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The author proves that the stochastic differential equation  \\[  X_t = X_0 + \\int_0^t b(X_s)\\,\\mathrm{d} s + \\int_0^t g(X_s) \\,\\mathrm{d} B_s \\, f(X_s) + \\int_0^t f(X_s)\\, \\mathrm{d} B_s^\\top \\, g(X_s), \\quad t\\geq 0,  \\]  has a pathwise unique strong solution in \\(\\mathcal{S}_{d\\times d}\\), where the initial value \\(X_0\\in \\mathcal{S}_{d\\times d}\\) is positive semidefinite, and \\((B_t)_{t\\geq 0}\\) is a \\(d\\times d\\) Brownian motion, i.e., a \\(d\\times d\\)-valued stochastic process of which the entry processes are independent Brownian motions. In the appendix of the paper, one can find the definition and some properties of the matrix stochastic integral \\(\\int_0^t A_s\\,\\mathrm{d} B_s \\, C_s\\), \\(t\\geq 0\\), for \\(d\\times d\\) matrix valued stochastic processes \\((A_t)_{t\\geq 0}\\) and \\((C_t)_{t\\geq 0}\\). The author applies the so-called Picard iteration method to establish the existence of a solution of the stochastic differential equation in 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