I have a recursive call to a method that throws a stack overflow exception. The first call is surrounded by a try catch block but the exception is not caught.
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From the MSDN page on StackOverflowExceptions:
In prior versions of the .NET Framework, your application could catch a StackOverflowException object (for example, to recover from unbounded recursion). However, that practice is currently discouraged because significant additional code is required to reliably catch a stack overflow exception and continue program execution.
Starting with the .NET Framework version 2.0, a StackOverflowException object cannot be caught by a try-catch block and the corresponding process is terminated by default. Consequently, users are advised to write their code to detect and prevent a stack overflow. For example, if your application depends on recursion, use a counter or a state condition to terminate the recursive loop. Note that an application that hosts the common language runtime (CLR) can specify that the CLR unload the application domain where the stack overflow exception occurs and let the corresponding process continue. For more information, see ICLRPolicyManager Interface and Hosting the Common Language Runtime.