Continuity of the Explosion Time in Stochastic Differential Equations
Julián Fernández Bonder, Pablo Groisman, Julio Daniel Rossi · Stochastic Analysis and Applications · 2009
Stochastic ordinary differential equations may have solutions that explode in finite time. In this article we prove the continuity of the explosion time with respect to the different parameters appearing in the equation, such as the initial datum, the drift, and the diffusion.