On uniqueness and blowup properties for a class of second order SDEs
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Published version
OA Location
Author(s)
Gomez, Alejandro
Lee, Jong Jun
Mueller, Carl
Neuman, Eyal
Salins, Michael
Type
Journal Article
Abstract
As the first step for approaching the uniqueness and blowup properties of the solutions of the stochastic wave equations with multiplicative noise, we analyze the conditions for the uniqueness and blowup properties of the solution (Xt,Yt) of the equations dXt=Ytdt, dYt=|Xt|αdBt, (X0,Y0)=(x0,y0). In particular, we prove that solutions are nonunique if 0<α<1 and (x0,y0)=(0,0) and unique if 1/2<α and (x0,y0)≠(0,0). We also show that blowup in finite time holds if α>1 and (x0,y0)≠(0,0).
Date Issued
2017-09-13
Date Acceptance
2017-08-16
Citation
Electronic Journal of Probability, 2017, 22, pp.1-17
ISSN
1083-6489
Publisher
Institute of Mathematical Statistics
Start Page
1
End Page
17
Journal / Book Title
Electronic Journal of Probability
Volume
22
Copyright Statement
© 2017 The Author(s). This is an open access article distributed under the terms of the Creative Commons Attribution 4.0 International License (https://creativecommons.org/licenses/by/4.0/).
Subjects
0104 Statistics
Statistics & Probability
Publication Status
Published
Article Number
72
Date Publish Online
2017-09-13