all times ? Classify the behavior at the boundaries in terms of the parameters.

For what values of \(\alpha < 0\) does it seem reasonable to define the process ? any ? justify your answer.