Explosion time in stochastic differential equations driven by fractional Brownian motion

par Soledad Torres

mardi 19 mai 2026, 14:00 → 15:00 Europe/Paris

We present  the explosion time of the solution to autonomous stochastic differential equations driven by the fractional Brownian motion with Hurst parameter . With the help of the Lamperti transformation, we are able to tackle the case of non-constant diffusion coefficients not covered in the literature. In addition, we provide an adaptive Euler-type numerical scheme for approximating the explosion time.