Distribution function of the blow up time of the solution of an anticipating random fatigue equation

Abstract

In this paper, we study the distribution function of the time of explosion of a stochastic differential equation modeling the length of the dominant crack due to fatigue. The main novelty is that initial condition is regarded as an anticipating random variable and the stochastic integral is in the forward sense. Under suitable conditions, we use the substitution formula from Russo and Vallois to find the local solution of this equation. Then, we find the law of blow up time by proving some results on barrier crossing probabilities of Brownian bridge.