Take the 2-minute tour ×
Mathematics Stack Exchange is a question and answer site for people studying math at any level and professionals in related fields. It's 100% free, no registration required.

Let $b: \mathbb{R} \rightarrow \mathbb{R}$ be a Lipschitz-continuous function and let $X_t$ be a real valued stochastic process satisfying the stochastic differential equation $dX_t= b(X_t) dt+ dB_t$, $X_0=x$. Prove that for any $M> 0$, $t> 0$ and $x \in \mathbb{R}$ we have that $P(X_t \geq M)>0$ but in the case that $b(x)= \alpha$ for some $\alpha <0$ we have that $P(\lim_{t \rightarrow \infty} X_t= - \infty)=1$.

share|improve this question
1  
What do you know? What did you try? Where are you stuck? (Sounds like homework, is it homework?) –  Did Jan 8 '12 at 22:32
    
I believe the first part follows from Girsanov's theorem. For the second part, you can solve the SDE explicitly, and then the law of iterated logrithms works. –  Aaron Jan 9 '12 at 9:37

Your Answer

 
discard

By posting your answer, you agree to the privacy policy and terms of service.

Browse other questions tagged or ask your own question.