Just an idea: Use a 2nd transistor that is in parallel with the one already in your circtuit. Bias it so that it's normally off when the PWM signal is present ( Capacitor & diode oriented so that the voltage on the capacitor is negative ) When the PWM signal is stopped, then the negative bias is leaked from the capacitor through a resistor. Then, your 2nd transistor truns on. Also, move the LED & series resistor to the collector side of the transistor(s)
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A better idea would be to replace everything in the drawing ( except the transistor ) with a 555 "Missing Pulse Detector" Don't have a schematic; try google.